Enrico Schumann

Independent

SCHOLARLY PAPERS

28

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46

Scholarly Papers (28)

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1.

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 3,085 (7,956)
Citation 17

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

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
University of Geneva - Research Center for Statistics and Independent
Downloads 2,450 (11,462)
Citation 4

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

3.

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 1,576 (22,958)
Citation 6

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Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

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 1,483 (25,139)
Citation 2

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

5.

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 1,403 (27,361)

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

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
University of Geneva - Research Center for Statistics and Independent
Downloads 1,129 (37,347)
Citation 13

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

7.

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 856 (55,152)
Citation 1

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Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

8.

Replicating Hedge Fund Indices with Optimization Heuristics

Downloads 791 (61,412)
Citation 1

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 414 (135,719)
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 377 (151,116)
Citation 2

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

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 653 (78,636)
Citation 1

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Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

10.

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 638 (80,952)
Citation 1

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Optimization heuristics, Threshold Accepting, Portfolio Optimization

11.

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 549 (97,856)

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

12.

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 487 (113,265)

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

13.

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 483 (114,330)

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

14.

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 462 (120,633)

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Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

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 419 (135,172)
Citation 5

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

16.

Creating Rank-Correlated Triangular Variates

Number of pages: 4 Posted: 25 Sep 2010
Enrico Schumann
Independent
Downloads 264 (222,196)
Citation 1

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R, rank correlation, stochastic simulation, triangular distribution

17.

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 254 (230,890)

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Portfolio optimisation, Optimisation heuristics, Downside risk

18.

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 250 (234,497)

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

19.

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 237 (247,122)

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

20.

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 223 (261,945)

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Optimization, Heuristic methods, Local Search, Differential Evolution

21.

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 220 (265,314)

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Optimisation heuristics, Robust Regression, Least Median of Squares

22.

Examples and Extensions for the NMOF Package

Number of pages: 48 Posted: 15 Jul 2011 Last Revised: 10 May 2012
Enrico Schumann
Independent
Downloads 215 (270,940)
Citation 1

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

23.

Take-the-Best in Portfolio Selection

Number of pages: 5 Posted: 10 Feb 2013 Last Revised: 27 Feb 2013
Enrico Schumann
Independent
Downloads 187 (307,798)
Citation 5

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portfolio optimisation, heuristics, minimum-variance, forecasting

24.

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 162 (349,226)

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

25.

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 156 (360,474)

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Numerical Optimization, Heuristics, Algorithms

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 141 (391,035)
Citation 2

Abstract:

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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 112 (466,429)

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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 88 (548,890)

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