Enrico Schumann

Independent

SCHOLARLY PAPERS

28

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13,135

SSRN CITATIONS
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Top 19,628

in Total Papers Citations

5

CROSSREF CITATIONS

42

Scholarly Papers (28)

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1.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 1,950 (8,527)
Citation 1

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

2.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
Manfred Gilli, Enrico Schumann, Giacomo di Tollo and Gerda Cabej
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,443 (13,832)
Citation 6

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Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

3.

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
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 1,282 (16,565)
Citation 16

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

4.

Implementing Binomial Trees

Number of pages: 16 Posted: 11 Feb 2009 Last Revised: 20 Nov 2009
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 1,168 (19,070)
Citation 2

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

5.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 1,006 (23,812)
Citation 11

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

6.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 773 (34,536)

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Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

7.

Replicating Hedge Fund Indices with Optimization Heuristics

Downloads 699 ( 39,592)

Replicating Hedge Fund Indices with Optimization Heuristics

Swiss Finance Institute Research Paper No. 10-22
Number of pages: 16 Posted: 13 Jun 2010
Manfred Gilli, Enrico Schumann, Gerda Cabej and Jonela Lula
University of Geneva - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 357 (90,633)
Citation 2

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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
Manfred Gilli, Enrico Schumann, Gerda Cabej and Jonela Lula
University of Geneva - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 342 (95,159)
Citation 2

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

8.

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
Manfred Gilli, Enrico Schumann, Giacomo di Tollo and Gerda Cabej
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 597 (48,832)
Citation 1

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Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

9.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 595 (49,011)
Citation 1

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Optimization heuristics, Threshold Accepting, Portfolio Optimization

10.

FX Trading: An Empirical Study

Number of pages: 14 Posted: 15 Jul 2011
Gerda Cabej, Manfred Gilli, Jonela Lula and Enrico Schumann
University of Geneva, University of Geneva - Research Center for Statistics, University of Geneva and Independent
Downloads 473 (65,494)

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

11.

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 413 (77,177)

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

12.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 405 (78,917)

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Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

13.

Backtesting

Forthcoming in “Numerical Methods and Optimization in Finance (2nd ed),” by M. Gilli, D. Maringer and E. Schumann
Number of pages: 89 Posted: 17 May 2019 Last Revised: 25 Jul 2019
Enrico Schumann
Independent
Downloads 263 (127,251)

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backtesting, portfolio optimization, trading, R, momentum, NMOF

14.

Creating Rank-Correlated Triangular Variates

Number of pages: 4 Posted: 25 Sep 2010
Enrico Schumann
Independent
Downloads 220 (151,859)
Citation 1

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R, rank correlation, stochastic simulation, triangular distribution

15.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 215 (155,135)

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

16.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 201 (165,189)
Citation 4

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

17.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 184 (179,087)

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Optimisation heuristics, Robust Regression, Least Median of Squares

18.

Heuristics for Portfolio Selection

Number of pages: 16 Posted: 20 Jan 2015
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 179 (183,541)

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

19.

Heuristic Methods in Finance

The Statistical Computing & Statistical Graphics Newsletter, Vol. 22, pp. 13-19, 2011
Number of pages: 7 Posted: 28 Mar 2011 Last Revised: 17 Nov 2017
Enrico Schumann and David Ardia
Independent and HEC Montreal - Department of Decision Sciences
Downloads 165 (196,901)

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Optimization, Heuristic methods, Local Search, Differential Evolution

20.

Examples and Extensions for the NMOF Package

Number of pages: 48 Posted: 15 Jul 2011 Last Revised: 10 May 2012
Enrico Schumann
Independent
Downloads 163 (198,914)
Citation 1

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Heuristics, Portfolio optimisation, Asset selection, Model selection, Threshold Accepting, Differential Evolution, Genetic Algorithms, Particle Swarm, R

21.

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
University of Geneva - Research Center for Statistics and Independent
Downloads 155 (207,625)

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Portfolio optimisation, Optimisation heuristics, Downside risk

22.

Risk-Reward Ratio Optimisation (Revisited)

Swiss Finance Institute Research Paper No. 17-55
Number of pages: 15 Posted: 28 May 2017 Last Revised: 09 Jan 2018
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 136 (230,843)

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Numerical optimisation; Heuristics; Risk-based investing; Downside risk; Factor Investing; UCITS

23.

Take-the-Best in Portfolio Selection

Number of pages: 5 Posted: 10 Feb 2013 Last Revised: 27 Feb 2013
Enrico Schumann
Independent
Downloads 132 (236,406)
Citation 5

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portfolio optimisation, heuristics, minimum-variance, forecasting

24.

Optimization Cultures

Number of pages: 6 Posted: 15 Apr 2014 Last Revised: 03 May 2014
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 119 (255,682)

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Numerical Optimization, Heuristics, Algorithms

25.

Optimization Heuristics: A Tutorial

Forthcoming in “Numerical Methods and Optimization in Finance (2nd ed),” by M. Gilli, D. Maringer and E. Schumann
Number of pages: 50 Posted: 07 Jun 2019 Last Revised: 25 Jul 2019
Enrico Schumann
Independent
Downloads 70 (358,057)

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heuristics, search, optimization, machine learning, model selection, portfolio selection, R, NMOF

26.

Accuracy and Precision in Finance

Number of pages: 9 Posted: 03 Dec 2015
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 60 (387,700)

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heuristics, portfolio optimisation, model validation, model risk

27.

Appendix for 'Optimal Enough?'

Number of pages: 2 Posted: 03 Oct 2009
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 53 (411,102)

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

28.

Two Pitfalls in Comparing Financial Time-Series

Number of pages: 1 Posted: 04 Mar 2020
Enrico Schumann
Independent
Downloads 16 (592,575)

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financial time-series, time-series visualisation, data graphics