Stochastic Optimization Models in Finance: 1 (World Scientific Handbook in Financial Economics Series) 2006th Edition
Author(s): W.T. Ziemba (Author, Editor), Raymond G. Vickson
Publisher: World Scientific Publishing Co Pte Ltd
Publication Date: 11 Sept. 2006
Edition: 2006th
Language: English
Print length: 756 pages
ISBN-10: 981256800X
ISBN-13: 9789812568007
Book Description
A reprint of one of the classic volumes on portfolio theory and investment, this book has been used by the leading professors at universities such as Stanford, Berkeley, and Carnegie-Mellon. It contains five parts, each with a review of the literature and about 150 pages of computational and review exercises and further in-depth, challenging problems. Frequently referenced and highly usable, the material remains as fresh and relevant for a portfolio theory course as ever.
Editorial Reviews
Review
… the most valuable aspects of the book are substantial, rigorous, thought-provoking exercises which have the potential to push the reader toward relevant and engaging research … For anyone interested in and serious about the topic, Stochastic Optimization Models in Finance provides a marvelous reference source and survey of seminal work, and a wonderful collection of exercises which could engage the mind almost indefinitely. –Rick Gorvett, University of Illinois at Urbana-Champaign
It is a testament to the foresight of the editors that much of current research in financial economics can be traced back to the papers and mind expanding exercises contained in this book. In fact, so many hidden gems remain unexploited that this handbook will almost surely also contain the foundations for many future classics. –Jean-Pierre Zigrand Department of Accounting and Finance and Financial Markets Group The London School of Economics
Ziemba and Vickson’s Stochastic Optimization Models in Finance remains to this day a timeless collection of articles by prominent scholars including Dreze, Fama, Merton, Modigliani, Samuelson, Stiglitz and Wilson. The second edition makes this classic collection accessible under one cover. I strongly recommend it to the serious student of financial economics. –George M Constantinides Leo Melamed Professor of Finance Graduate School of Business, The University of Chicago
About the Author
William T Ziemba is the Alumni Professor of Financial Modeling and Stochastic Optimization, Emeritus in the Sauder School of Business, University of British Columbia where he taught from 1968 to 2004. He now teaches as a visiting professor. He has been a visiting professor at Cambridge, Oxford, London School of Economics, and Warwick in the UK; Stanford, UCLA, Berkeley, Chicago and MIT in the US; Bergamo and Venice in Italy; Tsukuba in Japan and the National University of Singapore. Leading financial institutions which he has been consultant to include the Frank Russell Company, Morgan Stanley, Buchanan Partners and Gordon Capital. His research is in asset-liability management, portfolio theory and practice, security market imperfections, Japanese and Asian financial markets, sports and lottery investments and applied stochastic programming. Raymond G Vickson has been a faculty member in Management Sciences at the University of Waterloo since 1973. He did research on topics such as storage management, optimization models and queueing. Born in Vancouver and educated at the University of British Columbia, with a PhD from the Massachusetts Institute of Technology, he has retired to Victoria as an adjunct professor at the University of Waterloo.
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