Stochastic Optimization Models In Finance (2006 Edition)

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.

Mathematical Tools: Expected Utility Theory; Convexity and the Kuhn-Tucker Conditions; Dynamic Programming; Qualitative Economic Results: Stochastic Dominance; Measures of Risk Aversion; Separation Theorems; Static Portfolio Selection Models: Mean-Variance and Safety First Approaches and Their Extensions; Existence and Diversification of Optimal Portfolio Policies: Effects of Taxes on Risk Taking; Dynamic Models Reducible to Static Models: Models That Have a Single Decision Point; Risk Aversion over Time Implies Static Risk Aversion; Myopic Portfolio Policies; Dynamic Models: Two-Period Consumption Models and Portfolio Revision; Models of Optimal Capital Accumulation and Portfolio Selection; Models of Option Strategy; The Capital Growth Criterion and Continuous-Time Models.