William T. Ziemba's Contributions to Portfolio Theory and Practice

Ziemba, Bill

doi:10.1002/wilm.10819

Wilmott

2020

DOI: 10.1002/wilm.10819

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William T. Ziemba's Contributions to Portfolio Theory and Practice

Bill Ziemba¹

Abstract: Half a century flies by when Bill applies himself to Markowitz's gift that keeps on giving…

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Cited by 2 publications

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Choices under uncertainty and the investment horizon

Levy

2024

Ann Oper Res

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Mean–Variance (M–V) is the most popular investment rule employed by both practitioners and researches. For a short-planned investment horizon, this rule generally conforms with expected utility paradigm. However, for a relatively long horizon, generally more than one year, the distributions of returns become positively skewed, hence the M–V rule loses ground. As the horizon increases, by the M–V rule one needs (mistakenly) to increase the weight of bonds in the stock–bond portfolio, e.g., almost 100% in bonds for a 30-year horizon. Expected utility maximization recommending almost 100% in stocks for long horizons. This, gap is of crucial importance, because life expectancy is increasing, implying longer investment horizons. For long horizons the mean–coefficient-of-variance rule conforms with expected utility, as the distributions are close to log-normal. For intermediate horizons one should employ stochastic dominance or direct expected utility maximization.

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Choices under uncertainty and the investment horizon

Levy

2024

Ann Oper Res

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The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan: 30 Years After the Markowitz and Ziemba Applications

et al. 2023

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William T. Ziemba's Contributions to Portfolio Theory and Practice

Abstract: Half a century flies by when Bill applies himself to Markowitz's gift that keeps on giving…

Cited by 2 publications

References 77 publications

Choices under uncertainty and the investment horizon

Choices under uncertainty and the investment horizon

The Development and Evolution of Mean-Variance Efficient Portfolios in the US and Japan: 30 Years After the Markowitz and Ziemba Applications

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