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Publications

by members of

Université de Genève → Département d'économétrie

University of Geneva → Department of Econometrics

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, Swiss Finance Institute, number 17-55, May.

2010

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

2009

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

2008

  1. Manfred Gilli & Enrico Schumann, 2008, "Distributed Optimisation of a Portfolio's Omega," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 08-17, Jul.
  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, Swiss Finance Institute, number 08-34, Oct.

2006

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

2005

  1. Ilir Roko & Pierangelo Ciurlia, 2005, "Alternative Characterizations of the European Continuous-Installment Option Valuation Problem," Computing in Economics and Finance 2005, Society for Computational Economics, number 221, Nov.
  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, Society for Computational Economics, number 338, Nov.

2004

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

Journal articles

2012

  1. Krishnakumar, Jaya & Kabili, Andi & Roko, Ilir, 2012, "Estimation of SEM with GARCH errors," Computational Statistics & Data Analysis, Elsevier, volume 56, issue 11, pages 3153-3181, DOI: 10.1016/j.csda.2012.03.006.
  2. Manfred Gilli & Enrico Schumann, 2012, "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, volume 193, issue 1, pages 129-158, March, DOI: 10.1007/s10479-011-0862-y.

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, volume 12, issue 2, pages 94-108, June, DOI: 10.1057/jam.2010.25.

2010

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

2008

  1. I. Roko & M. Gilli, 2008, "Using economic and financial information for stock selection," Computational Management Science, Springer, volume 5, issue 4, pages 317-335, October, DOI: 10.1007/s10287-007-0056-x.

2005

  1. Pierangelo Ciurlia & Ilir Roko, 2005, "Valuation of American Continuous-Installment Options," Computational Economics, Springer;Society for Computational Economics, volume 25, issue 1, pages 143-165, February, DOI: 10.1007/s10614-005-6279-4.

Books

2011

  1. Gilli, Manfred & Maringer, Dietmar & Schumann, Enrico, 2011, "Numerical Methods and Optimization in Finance," Elsevier Monographs, Elsevier, number 9780123756626, edition 1, ISBN: ARRAY(0x7c348a50).

Chapters

2017

  1. Manfred Gilli & Enrico Schumann, 2017, "Heuristics for Portfolio Selection," International Series in Operations Research & Management Science, Springer, chapter 0, in: Giorgio Consigli & Daniel Kuhn & Paolo Brandimarte, "Optimal Financial Decision Making under Uncertainty", DOI: 10.1007/978-3-319-41613-7_10.

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