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Gilli, Manfred

SSRN Author Rank: 1,641 by Downloads

Professeur Hon. University of Geneva - Department of Economics 102 Bd Carl Vogt Geneva 4, 1211 Switzerland +41223798222 (Phone) +41223798299 (Fax) HOME PAGE: http://www.unige.ch/ses/metri/gilli/ email address
Swiss Finance Institute Boulevard du Pont-d'Arve 40 1211 Geneva, CH-6900 Switzerland email address

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Gilli, Manfred's Scholarly Papers Click on the title of any column to sort the table by that column.

Aggregate Statistics

Total
Downloads
9,889

Total
Citations
66

Papers (24)

Authors

Date

Downloads

(Rank)

Citations

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1.

Constructing Long/Short Portfolios with the Omega Ratio | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 08-34
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

di Tollo, Giacomo

affiliation not provided to SSRN

Cabej, Gerda

University of Geneva

Posted:

27 Oct 08

1,045
(8,662)

1

2.

A Review of Heuristic Optimization Methods in Econometrics | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 08-12
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Winker, Peter

University of Giessen - Department of Economics

Posted:

05 Jun 08

899
(10,968)

16

3.

A Data-Driven Optimization Heuristic for Downside Risk Minimization | View 2 Versions | Show Abstracts | Hide Abstracts|
- Swiss Finance Institute Research Paper No. 06-2
- Journal of Risk, Vol. 8, No. 3, Spring 2006

Gilli, Manfred

University of Geneva - Department of Economics

Këllezi, Evis

Mirabaud & Cie

Hysi, Hilda

University of Geneva - Department of Econometrics

Posted:
11 May 06
Last Revised:
03 Nov 09

815
(12,777)

6

4.

Calibrating Option Pricing Models with Heuristics | Show Abstract | Download |
NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
08 Mar 10
Last Revised:
15 Mar 13

802
(13,110)

5.

Implementing Binomial Trees | Show Abstract | Download |
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
11 Feb 09
Last Revised:
20 Nov 09

752
(14,416)

6.

An Empirical Analysis of Alternative Portfolio Selection Criteria | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 09-06
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
19 Mar 09
Last Revised:
22 Apr 10

694
(16,188)

3

7.

Using Economic and Financial Information for Stock Selection | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 06-21
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Roko, Ilir

University of Geneva - Faculty of Economic and Social Sciences

Posted:

31 Oct 06

614
(19,328)

1

8.

Replicating Hedge Fund Indices with Optimization Heuristics | View 2 Versions | Show Abstracts | Hide Abstracts|
- Swiss Finance Institute Research Paper No. 10-22
- Working Paper

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Cabej, Gerda

University of Geneva

Lula, Jonela

University of Geneva

Posted:
11 May 10
Last Revised:
17 Oct 10

543
(22,869)

1

9.

Heuristic Optimisation in Financial Modelling | Show Abstract | Download |
Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
02 Oct 08
Last Revised:
14 Mar 13

518
(24,355)

3

10.

Distributed Optimisation of a Portfolio's Omega | Show Abstract | Download |
Parallel Computing, Vol. 36, No. 7, pp. 381-389, 2010, Swiss Finance Institute Research Paper No. 08 - 17
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
08 Jul 08
Last Revised:
22 Jul 11

472
(27,459)

3

11.

Constructing 130/30-Portfolios with the Omega Ratio | Show Abstract | Download |
Journal of Asset Management, Vol 12, No 2, pp. 94-108, 2011
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

di Tollo, Giacomo

affiliation not provided to SSRN

Cabej, Gerda

University of Geneva

Posted:
01 Sep 09
Last Revised:
23 Jul 11

423
(31,712)

3

12.

The Threshold Accepting Heuristic for Index Tracking | Show Abstract | Download |
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Kellezi, Evis

affiliation not provided to SSRN

Posted:

18 Dec 08

332
(42,794)

4

13.

Optimisation in Financial Engineering | Show Abstract | Download |
Journal of Financial Transformation, Vol. 28, pp. 117-122, 2010
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
03 Feb 10
Last Revised:
19 Oct 10

291
(49,907)

14.

Calibrating the Nelson-Siegel-Svensson Model | Show Abstract | Download |
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Grosse, Stefan

NORD/LB

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
16 Sep 10
Last Revised:
22 Apr 11

275
(53,249)

2

15.

FX Trading: An Empirical Study | Show Abstract | Download |
Working Paper Series

Cabej, Gerda

University of Geneva

Gilli, Manfred

University of Geneva - Department of Economics

Lula, Jonela

University of Geneva

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:

15 Jul 11

260
(56,730)

16.

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets | Show Abstract | Download |
FAME Working Paper No. 38
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Winker, Peter

University of Giessen - Department of Economics

Posted:

25 Feb 02

252
(58,733)

7

17.

An Objective Function for Simulation Based Inference on Exchange Rate Data | Show Abstract | Download |
Swiss Finance Institute Research Paper No. 07-01
Working Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Winker, Peter

University of Giessen - Department of Economics

Jeleskovic, Vahidin

University of Giessen - Department of Economics

Posted:

21 Feb 07

206
(72,597)

4

18.

Better Portfolios with Options | Show Abstract | Download |
Working Paper Series

Cabej, Gerda

University of Geneva

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
08 Nov 12
Last Revised:
12 Nov 12

201
(74,407)

19.

Optimal Enough? | Show Abstract | Download |
Journal of Heuristics, Vol. 17, No. 4, pp. 373-387, 2011
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG

Posted:
17 Jun 09
Last Revised:
23 Jul 11

154
(95,642)

5

20.

Robust Regression with Optimisation Heuristics | Show Abstract | Download |
Anthony Brabazon, Michael O’Neill and Dietmar Maringer, eds., NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Volume 3, Springer 2010
Accepted Paper Series

Gilli, Manfred

University of Geneva - Department of Economics

Schumann, Enrico

VIP Value Investment Professionals AG