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Schumann, Enrico's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
7,198 |
Total
Citations
28 |
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1.
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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
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1,048
(8,730)
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1
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Optimisation heuristics, Threshold Accepting, Portfolio Optimisation
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2.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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08 Mar 10
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Last Revised:
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15 Mar 13
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805
(13,170)
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Option Pricing, Calibration of Option Pricing Models, Differential Evolution, Particle Swarm Optimisation, Heston Model, Bates Model, Matlab, R
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3.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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11 Feb 09
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Last Revised:
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20 Nov 09
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755
(14,480)
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Option pricing, Binomial trees, Numerical methods, Matlab, R
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4.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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19 Mar 09
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Last Revised:
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22 Apr 10
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700
(16,191)
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3
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Portfolio optimisation, Optimisation heuristics, Partial moments, Downside risk, Expected Shortfall, Value-at-Risk, Risk measures, Performance measures, Threshold Accepting
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5.
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Replicating Hedge Fund Indices with Optimization Heuristics
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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
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Posted:
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11 May 10
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Last Revised:
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17 Oct 10
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544
(23,009)
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1
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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
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249
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1
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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio Optimization, Optimization Heuristics, Drawdown
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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
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295
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1
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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio optimization, Optimization heuristics, Drawdown
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6.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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02 Oct 08
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Last Revised:
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14 Mar 13
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526
(24,182)
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3
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Optimisation heuristics, Financial Optimisation, Portfolio Optimisation
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7.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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08 Jul 08
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Last Revised:
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22 Jul 11
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474
(27,604)
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3
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Optimization heuristics, Threshold Accepting, Portfolio Optimization
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8.
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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
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| Posted: |
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01 Sep 09
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Last Revised:
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23 Jul 11
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427
(31,700)
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3
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Portfolio optimisation, 130/30-portfolios, Optimisation heuristics
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9.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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03 Feb 10
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Last Revised:
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19 Oct 10
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294
(49,875)
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Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation
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10.
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Gilli, Manfred
University of Geneva - Department of Economics Grosse, Stefan
NORD/LB Schumann, Enrico
VIP Value Investment Professionals AG
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16 Sep 10
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Last Revised:
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22 Apr 11
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286
(51,493)
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2
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Interest Rate Models, Term Structure Models, Nelson-Siegel, Nelson-Siegel-Svensson, Differential Evolution, R
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11.
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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
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265
(56,108)
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FX Trading, Asset Allocation, Technical Trading, Portfolio Optimization, Optimization Heuristics
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12.
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Cabej, Gerda
University of Geneva Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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08 Nov 12
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Last Revised:
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12 Nov 12
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203
(74,454)
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Option Overwriting, Delta-Hedging, Volatility trading, Portfolio Optimization, Optimization Heuristics
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13.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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17 Jun 09
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Last Revised:
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23 Jul 11
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155
(96,080)
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5
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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting
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14.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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13 Jul 09
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Last Revised:
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20 Oct 10
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131
(111,021)
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1
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Optimisation heuristics, Robust Regression, Least Median of Squares
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15.
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Schumann, Enrico
VIP Value Investment Professionals AG
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127
(113,921)
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R, rank correlation, stochastic simulation, triangular distribution
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16.
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Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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15 Jul 11
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Last Revised:
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10 May 12
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103
(133,736)
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Heuristics, Portfolio optimisation, Asset selection, Model selection, Threshold Accepting, Differential Evolution, Genetic Algorithms, Particle Swarm, R
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17.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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03 Jun 10
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Last Revised:
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16 Sep 10
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96
(140,333)
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numerical optimisation, Nelson-Siegel, Nelson-Siegel-Svensson, optimisation heuristics
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18.
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Schumann, Enrico
VIP Value Investment Professionals AG Ardia, David
Laval University - Département de Finance et Assurance
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| Posted: |
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28 Mar 11
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Last Revised:
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26 Jul 11
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84
(153,177)
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Optimization, Heuristic methods, Local Search, Differential Evolution
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19.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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20 Oct 10
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Last Revised:
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15 Mar 13
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81
(156,703)
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6
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Portfolio optimisation, Optimisation heuristics, Downside risk
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20.
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Schumann, Enrico
VIP Value Investment Professionals AG
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| Posted: |
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10 Feb 13
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Last Revised:
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27 Feb 13
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60
(185,641)
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portfolio optimisation, heuristics, minimum-variance, forecasting
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21.
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Gilli, Manfred
University of Geneva - Department of Economics Schumann, Enrico
VIP Value Investment Professionals AG
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34
(235,380)
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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting
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