COMISEF
Working Papers
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2011
- 046 Heuristic model selection for leading indicators in Russia and Germany
by Ivan Savin & Peter Winker
2010
- 045 Heuristic Strategies in Finance – An Overview
by Marianna Lyra - 044 A note on ‘good starting values’ in numerical optimisation
by Manfred Gilli & Enrico Schumann - 043 Generalized Decision Rule Approximations for Stochastic Programming via Liftings
by Angelos Georghiou & Wolfram Wiesemann & Daniel Kuhn - 042 A comparative study of the Lasso-type and heuristic model selection methods
by Ivan Savin - 041 Robust Portfolio Optimization with a Hybrid Heuristic Algorithm
by Björn Fastrich & Peter Winker - 040 Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules
by Paula Rocha & Daniel Kuhn - 039 Threshold Accepting for Credit Risk Assessment and Validation
by Marianna Lyra & Akwum Onwunta & Peter Winker - 038 Exact Maximum Likelihood Estimation for Copula Models
by Jin Zhang & Wing Long Ng - 037 Asset Pair-Copula Selection with Downside Risk Minimization
by Jin Zhang & Dietmar Maringer - 036 Asset Allocation under Hierarchical Clustering
by Jin Zhang & Dietmar Maringer - 035 Index Mutual Fund Replication
by Jin Zhang & Dietmar Maringer - 034 Robust Markov Decision Processes
by Wolfram Wiesemann & Daniel Kuhn & Berç Rustem - 033 Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks
by Sheri Markose & Simone Giansante & Mateusz Gatkowski & Ali Rais Shaghaghi - 032 Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application
by Viktoria Blüschke-Nikolaeva & Dmitri Blüschke & Reinhard Neck - 031 Calibrating the Nelson–Siegel–Svensson model
by Manfred Gilli & Stefan Große & Enrico Schumann - 030 Calibrating Option Pricing Models with Heuristics
by Manfred Gilli & Enrico Schumann - 029 Robust International Portfolio Management
by Raquel J. Fonseca & Wolfram Wiesemann & Berc Rustem - 028 Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization
by S. Bandyopadhyay & R. Baragona & U. Maulik - 027 Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance
by Ivan Savin & Peter Winker - 026 Multi-regime models for nonlinear nonstationary time series
by Francesco Battaglia & Mattheos K. Protopapas - 025 The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies
by Anindya Banerjee & Victor Bystrov & Paul Mizen
2009
- 024 Bootstrap Confidence Bands for Forecast Paths
by Anna Staszewska-Bystrova - 023 Partitioning Procedure for Polynomial Optimization: Application to Portfolio Decisions with Higher Order Moments
by P. M. Kleniati & Panos Parpas & Berc Rustem - 022 Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems
by P. M. Kleniati & Panos Parpas & Berc Rustem - 021 Portfolio Decisions with Higher Order Moments
by P. M. Kleniati & Berc Rustem - 020 Robust Resource Allocations in Temporal Networks
by Wolfram Wiesemann & Daniel Kuhn & Berc Rustem - 019 An Interior-Point algorithm for Nonlinear Minimax Problems
by E. Obasanjo & G. Tzallas-Regas & B. Rustem - 018 Robust Portfolio Optimization with Derivative Insurance Guarantees
by Steve Zymler & Berc Rustem & Daniel Kuhn - 017 Worst-Case Value-at-Risk of Non-Linear Portfolios
by Steve Zymler & Daniel Kuhn & Berc Rustem - 016 Bounding Option Prices Using SDP With Change Of Numeraire
by Kai Ye & Panos Parpas & Berc Rustem - 015 Robust Portfolio Optimization: A Conic Programming Approach
by Kai Ye & Panos Parpas & Berc Rustem - 014 Validating Structural Credit Portfolio Models
by Michael Kalkbrener & Akwum Onwunta - 013 Optimized U-type Designs on Flexible Regions
by Dennis K.J. Lin & Chris Sharpe & Peter Winker - 012 Robust Optimization of Currency Portfolios
by Raquel J. Fonseca & Steve Zymler & Wolfram Wiesemann & Berc Rustem - 011 Robust regression with optimisation heuristics
by Manfred Gilli & Enrico Schumann - 010 Optimal enough?
by Manfred Gilli & Enrico Schumann - 009 Time-varying Multi-regime Models Fitting by Genetic Algorithms
by Francesco Battaglia & Mattheos Protopapas - 008 Implementing Binomial Trees
by Manfred Gilli & Enrico Schumann - 007 Heuristic Optimisation in Financial Modelling
by Manfred Gilli & Enrico Schumann
2008
- 006 Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models
by Peter Winker & Marianna Lyra & Chris Sharpe - 005 Optimization Heuristics for Determining Internal Rating Grading Scales
by Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker - 004 Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games
by Mattheos Protopapas & Francesco Battaglia & Elias Kosmatopoulo - 003 Meta-heuristic Methods for Outliers Detection in Multivariate Time Series
by Domenico Cucina & Mattheos Protopapas & Antonietta di Salvatore - 002 Determination of sequential best replies in n-player games by Genetic Algorithms
by Mattheos K. Protopapas - 001 Review of Heuristic Optimization Methods in Econometrics
by Manfred Gilli & Peter Winker