Ideas in Asset and Asset–Liability Management in the Tradition of H.M. Markowitz

  • William T. Ziemba


I discuss my contributions (1) to static portfolio theory in my papers in the 1970s; (2) to later extensions to portfolio management under uncertainty; (3) to scenario optimization stochastic programming-based multiperiod asset–liability models; and (4) to the Kelly capital growth approach that many great investors have used.


Risk Aversion Pension Fund Optimal Portfolio Hedge Fund Sharpe Ratio 
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Copyright information

© Springer Science+Business Media, LLC 2010

Authors and Affiliations

  1. 1.Sauder School of Business (Emeritus)UBCVancouverCanada
  2. 2.Mathematical InstituteOxford UniversityOxfordUK
  3. 3.ICMA CentreUniversity of ReadingReadingUK

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