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Publications

by members of

Département d'économétrie
Université de Genève
Genève, Switzerland

(Department of Econometrics, University of Geneva)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. Find also a compilation of publications from alumni here.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2017

  1. Manfred Gilli & Enrico Schumann, 2017. "Risk-Reward Ratio Optimisation (Revisited)," Swiss Finance Institute Research Paper Series 17-55, Swiss Finance Institute.

2010

  1. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
  2. Manfred Gilli & Stefan Große & Enrico Schumann, 2010. "Calibrating the Nelson–Siegel–Svensson model," Working Papers 031, COMISEF.
  3. Manfred Gilli & Enrico Schumann, 2010. "A note on ‘good starting values’ in numerical optimisation," Working Papers 044, COMISEF.
  4. Manfred GILLI & Enrico SCHUMANN & Gerda CABEJ & Jonela LULA, 2010. "Replicating Hedge Fund Indices with Optimization Heuristics," Swiss Finance Institute Research Paper Series 10-22, Swiss Finance Institute.

2009

  1. Manfred GILLI & Enrico SCHUMANN, 2009. "An Empirical Analysis of Alternative Portfolio Selection Criteria," Swiss Finance Institute Research Paper Series 09-06, Swiss Finance Institute.
  2. Manfred Gilli & Enrico Schumann, 2009. "Implementing Binomial Trees," Working Papers 008, COMISEF.
  3. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
  4. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  5. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.

2008

  1. Manfred Gilli & Enrico Schumann, 2008. "Distributed Optimisation of a Portfolio's Omega," Swiss Finance Institute Research Paper Series 08-17, Swiss Finance Institute.
  2. Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ, 2008. "Constructing Long/Short Portfolios with the Omega ratio," Swiss Finance Institute Research Paper Series 08-34, Swiss Finance Institute.

2006

  1. Ilir Roko & Manfred Gilli, 2006. "Using Economic and Financial Information for Stock Selection," Swiss Finance Institute Research Paper Series 06-21, Swiss Finance Institute.

2005

  1. Ilir Roko & Pierangelo Ciurlia, 2005. "Alternative Characterizations of the European Continuous-Installment Option Valuation Problem," Computing in Economics and Finance 2005 221, Society for Computational Economics.
  2. M. Gilli & I. Roko, 2005. "Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches," Computing in Economics and Finance 2005 338, Society for Computational Economics.

2004

  1. Pierangelo Ciurlia & Ilir Roko, 2004. "Valuation of American Continuous-Installment Options," Computing in Economics and Finance 2004 345, Society for Computational Economics.

Journal articles

2012

  1. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
  2. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012. "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3153-3181.

2011

  1. Manfred Gilli & Enrico Schumann & Giacomo di Tollo & Gerda Cabej, 2011. "Constructing 130/30-portfolios with the Omega ratio," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 94-108, June.

2010

  1. Gilli, Manfred & Schumann, Enrico, 2010. "Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude," Journal of Financial Transformation, Capco Institute, vol. 28, pages 117-122.

2008

  1. I. Roko & M. Gilli, 2008. "Using economic and financial information for stock selection," Computational Management Science, Springer, vol. 5(4), pages 317-335, October.

2005

  1. Pierangelo Ciurlia & Ilir Roko, 2005. "Valuation of American Continuous-Installment Options," Computational Economics, Springer;Society for Computational Economics, vol. 25(1), pages 143-165, February.

Books

2011

  1. Gilli, Manfred & Maringer, Dietmar & Schumann, Enrico, 2011. "Numerical Methods and Optimization in Finance," Elsevier Monographs, Elsevier, edition 1, number 9780123756626.

Chapters

2017

  1. Manfred Gilli & Enrico Schumann, 2017. "Heuristics for Portfolio Selection," International Series in Operations Research & Management Science, in: Giorgio Consigli & Daniel Kuhn & Paolo Brandimarte (ed.), Optimal Financial Decision Making under Uncertainty, chapter 0, pages 225-253, Springer.

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