Gerda Cabej

University of Geneva

102 Bd Carl-Vogt

Genève, CH - 1205

Switzerland

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 13,190

SSRN RANKINGS

Top 13,190

in Total Papers Downloads

3,538

SSRN RANKINGS

Top 36,076

in Total Papers Citations

5

!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information

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 - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,412 (12,479)

Abstract:

Loading...

Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

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 - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 346 (83,897)

Abstract:

Loading...

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

Replicating Hedge Fund Indices with Optimization Heuristics

Number of pages: 12 Posted: 11 May 2010
University of Geneva - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 337 (86,447)

Abstract:

Loading...

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 - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 583 (44,685)

Abstract:

Loading...

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 - Research Center for Statistics, University of Geneva and Independent
Downloads 459 (60,478)

Abstract:

Loading...

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 - Research Center for Statistics and Independent
Downloads 401 (71,170)

Abstract:

Loading...

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