highnote
10-18-2007, 02:51 PM
That is a very naive view of academic research.
I think you misunderstood what I said. I did not say all academic research is like this. I only said that is his approach. In fact, I heard him say that as a scientist the purpose of his research is to find the truth. He also said that as an academic he was in the business of disseminating knowledge.
Makes sense to me.
Does look like DR. Z has been productive in academic publishing and certainly deserves his Emeritus standing as he is put out to pasture.
He may have retired from UBC, but I can assure you he is quite active. He is still publishing many papers and has a book on betting due out in the near future. I don't think a person like him just retires and turns off the faucet. People who love their work, work until the day they die.
Also looks like his last study involving racing was in the late 1980's.
Gary, you're wrong.
"Efficiency of Racetrack Betting Markets" was from the 90s.
His Kentucky Derby paper was published in the 2000s.
His new racing book is due out soon. As is his new financial book.
See below -- He's written about 10 books this century. Also he has about 12 new papers submitted for publication.
Since his switch from academia to the private sector he has not published all his research. Some people who paid for his research and ideas are making lots of money with them. But since they are paying customers he is not at liberty to divulge the information. I know you understand how the pari-mutual market works. You get an edge and exploit it until the market discovers it. In the meantime you keep researching trying to stay one step ahead of the mob.
But I'd go out to quant land too, that's where the money is--all that dough chasing hedge funds. Will be interesting to see how the quants hold up when they have to mark their portfolios to market as opposed to marking them to models with this CDO debacle.
There are plenty of quants who are not very smart when it comes to investing.
Then there are those who are smart, but still lose money. Long Term Capital comes to mind. They had Nobel Prize winners on their staff. They didn't use Kelly betting. They overbet and had to be bailed out.
Contrast that with Thorp who is a Kelly bettor. Thorp's hedge fund has had only 3 losing months in 30 years.
Personally, I still would not be terribly interested in his presentation.
That's understandable. It's not for everyone. However, lots of people were interested. He got dozens of requests for copies of his slides from the presentation.
All I remember from his work is that longshots are overbet.
Either you haven't read his work thoroughly, or you don't have much of a memory!
Also, hedge fund hype is still hedge fund hype.
Although Thorp and Renaissance have done well. Ziemba has consulted for both of them. Thorp must be a billionaire by now. Simons certainly is. His salary alone was one billion last year. They just keep winning.
Below is a list of Ziemba's books and publications -- a small sampling of his life's work.
This reminds me of a story. I was working on an event a few years ago where Neil Armstrong was the guest speaker. We were standing in a buffett line during a break. Neil was in front of us. My friend turns to one of our friends and says, "You know, Joe, Neil walked on the moon. So tell me, what have you done with your life?" We all had a good laugh.
However, when I look at the list of works by Ziemba, the same question enters my mind.
PUBLICATIONS
B – Selected Books
B1 Ziemba, W.T., Vickson, R.G., Eds., Stochastic Optimization Models in Finance, Academic Press, July 1975, 744 pages (388 pages reprinted and 356 pages new).
B3 Hausch, D.B., Ziemba, W.T., Beat the Racetrack, Harcourt, Brace and Jovanovich, 1984; revised 2nd edition, William Morrow, 1987.
B3 Amershi, A., Feltham, J., Ziemba, W.T., Eds., Economic Analysis of Information and Contracts: Essays in Honour of John E. Butterworth, Kluwer Academic Publishers, Boston, July 1988, 415 pages.
B4 Ziemba, W.T. and Schwartz, S.L, Invest Japan: The Structure, Performance and Opportunities of Japan's Stock, Bond and Fund Markets, Probus Publishing, Chicago, November 1991, 596 pages
B5 Ziemba, W.T., Bailey, W., Hamao, Y.. Eds., Japanese Financial Market Research, North Holland Publishers, Amsterdam, December 1991, 616 pages.
B6 Hausch, D.B., Lo, V., Ziemba, W.T., Eds., Efficiency of Racetrack Betting Markets, Academic Press, 1994, 648 pages.
B7 Jarrow, R.A., Maksimovic, V., Ziemba, W.T., Eds., Finance, North Holland Handbook Series, December 1995, 1165 pages. Reprinted in Japanese, 1998, and in Chinese, 2002.
