This paper examines the effect of alternative utility functions and parameter values on the optimal composition of a risky investment portfolio. Normally distributed assets are the setting for the theoretical and empirical analyses. The results agree well with the available theory and imply...

We consider the problem of portfolio selection for a risk averse investor wishing to allocate his resources among several investment opportunities in order to maximize the expected utility of final wealth. The calculation of the optimal investment proportions generally requires the solution of a...

This paper presents a stochastic linear programming formulation of a firm's short term financial planning problem. This framework allows a more realistic representation of the uncertainties fundamental to this problem than previous models. In addition, using Wets's algorithm for linear simple...

This paper concerns the problem of optimal dynamic choice in discrete time for an investor. In each period the investor is faced with one or more risky investments. The maximization of the expected logarithm of the period by period wealth, referred to as the Kelly criterion, is a very desirable...

We consider the problem of determining the cumulative distribution function and/or moments of the optimal solution value of a nonlinear program dependent upon a single random variable. This problem is difficult computationally because one must in effect determine the optimal solution to an...

We investigate the effect on the demand for a risky asset when there are changes in either initial wealth or one of the asset return distributions in two asset expected utility portfolio problems. In the choice between a risky and a safe asset necessary and sufficient conditions are presented...

In a previous paper (Management Science, December 1981) Hausch, Ziemba and Rubinstein (HZR) developed a system that demonstrated the existence of a weak market inefficiency in racetrack place and show betting pools. The system appeared to make possible substantial positive profits. To make the...

Many racetrack bettors have systems. Since the track is a market similar in many ways to the stock market one would expect that the basic strategies would be either fundamental or technical in nature. Fundamental strategies utilize past data available from racing forms, special sources, etc. to...

This paper investigates conditions under which stochastic dynamic programs easily reduce to static deterministic programs. The conditions, though strict, are still rich enough to aid in the solution of a number of practical problems.

Biases that reflect the economic worth of uncertain contingent claims occur in many financial markets. Parimutuel betting at racetracks is one such market with ample data to investigate such biases. The total wagering market is about $10 billion per year in North America. The configuration of...