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Enrico Schumann

Personal Details

First Name:Enrico
Middle Name:
Last Name:Schumann
Suffix:
RePEc Short-ID:psc376
[This author has chosen not to make the email address public]
http://enricoschumann.net
Terminal Degree:2010 Département d'économétrie; Université de Genève (from RePEc Genealogy)

Affiliation

Département d'économétrie
Université de Genève

Genève, Switzerland
http://www.unige.ch/ses/metri/

: (+ 41 22) 705-8229
(+ 41 22) 705-8299
Uni Mail, 102 Bd Carl-Vogt, CH-1211 Genève 4
RePEc:edi:dexgech (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Books

Working papers

  1. Manfred Gilli & Enrico Schumann, 2010. "A note on ‘good starting values’ in numerical optimisation," Working Papers 044, 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. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, 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.
  5. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
  6. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.
  7. Manfred Gilli & Enrico Schumann, 2009. "Implementing Binomial Trees," Working Papers 008, COMISEF.
  8. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
  9. Manfred GILLI & Enrico SCHUMANN, 2009. "An Empirical Analysis of Alternative Portfolio Selection Criteria," Swiss Finance Institute Research Paper Series 09-06, Swiss Finance Institute.
  10. Manfred Gilli & Enrico Schumann, "undated". "Distributed Optimisation of a Portfolio's Omega," Swiss Finance Institute Research Paper Series 08-17, Swiss Finance Institute.
  11. Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ, "undated". "Constructing Long/Short Portfolios with the Omega ratio," Swiss Finance Institute Research Paper Series 08-34, Swiss Finance Institute.

Articles

  1. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
  2. 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.

Books


    RePEc:eee:monogr:9780123756626 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Manfred Gilli & Stefan Große & Enrico Schumann, 2010. "Calibrating the Nelson–Siegel–Svensson model," Working Papers 031, COMISEF.

    Cited by:

    1. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2013. "Forecasting the yield curve - Forecast performance of the dynamic Nelson-Siegel model from 1971 to 2008," MPRA Paper 61862, University Library of Munich, Germany.
    2. Virmani, Vineet, 2013. "On the Choice of Optimization Routine in Estimation of Parsimonious Term Structure Models: Results from the Svensson Model," IIMA Working Papers WP2013-01-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    3. Molenaars, Tomas K. & Reinerink, Nick H. & Hemminga, Marcus A., 2015. "Forecasting the yield curve: art or science?," MPRA Paper 61917, University Library of Munich, Germany.
    4. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    5. Areski Cousin & Hassan Maatouk & Didier Rulli`ere, 2016. "Kriging of financial term-structures," Papers 1604.02237, arXiv.org.
    6. Francisco Ibáñez, 2016. "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," Working Papers Central Bank of Chile 774, Central Bank of Chile.
    7. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
    8. Eran Raviv, 2013. "Prediction Bias Correction for Dynamic Term Structure Models," Tinbergen Institute Discussion Papers 13-041/III, Tinbergen Institute.
    9. Ibanez, Francisco, 2015. "Calibrating the Dynamic Nelson-Siegel Model: A Practitioner Approach," MPRA Paper 68377, University Library of Munich, Germany.
    10. Michał Brzoza-Brzezina & Jacek Kotłowski, 2012. "Measuring the natural yield curve," NBP Working Papers 108, Narodowy Bank Polski, Economic Research Department.
    11. Maria Teresa Medeiros Garcia & Vítor Hugo Ferreira Carvalho, 2018. "A static approach to the Nelson-Siegel-Svensson model: an application for several negative yield cases," Working Papers REM 2018/35, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    12. Groll, Andreas & López-Cabrera, Brenda & Meyer-Brandis, Thilo, 2016. "A consistent two-factor model for pricing temperature derivatives," Energy Economics, Elsevier, vol. 55(C), pages 112-126.
    13. Francisco Rivadeneyra, 2012. "The U.S.-Dollar Supranational Zero-Coupon Curve," Discussion Papers 12-5, Bank of Canada.
    14. Dang-Nguyen, Stéphane & Le Caillec, Jean-Marc & Hillion, Alain, 2014. "The deterministic shift extension and the affine dynamic Nelson–Siegel model," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 402-417.

  2. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.

    Cited by:

    1. Yiran Cui & Sebastian del Ba~no Rollin & Guido Germano, 2015. "Full and fast calibration of the Heston stochastic volatility model," Papers 1511.08718, arXiv.org, revised May 2016.
    2. Silvia Centanni, 2011. "Computing option values by pricing kernel with a stochatic volatility model," Working Papers 05/2011, University of Verona, Department of Economics.
    3. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    4. Stefan Haring & Ronald Hochreiter, 2015. "Efficient and robust calibration of the Heston option pricing model for American options using an improved Cuckoo Search Algorithm," Papers 1507.08937, arXiv.org.

  3. 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.

    Cited by:

    1. Mohammad Reza Tavakoli Baghdadabad & Paskalis Glabadanidis, 2013. "Average Drawdown Risk and Capital Asset Pricing," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-21.

  4. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.