B8 Keim, D.B., Ziemba, W.T., Eds., Security Market Imperfections in World Wide Equity Markets, Cambridge University Press, 2000, 531 pages.
B9 Ziemba, W.T., Mulvey, J.M., Eds., Asset and Liability Management from a Global Perspective, Cambridge University Press, 1998, 665 pages, and in Chinese, 2003.
B10 Wets, R.J.B., Ziemba, W.T., Eds., Stochastic Programming - State of the Art 1998, (main lectures VIII International Conference on Stochastic Programming), Baltzer Science Publishers BV (Special Issue Annals of Operations Research), March 1999, 285 pages.
B11 Birge, J.B., Edirishinghe, N.C.P., Ziemba, W.T., Eds. Research in Stochastic Programming (selected, refereed papers from the VIII International Conference on Stochastic Programming), Baltzer Science Publishers BV (Special Issue Annals of Operations Research), June 2001, 306 pages.
B12 Ziemba, W.T., The Stochastic Programming Approach to Asset Liability and Wealth Management, AIMR, December 2003, 192 pages plus 72-page appendix.
B13 Wallace, S.W., Ziemba, W.T., Eds. Applications of Stochastic Programming, SIAM - Mathematical Programming Society Series on Optimization, 2005, 707 pages
B14 Zenios, S.A., Ziemba, W.T., Eds, Handbook of Asset and Liability Modeling, North Holland, forthcoming, July 2006. in two volumes A on theory and methodology and B on applications and case studies, in press.
B15 Hausch, D. B., Ziemba, W.T., Eds,. Handbook of Investments: Sports and Lottery Betting Markets, North Holland Handbooks in Finance Series, forthcoming, March 2007.
B16 Constantinides, G.M., Mallarias, A.G., Ziemba, W.T. Eds. Handbook of Futures Markets, North Holland Handbooks in Finance Series, forthcoming 2008.
J – Selected Published Journal Articles
J1 Ziemba, W.T., "Note on 'Optimal Growth Portfolios when Returns are Serially Correlated'," Journal of Financial and Quantitative Analysis VII: 1995-2000 (1972).
J2 Ziemba, W.T., Parkan, C., Brooks-Hill, F.J., "Calculation of Investment Portfolios with Risk Free Borrowing and Lending," Management Science XXI: 209-222 (1974).
J3 Ohlson, J.A., Ziemba, W.T., "Optimal Portfolio Policies for an Investor with a Power Utility Function Facing a Log Normal Securities Market," Journal of Financial and Quantitative Analysis XI: 57-71 (1976).
J4 Ziemba, W.T., "Multiperiod Consumption-Investment Decisions: Further Comments," American Economic Review LXVII: 766-767 (1977).
J5 Huang, C.C., Vertinsky, I., Ziemba, W.T., "On Multiperiod Stochastic Dominance," Journal of Financial and Quantitative Analysis XIII: 1-13 (1978).
J6 Kira, D., Ziemba, W.T., "The Demand for a Risky Asset," Management Science XXVI: 1158-1165 (1980).
J7 Hausch, D.G., Ziemba, W.T., Rubinstein, M.E., "Efficiency of the Market for Racetrack Betting," Management Science XXVII: 1435-1452 (1981).
J8 Kallberg, J.G., White, R., Ziemba, W.T., "Short Term Financial Planning Under Uncertainty," Management Science XXVIII: 670-682 (1982).
J9 Kallberg, J.G., Ziemba, W.T., "Comparison of Alternative Utility Functions in Portfolio Selection Problems," Management Science XXIX: 1257-1276 (1983).
J10 Kusy, M.I., Ziemba, W.T., "A Bank Asset and Liability Management Model," Operations Research XXXIV: 356-376 (1986).
J11 Clark, R., Ziemba, W.T., "Playing the Turn-of-the-Year Effect with Index Futures," Operations Research XXXV: 799-813 (1988).
J12 Thaler, R.H., Ziemba, W.T., "Parimutuel Betting Markets: Racetracks and Lotteries," Journal of Economic Perspectives II: 161-174 (1988).
J13 Ziemba, W.T., "Discussion of 'The Buying and Selling Behavior of Individual Investors at the Turn of the Year' by Jay R. Ritter," Journal of Finance XLIII: 717-719 (1988).
