Gerda Cabej

University of Geneva

102 Bd Carl-Vogt

Genève, GA CH - 1205

Switzerland

SCHOLARLY PAPERS

5

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CITATIONS
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Top 36,286

in Total Papers Citations

5

Scholarly Papers (5)

1.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
University of Geneva - Department of Economics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,240 (11,033)
Citation 1

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Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

Replicating Hedge Fund Indices with Optimization Heuristics

Number of pages: 12 Posted: 11 May 2010
University of Geneva - Department of Economics, Independent, University of Geneva and University of Geneva
Downloads 334 (76,401)
Citation 1

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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio optimization, Optimization heuristics, Drawdown

Replicating Hedge Fund Indices with Optimization Heuristics

Swiss Finance Institute Research Paper No. 10-22
Number of pages: 16 Posted: 13 Jun 2010
University of Geneva - Department of Economics, Independent, University of Geneva and University of Geneva
Downloads 332 (76,934)
Citation 1

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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio Optimization, Optimization Heuristics, Drawdown

3.

Constructing 130/30-Portfolios with the Omega Ratio

Journal of Asset Management, Vol 12, No 2, pp. 94-108, 2011
Number of pages: 17 Posted: 01 Sep 2009 Last Revised: 23 Jul 2011
University of Geneva - Department of Economics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 509 (41,012)
Citation 3

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Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

4.

FX Trading: An Empirical Study

Number of pages: 14 Posted: 15 Jul 2011
University of Geneva, University of Geneva - Department of Economics, University of Geneva and Independent
Downloads 397 (55,647)

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FX Trading, Asset Allocation, Technical Trading, Portfolio Optimization, Optimization Heuristics

5.

Better Portfolios with Options

Number of pages: 16 Posted: 08 Nov 2012 Last Revised: 12 Nov 2012
Gerda Cabej, Manfred Gilli and Enrico Schumann
University of Geneva, University of Geneva - Department of Economics and Independent
Downloads 318 (65,941)

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Option Overwriting, Delta-Hedging, Volatility trading, Portfolio Optimization, Optimization Heuristics