Publications and Research

Alpha Z Futures Fund LLC is managed by Alpha Z Advisors, LLC. The Manager benefits from a unique combination of world-class academic research and practical industry experience contributed by Dr. Ziemba, the Chief Investment Officer. Dr. Ziemba is a distinguished academic and a recognized leader in quantitative financial analysis. His numerous research contributions have appeared in books and prestigious publications and journals, and his past consulting work has included pension planning and hedge funds, scenario-based risk management and hedge fund performance analysis.

Publications : Books, White Papers, Journals, and News articles


Research : This is a list of Kelly and related research, some of these are available for download; for the others, please email  us.

Gergaud, O., Ziemba, W.T. (2012) Great investors: their methods, results and evaluation, Journal of Portfolio Management, Summer, in pressDownload

Ziemba, W.T. (2012) Is the 60-40 stock-bond pension fund rule wise? Journal of Portfolio Management, 12 pages Download

Ziemba, W.T. (2011) Investing in the turn-of-the-year effect, Finance Market and Portfolio Management 25(4):  455-472

MacLean, L.C., Zhao, Y.  andZiemba, W.T.  (2012) Weak interest rate parity and currency portfolio diversification, Annals of Finance, 25 pages.

Ziemba, W.T.  and MacLean, L.C. (2011)  Using the Kelly criterion for investment in M.I. Bertocchi, G. Consigli and M.A.H. Dempster (eds) Stochastic Optimization Methods in Finance and Energy, Springer, 20 pages

Lleo, S., Ziemba, W.T. (2012) Stock market crashes in 2007-2009:  were we able to predict them? Technical Report, 30 pages Download

MacLean, L.C., Thorp, E.O., Zhao, Y., Ziemba, W.T. (2011) How does the Fortune’s Formula-Kelly capital growth model perform? Journal of Portfolio Management, (Summer) 96-111

MacLean, L.C., Zhao, Y., Ziemba, W.T., Intertemporal mean variance efficiency with Markovian state price density, Journal of Banking and Finance, 27 pages

MacLean, L.C., Thorp, E.O., Ziemba, W.T. (2010) Long-term capital growth: the good and bad properties of the Kelly and fractional Kelly capital growth criteria, Quantitative Finance 10(7):681-687

Dzhabarov, C., Ziemba, W.T. (2010) Do seasonal anomalies still work?, Journal of Portfolio Management36(3):93-104.

Ziemba, W.T. (2010) Ideas in asset liability management in the tradition of H.M. Markowitz in Essays in Honor of H.M. Markowitz, J. Guerard (ed), Springer, 213-258.

Consigli, G., MacLean, L.C., Zhao, Y., Ziemba, W.T.  (2009) The bond-stock yield differential as a risk indicator in financial markets. Journal of Risk, 11 (3): 3-24.
Geyer, A., Ziemba, W.T., (2008) TheInnovest Austrian Pension Fund Planning Model InnoALM, Operations Research 56 (4); 797-810

Berge, K, Consigli, G., Ziemba, W.T, (2008) The predictive ability of the bond stock earnings yield differential, Journal of Portfolio Management (Spring): 63-80.

Kallio, M., Ziemba, W.T. (2007) Using Tucker’s theorem of the alternative to simplify, review and expand discrete arbitrage theory, Journal of Banking and Finance 31: 2281-2302.

Zhao, Y., Ziemba, W.T. (2007) On Leland’s Option Pricing and Hedging Strategy with Transactions Costs, Finance Research Letters 4:49-58.

Kouwenberg, R., Ziemba, W.T. (2007) Incentives and risk taking in hedge funds, Journal of Banking and Finance 31: 3291–3310. Download

MacLean, L.C., Foster, M., Ziemba, W.T.  (2007) Empirical Bayes estimation with dynamic portfolio models, Journal of Banking and Finance, 31 3503–3523.

Zhao, Y, Ziemba, W.T. (2007) Comments on and corrigendum to “Hedging errors with Leland’s option model in the presence of transaction costs” [Finance Research Letters 4 (2007):49-58] Finance Research Letters 4:196-199

Rendon, J., Ziemba, W.T. (2007) Is the January effect still alive in the futures market? Fianzmarket and Portfolio Management 21:  381-396