J14 Li, Y., Ziemba, W.T., "Characterizations of Optimal Portfolios by Univariate and Multivariate Risk Aversion," Management Science, XXXV (1989) 259-269.
J15 Hausch, D.B., Ziemba, W.T., "Arbitrage Strategies for Cross Track Betting on Major Horseraces," Journal of Business, 1990, LXIII, 61-78.
J16 Ziemba, W.T., "Japanese Security Market Regularities: Monthly, Turn of the Month and Year, Holiday and Golden Week Effects," Japan and the World Economy, 3, 1991, 119-146.
J17 Markowitz, H.M., Schaible, S., Ziemba, W.T., "An Algorithm for Portfolio Selection in a Lognormal Market," International Journal of Financial Analysis, 1992, Vol. 1, No.2, 109-113.
J18 Chopra, V., Ziemba, W.T. "The Effect of Errors in Mean and Co-Variance Estimates on Optimal Portfolio Choice," Journal of Portfolio Management, Winter 1993, 6-11.
J19 Stone, D. Ziemba, W.T., "Land and Stock Prices in Japan", Journal of Economic Perspectives, Summer 1993, 149-165.
J20 Ziemba, W.T., "Worldwide Security Market Regularities", European Journal of Operational Research, 74, 1994, 198-229.
J21 Cariño, D. et al., Ziemba, W.T., "The Russell-Yasuda Kasai Model: An Asset/Liability Model for a Japanese Insurance Company Using Multistage Stochastic Programming", INTERFACES, January - February 1994, (Edelman Prize issue), 29-49. (A story about this paper is in the March 31, 1991 issue of the New York Times.)
J22 Hensel, C.R., Ziemba, W.T., "U.S. Small and Large Capitalized Stocks, Bonds and Cash Returns During Democratic and Republican Administrations, 1928-1993", Financial Analysts Journal, 51:2, March/April 1995, 61-69.
J23 Hensel, C.R., Ziemba, W.T., "The January Barometer: Swiss, European and Global Results", Finanzmarket and Portfolio Management, 9:2, 1995, 187-196.
J24 Shaw, J., Thorp, E.O, Ziemba, W.T., "Convergence to Efficiency of the Nikkei Put Warrant Market of 1989-90", Applied Mathematical Finance, 2, 1995, 243-271.
J25 Hensel, C.R., Sick, G., Ziemba, W.T., "Investment Results from Exploiting Turn-of-the-Month-Effects", the Journal of Portfolio Management, Spring 1996, 17-23. (A story about this paper is in the November 7, 1995 issue of the Wall Street Journal.)
J26 Cariño, D., and Ziemba, W.T., "Formulation of the Russell-Yasuda Kasai Financial Planning Model", Operations Research, 46:4, July/August 1998, 433-449.
J27 Cariño, D., Myers, D., and Ziemba, W.T., Concepts, Technical Issues and Uses of the Russell-Yasuda Kasai Financial Planning Model, Operations Research, 46:4, July/August 1998, 450-462.
J28 MacLean, L.C., W.T. Ziemba, Growth Versus Security Tradeoffs in Dynamic Investment Analysis, in Stochastic Programming: State of the Art 1998, eds. R. J-B. Wets and W.T. Ziemba, Balzer Science Publishers, 1999, 193-226.
J29 Zhao, Y., Ziemba, W.T. A stochastic programming model using an endogeneously determined worst case risk measure in a risk-return framework for dynamic asset allocation, Mathematical Programming, 2001, Series B, 89 (2): 293-309.
J30 Zhao, Y., Ziemba, W.T. A dynamic asset allocation model with downside risk control, The Journal of Risk 3 (Fall 2000): 91-113.
J31 MacLean, L.C., Sanegre, R., Zhao, Y., Ziemba, W.T., Capital Growth with Security, Journal of Economic Dynamics and Control 28:4 (2004): 937-954.
J32 Rudolf, M., Ziemba, W.T., Intertemporal Asset-Liability Management ,Journal of Economic Dynamics and Control, 28:4 (2004): 975-990.
J33 Zhao, Y., Haussmann, U., Ziemba, W.T., A Dynamic Investment Model with a Minimum Attainable Wealth Requirement, Mathematical Finance 13 (October 2003): 481-501.
