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Portfolio optimization: theory and practical implementation

In: Handbook of Research Methods and Applications in Empirical Finance

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  • William T. Ziemba

Abstract

This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples.

Suggested Citation

  • William T. Ziemba, 2013. "Portfolio optimization: theory and practical implementation," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 2, pages 45-72, Edward Elgar Publishing.
    • Handle: RePEc:elg:eechap:14545_2
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    References listed on IDEAS

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    1. Ziemba, W. T. & Vickson, R. G. (ed.), 1975. "Stochastic Optimization Models in Finance," Elsevier Monographs, Elsevier, edition 1, number 9780127808505.
    2. David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
    3. Hakansson, Nils H, 1971. "On Optimal Myopic Portfolio Policies, With and Without Serial Correlation of Yields," The Journal of Business, University of Chicago Press, vol. 44(3), pages 324-334, July.
    4. Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), 2013. "Handbook of Research Methods and Applications in Empirical Finance," Books, Edward Elgar Publishing, number 14545.
    5. Leonard Maclean & William Ziemba & Yuming Li, 2005. "Time to wealth goals in capital accumulation," Quantitative Finance, Taylor & Francis Journals, vol. 5(4), pages 343-355.
    6. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
    7. Fleten, Stein-Erik & Hoyland, Kjetil & Wallace, Stein W., 2002. "The performance of stochastic dynamic and fixed mix portfolio models," European Journal of Operational Research, Elsevier, vol. 140(1), pages 37-49, July.
    8. William F. Sharpe, 1964. "Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk," Journal of Finance, American Finance Association, vol. 19(3), pages 425-442, September.
    9. Olivier Gergaud & William T. Ziemba, 2016. "Great Investors: Their Methods, Results and Evaluation," World Scientific Book Chapters, in: GREAT INVESTMENT IDEAS, chapter 9, pages 175-212, World Scientific Publishing Co. Pte. Ltd..
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    Economics and Finance; Research Methods;

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