STOCHASTIC

. . .
STOCHASTIC
OPTIMIZATION
MODELS IN FINANCE
2006 Edition
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.
"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 2006 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
"It took thirty years for the time of this book to come. But come it did — and students
of the numerous contemporary treatments of portfolio models do well to acquaint
themselves with the wealth of information that Ziemba and Vickson amassed in
this comprehensive volume. This publication does not simply have the potential of
becoming a classic — it is already one."
Stavros A Zenios
University of Cyprus and The Wharton Financial Institutions Center
"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 Croup
The London School of Economics
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