J34 Board, J.L.C., Sutcliffe, C.M.S., Ziemba,, W.T. Applying Operations Research Techniques to Financial Markets Interfaces, 32 (March-April 2003) 2: 12-34.
J35 Lane, D., Ziemba, W.T. Jai-Alai Hedging Strategies, European Journal of Finance (2004): 353-369.
J36 Douglass, J., Wu, O., Ziemba, W.T. Stock ownership decisions in defined contribution pension plans, Journal of Portfolio Management, Summer, 2004, 92-100.
J37 Ziemba, W. T., The symmetric downside risk Sharpe ratio and the evaluation of great investors and speculators, Journal of Portfolio Management, Fall 2005: 108-122.
J38 MacLean, L. C. , Zhao, Y., Ziemba, W. T. Alternative approaches to risk control, Journal of Banking and Finance 2006, 25 pp.
J39 MacLean, L., Ziemba, W.T., Li, Y., Time to Wealth Goals in Capital Accumulation and the Optimal Trade-off of Growth versus Security, Quantitative Finance, 5(4):343-357.
J40 Zhao, Y., Ziemba, W.T., Calculating risk neutral probabilities and optimal portfolio policy in a dynamic investment model with downside risk control, forthcoming European Journal of Operational Research 22 pp.
J41 Koivu, M., Pennanen, T., Ziemba, W.T. Cointegration analysis of the FED model Finance Research Letters 2 (2005): 248-259.
J42 Hausch, D.B., Bain, R., Ziemba, W.T., “An Application of Expert Information to Win Betting on the Kentucky Derby”, 1981-2001, European Journal of Finance, in press, 20 pp. (featured on BCTV, May 1999 and in Louisville Times, June 2001).
J43 Rodriguez, J., Ziemba, W.T. Duality relations of hedge fund managers’ incentive fee optimization problems, Mathematical Programming, in press, 35pp.
K – Selected Articles in Books
K1 Berge, K, Ziemba, W.T, The predictive ability of the bond stock earnings yield differential in worldwide equity markets, 1970-2005, forthcoming in Handbook of the Equity Risk Premium, R. Mehra (ed) in Handbooks in Finance, North Holland.
P – Papers Submitted for Publication
P1. Geyer, A., Herold, W., Kontriner, K., Ziemba, W.T., The Innovest Austrian Pension Fund Planning Model InnoALM, submitted to Operations Research, 35 pp.
P2. Zhao, Y. , Ziemba, W.T. On Leland’s Option Pricing and Hedging Strategy with Transactions Costs, submitted to Journal of Economic Dynamics and Control, 22 pp.
P3. Zhao, Y., Ziemba, W.T., Intertemporal mean variance efficiency with Markovian state price density, submitted to Finance and Stochastics, 27 pp.
P4. Tompkins, R.G., Ziemba, W.T., Hodges, S.H., The favorite-longshot bias in S&P500 futures options: the return to bets and the cost of insurance, submitted to Journal of Derivatives, 18 pp.
P5. Kallio, M., Ziemba, W.T. Arbitrage pricing simplified, submitted to Journal of Banking and Finance, 37 pp.
P6. Edirisinghe, N.C.P., Ziemba, W.T., An algorithm for large-scale linear programming, submitted to Mathematical Programming, 22 pp.
P7. Kouwenberg, R., Ziemba, W.T. Incentives and risk taking in hedge funds, submitted to Journal of Banking and Finance , 38 pp.
P8. MacLean, L.C., Foster, M., Ziemba, W.T. Empirical Bayes estimation with dynamic portfolio models, submitted to Journal of Banking and Finance, 32 pp.
P9. Ziemba, W.T. What operations research can contribute to your personal financial situation including your retirement, solicited article for Interfaces, 22 pp.
P10. Rendon, J. and Ziemba, W.T. Is the January effect still alive in the futures markets? Submitted to Journal of Futures Markets, 31 pp.
P11. MacLean, L.C., Zhao, Y. and Ziemba, W.T. Weak interest rate parity and currency portfolio diversification. Submitted to the Journal of Financial and Quantitative Analysis, 42 pp.
P12. Ghosh, S, Bhalla, G. and Ziemba, W.T. The January Barometer, 1926-2005, Technical Report, Sauder School of Business, submitted to Financial Analysts Journal, 22 pp.
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