Manfred Gilli

Geneva School of Economics and Management (GSEM)

Professeur Hon.

Bd du Pont d'Arve 46

Geneva 4, 1211

Switzerland

http://www.unige.ch/ses/metri/gilli/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

27

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CITATIONS
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64

Scholarly Papers (27)

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 (10,570)
Citation 1

Abstract:

Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

2.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Manfred Gilli and Peter Winker
Geneva School of Economics and Management (GSEM) and University of Giessen - Department of Economics
Downloads 1,126 (11,553)
Citation 15

Abstract:

Optimization heuristics, Estimation, Modelling

3.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 1,037 (10,298)

Abstract:

Option Pricing, Calibration of Option Pricing Models, Differential Evolution, Particle Swarm Optimisation, Heston Model, Bates Model, Matlab

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22 Posted: 21 Jun 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
Geneva School of Economics and Management (GSEM), Mirabaud & Cie and University of Geneva - Department of Econometrics
Downloads 1,027 (15,815)
Citation 7

Abstract:

Portfolio optimization, Heuristic optimization, Threshold accepting, Downside risk

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
Geneva School of Economics and Management (GSEM), Mirabaud & Cie and University of Geneva - Department of Econometrics

Abstract:

value-at-risk, VAR, expected shortfall, maximum loss, Omega function, multipurpose data-driven optimization heuristic, shortfall, maximum loss, Omega function

5.

Implementing Binomial Trees

Number of pages: 16 Posted: 11 Feb 2009 Last Revised: 20 Nov 2009
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 878 (17,420)

Abstract:

Option pricing, Binomial trees, Numerical methods, Matlab, R

6.

An Empirical Analysis of Alternative Portfolio Selection Criteria

Swiss Finance Institute Research Paper No. 09-06
Number of pages: 41 Posted: 19 Mar 2009 Last Revised: 22 Apr 2010
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 844 (19,401)
Citation 3

Abstract:

Portfolio optimisation, Optimisation heuristics, Partial moments, Downside risk, Expected Shortfall, Value-at-Risk, Risk measures, Performance measures, Threshold Accepting

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 (71,934)
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 (72,478)
Citation 1

Abstract:

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

8.

Using Economic and Financial Information for Stock Selection

Swiss Finance Institute Research Paper No. 06-21
Number of pages: 23 Posted: 31 Oct 2006
Manfred Gilli and Ilir Roko
Geneva School of Economics and Management (GSEM) and University of Geneva - Faculty of Economic and Social Sciences
Downloads 649 (29,912)
Citation 1

Abstract:

Portfolio optimization, Decision trees, Factor models

9.

Heuristic Optimisation in Financial Modelling

Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Number of pages: 31 Posted: 02 Oct 2008 Last Revised: 14 Mar 2013
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 634 (28,302)
Citation 3

Abstract:

Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

10.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Manfred Gilli, Stefan Grosse and Enrico Schumann
Geneva School of Economics and Management (GSEM), NORD/LB and affiliation not provided to SSRN
Downloads 552 (22,916)
Citation 2

Abstract:

Interest Rate Models, Term Structure Models, Nelson-Siegel, Nelson-Siegel-Svensson, Differential Evolution, R

11.

Distributed Optimisation of a Portfolio's Omega

Parallel Computing, Vol. 36, No. 7, pp. 381-389, 2010, Swiss Finance Institute Research Paper No. 08 - 17
Number of pages: 20 Posted: 08 Jul 2008 Last Revised: 22 Jul 2011
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 537 (37,572)
Citation 4

Abstract:

Optimization heuristics, Threshold Accepting, Portfolio Optimization

12.

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 (39,587)
Citation 3

Abstract:

Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

13.

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 (53,886)

Abstract:

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

14.

The Threshold Accepting Heuristic for Index Tracking

Number of pages: 18 Posted: 18 Dec 2008
Manfred Gilli and Evis Kellezi
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 392 (56,966)
Citation 4

Abstract:

Threshold Accepting, Heuristic Optimization, Index Tracking, Passive Fund Management

15.

Optimisation in Financial Engineering

Journal of Financial Transformation, Vol. 28, pp. 117-122, 2010
Number of pages: 10 Posted: 03 Feb 2010 Last Revised: 19 Oct 2010
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 351 (63,857)

Abstract:

Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

16.

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 (63,633)

Abstract:

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

17.

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

FAME Working Paper No. 38
Number of pages: 24 Posted: 25 Feb 2002
Manfred Gilli and Peter Winker
Geneva School of Economics and Management (GSEM) and University of Giessen - Department of Economics
Downloads 292 (80,495)
Citation 7

Abstract:

Agent Based Models, Indirect Estimation, Validation

18.

An Objective Function for Simulation Based Inference on Exchange Rate Data

Swiss Finance Institute Research Paper No. 07-01
Number of pages: 23 Posted: 21 Feb 2007
Manfred Gilli, Peter Winker and Vahidin Jeleskovic
Geneva School of Economics and Management (GSEM), University of Giessen - Department of Economics and University of Giessen - Department of Economics
Downloads 237 (99,042)
Citation 3

Abstract:

Indirect estimation, simulation based estimation, exchange rate returns

19.

Optimal Enough?

Journal of Heuristics, Vol. 17, No. 4, pp. 373-387, 2011
Number of pages: 18 Posted: 17 Jun 2009 Last Revised: 23 Jul 2011
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 189 (124,366)
Citation 4

Abstract:

Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

20.

Robust Regression with Optimisation Heuristics

Anthony Brabazon, Michael O’Neill and Dietmar Maringer, eds., NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Volume 3, Springer 2010,
Number of pages: 26 Posted: 13 Jul 2009 Last Revised: 20 Oct 2010
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 153 (144,425)
Citation 1

Abstract:

Optimisation heuristics, Robust Regression, Least Median of Squares

21.

A Note on ‘Good Starting Values’ in Numerical Optimisation

Number of pages: 7 Posted: 03 Jun 2010 Last Revised: 16 Sep 2010
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 135 (150,653)

Abstract:

numerical optimisation, Nelson-Siegel, Nelson-Siegel-Svensson, optimisation heuristics

22.

Risk-Reward Optimisation for Long-Run Investors: An Empirical Analysis

European Actuarial Journal, Vol. 1, No. 1 (supplement 2), pp. 303-327, 2011
Number of pages: 26 Posted: 20 Oct 2010 Last Revised: 15 Mar 2013
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 104 (174,504)
Citation 5

Abstract:

Portfolio optimisation, Optimisation heuristics, Downside risk

23.

Optimization Cultures

Number of pages: 6 Posted: 15 Apr 2014 Last Revised: 03 May 2014
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 74 (213,894)

Abstract:

Numerical Optimization, Heuristics, Algorithms

24.

Heuristics for Portfolio Selection

Number of pages: 16 Posted: 20 Jan 2015
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 55 (204,027)

Abstract:

portfolio optimisation, heuristics, financial modelling, model risk, model errors

25.

Appendix for 'Optimal Enough?'

Number of pages: 2 Posted: 03 Oct 2009
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 46 (324,827)

Abstract:

Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

26.

Accuracy and Precision in Finance

Number of pages: 9 Posted: 03 Dec 2015
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and affiliation not provided to SSRN
Downloads 0 (377,658)

Abstract:

heuristics, portfolio optimisation, model validation, model risk

27.

Sparse Direct Methods for Model Simulation

University of Geneva Working Paper No. 95.06
Posted: 19 Nov 1996
Manfred Gilli and Giorgio Pauletto
Geneva School of Economics and Management (GSEM) and University of Geneva

Abstract: