Enrico Schumann

Independent

No Address Available

SCHOLARLY PAPERS

27

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12,324

CITATIONS
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Top 17,348

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40

Scholarly Papers (27)

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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 1,781 (8,715)

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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 1,418 (12,599)
Citation 5

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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 1,145 (17,565)
Citation 6

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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 1,120 (18,149)
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 973 (22,383)
Citation 10

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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 757 (31,915)

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Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

7.

Replicating Hedge Fund Indices with Optimization Heuristics

Downloads 689 ( 36,287)

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 349 (84,130)
Citation 1

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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 340 (86,727)
Citation 1

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

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
University of Geneva - Research Center for Statistics and Independent
Downloads 591 (44,529)
Citation 1

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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
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 587 (44,949)

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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, University of Geneva - Research Center for Statistics, University of Geneva and Independent
Downloads 463 (60,670)

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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 406 (71,154)

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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 395 (73,416)

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Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

13.

Creating Rank-Correlated Triangular Variates

Number of pages: 4 Posted: 25 Sep 2010
Enrico Schumann
Independent
Downloads 215 (141,077)
Citation 1

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R, rank correlation, stochastic simulation, triangular distribution

14.

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 212 (142,966)

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

15.

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 194 (155,392)
Citation 1

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

16.

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 180 (166,281)

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Optimisation heuristics, Robust Regression, Least Median of Squares

17.

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 169 (175,842)

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

18.

Examples and Extensions for the NMOF Package

Number of pages: 48 Posted: 15 Jul 2011 Last Revised: 10 May 2012
Enrico Schumann
Independent
Downloads 162 (182,225)
Citation 1

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

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 160 (184,214)

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Optimization, Heuristic methods, Local Search, Differential Evolution

20.

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 147 (197,668)

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Portfolio optimisation, Optimisation heuristics, Downside risk

21.

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 129 (219,539)

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

22.

Take-the-Best in Portfolio Selection

Number of pages: 5 Posted: 10 Feb 2013 Last Revised: 27 Feb 2013
Enrico Schumann
Independent
Downloads 124 (226,268)
Citation 4

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portfolio optimisation, heuristics, minimum-variance, forecasting

23.

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 110 (246,899)

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Numerical Optimization, Heuristics, Algorithms

24.

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 74 (317,714)

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

25.

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 51 (383,028)

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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
University of Geneva - Research Center for Statistics and Independent
Downloads 49 (389,750)

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heuristics, portfolio optimisation, model validation, model risk

27.

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 23 (501,923)

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