Gerda Cabej

University of Geneva

102 Bd Carl-Vogt

Genève, CH - 1205

Switzerland

SCHOLARLY PAPERS

5

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3,351

CITATIONS
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Top 36,191

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
Geneva School of Economics and Management (GSEM), affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,240 (10,550)
Citation 1

Abstract:

Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

Replicating Hedge Fund Indices with Optimization Heuristics

Number of pages: 12 Posted: 11 May 2010
Geneva School of Economics and Management (GSEM), affiliation not provided to SSRN, University of Geneva and University of Geneva
Downloads 332 (71,960)
Citation 1

Abstract:

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
Geneva School of Economics and Management (GSEM), affiliation not provided to SSRN, University of Geneva and University of Geneva
Downloads 330 (72,511)
Citation 1

Abstract:

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
Geneva School of Economics and Management (GSEM), affiliation not provided to SSRN, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 509 (39,602)
Citation 3

Abstract:

Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

4.

FX Trading: An Empirical Study

Number of pages: 14 Posted: 15 Jul 2011
University of Geneva, Geneva School of Economics and Management (GSEM), University of Geneva and affiliation not provided to SSRN
Downloads 397 (53,920)

Abstract:

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, Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 318 (63,668)

Abstract:

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