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Enrico Schumann

Independent

No Address Available

SCHOLARLY PAPERS

24

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31

Scholarly Papers (24)

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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
Manfred Gilli, Enrico Schumann, Giacomo di Tollo and Gerda Cabej
Geneva School of Economics and Management (GSEM), Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,240 (10,765)
Citation 1

Abstract:

Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

2.

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 Independent
Downloads 1,037 (9,888)

Abstract:

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

3.

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 Independent
Downloads 878 (17,498)

Abstract:

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

4.

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 Independent
Downloads 844 (19,888)
Citation 3

Abstract:

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

5.

Replicating Hedge Fund Indices with Optimization Heuristics

Downloads 663 ( 31,755)
Citation 1

Replicating Hedge Fund Indices with Optimization Heuristics

Number of pages: 12 Posted: 11 May 2010
Manfred Gilli, Enrico Schumann, Gerda Cabej and Jonela Lula
Geneva School of Economics and Management (GSEM), Independent, University of Geneva and University of Geneva
Downloads 333 (74,477)
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
Manfred Gilli, Enrico Schumann, Gerda Cabej and Jonela Lula
Geneva School of Economics and Management (GSEM), Independent, University of Geneva and University of Geneva
Downloads 330 (75,236)
Citation 1

Abstract:

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

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
Geneva School of Economics and Management (GSEM) and Independent
Downloads 634 (28,674)
Citation 3

Abstract:

Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

7.

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 Independent
Downloads 552 (21,163)
Citation 2

Abstract:

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

8.

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 Independent
Downloads 537 (38,283)
Citation 4

Abstract:

Optimization heuristics, Threshold Accepting, Portfolio Optimization

9.

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
Geneva School of Economics and Management (GSEM), Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 509 (40,488)
Citation 3

Abstract:

Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

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, Geneva School of Economics and Management (GSEM), University of Geneva and Independent
Downloads 397 (54,633)

Abstract:

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

11.

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 Independent
Downloads 351 (65,134)

Abstract:

Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

12.

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 Independent
Downloads 318 (65,542)

Abstract:

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

13.

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 Independent
Downloads 189 (127,688)
Citation 4

Abstract:

Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

14.

Creating Rank-Correlated Triangular Variates

Number of pages: 4 Posted: 25 Sep 2010
Enrico Schumann
Independent
Downloads 163 (130,683)

Abstract:

R, rank correlation, stochastic simulation, triangular distribution

15.

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 Independent
Downloads 153 (148,138)
Citation 1

Abstract:

Optimisation heuristics, Robust Regression, Least Median of Squares

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
Geneva School of Economics and Management (GSEM) and Independent
Downloads 135 (147,372)

Abstract:

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

17.

Examples and Extensions for the NMOF Package

Number of pages: 48 Posted: 15 Jul 2011 Last Revised: 10 May 2012
Enrico Schumann
Independent
Downloads 131 (158,586)

Abstract:

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

18.

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 Independent
Downloads 104 (179,584)
Citation 5

Abstract:

Portfolio optimisation, Optimisation heuristics, Downside risk

19.

Take-the-Best in Portfolio Selection

Number of pages: 5 Posted: 10 Feb 2013 Last Revised: 27 Feb 2013
Enrico Schumann
Independent
Downloads 84 (212,686)

Abstract:

portfolio optimisation, heuristics, minimum-variance, forecasting

20.

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 Independent
Downloads 74 (218,544)

Abstract:

Numerical Optimization, Heuristics, Algorithms

21.

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 Independent
Downloads 55 (192,066)

Abstract:

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

22.

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 Independent
Downloads 46 (336,209)

Abstract:

Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

23.

Risk–Reward Optimisation for Long-Run Investors (Revisited)

Number of pages: 14 Posted: 28 May 2017
Manfred Gilli and Enrico Schumann
Geneva School of Economics and Management (GSEM) and Independent
Downloads 0 (297,924)
Citation 4

Abstract:

Numerical optimisation; Heuristics; Portfolio Optimisation; Risk-based investing; Downside risk

24.

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 Independent
Downloads 0 (379,105)

Abstract:

heuristics, portfolio optimisation, model validation, model risk

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