    Cited by:

    1. Somya Tyagi & Sikandar Siddiqui, 2017. "Yield Curve and Momentum Effects in Monthly U.S. Equity Returns: Some Nonparametric Evidence," Asian Journal of Economics and Empirical Research, Asian Online Journal Publishing Group, vol. 4(2), pages 61-67.
    2. Arne Risa Hole & Hong Il Yoo, 2017. "The use of heuristic optimization algorithms to facilitate maximum simulated likelihood estimation of random parameter logit models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 66(5), pages 997-1013, November.

  5. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.

    Cited by:

    1. Björn Fastrich & Sandra Paterlini & Peter Winker, 2014. "Cardinality versus q -norm constraints for index tracking," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 2019-2032, November.
    2. Björn Fastrich & Peter Winker, 2012. "Robust portfolio optimization with a hybrid heuristic algorithm," Computational Management Science, Springer, vol. 9(1), pages 63-88, February.
    3. Joseph Andria & Giacomo Tollo & Raffaele Pesenti, 2015. "Detection of local tourism systems by threshold accepting," Computational Management Science, Springer, vol. 12(4), pages 559-575, October.
    4. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.
    5. Tae-Seok Jang, 2015. "Identification of Social Interaction Effects in Financial Data," Computational Economics, Springer;Society for Computational Economics, vol. 45(2), pages 207-238, February.

  6. Manfred Gilli & Enrico Schumann, 2009. "Implementing Binomial Trees," Working Papers 008, COMISEF.

    Cited by:

    1. Burcu Aydoğan & Ümit Aksoy & Ömür Uğur, 2018. "On the methods of pricing American options: case study," Annals of Operations Research, Springer, vol. 260(1), pages 79-94, January.

  7. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.

    Cited by:

    1. Gaudard, Ludovic, 2015. "Pumped-storage project: A short to long term investment analysis including climate change," Renewable and Sustainable Energy Reviews, Elsevier, vol. 49(C), pages 91-99.
    2. Cui, Yiran & del Baño Rollin, Sebastian & Germano, Guido, 2017. "Full and fast calibration of the Heston stochastic volatility model," European Journal of Operational Research, Elsevier, vol. 263(2), pages 625-638.
    3. Jevtić, Petar & Luciano, Elisa & Vigna, Elena, 2013. "Mortality surface by means of continuous time cohort models," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 122-133.
    4. Ardia, David & Boudt, Kris & Carl, Peter & Mullen, Katharine M. & Peterson, Brian, 2010. "Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization," MPRA Paper 22135, University Library of Munich, Germany.
    5. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
    6. Leonardo Riegel Sant’Anna & Tiago Pascoal Filomena & Pablo Cristini Guedes & Denis Borenstein, 2017. "Index tracking with controlled number of assets using a hybrid heuristic combining genetic algorithm and non-linear programming," Annals of Operations Research, Springer, vol. 258(2), pages 849-867, November.

  8. Manfred GILLI & Enrico SCHUMANN, 2009. "An Empirical Analysis of Alternative Portfolio Selection Criteria," Swiss Finance Institute Research Paper Series 09-06, Swiss Finance Institute.

    Cited by:

    1. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    2. Mohammad Reza Tavakoli Baghdadabad & Paskalis Glabadanidis, 2013. "Average Drawdown Risk and Capital Asset Pricing," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 16(04), pages 1-21.
    3. Manfred Gilli & Enrico Schumann, 2009. "Robust regression with optimisation heuristics," Working Papers 011, COMISEF.
    4. Manfred Gilli & Enrico Schumann, 2009. "Optimal enough?," Working Papers 010, COMISEF.

  9. Manfred Gilli & Enrico Schumann, "undated". "Distributed Optimisation of a Portfolio's Omega," Swiss Finance Institute Research Paper Series 08-17, Swiss Finance Institute.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Manfred Gilli & Enrico Schumann, 2009. "Heuristic Optimisation in Financial Modelling," Working Papers 007, COMISEF.
    3. Marianna Lyra, 2010. "Heuristic Strategies in Finance – An Overview," Working Papers 045, COMISEF.
    4. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    5. Gaustaroba, Gianfranco & Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem," MPRA Paper 67097, University Library of Munich, Germany.

  10. Manfred GILLI & Enrico SCHUMANN & Giacomo DI TOLLO & Gerda CABEJ, "undated". "Constructing Long/Short Portfolios with the Omega ratio," Swiss Finance Institute Research Paper Series 08-34, Swiss Finance Institute.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Kapsos, Michalis & Christofides, Nicos & Rustem, Berç, 2014. "Worst-case robust Omega ratio," European Journal of Operational Research, Elsevier, vol. 234(2), pages 499-507.
    3. Marie Briere & Ariane Szafarz, 2017. "Factor Investing: The Rocky Road from Long-Only to Long-Short," Working Papers CEB 17-013, ULB -- Universite Libre de Bruxelles.
    4. Gaustaroba, Gianfranco & Mansini, Renata & Ogryczak, Wlodzimierz & Speranza, M. Grazia, 2014. "Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem," MPRA Paper 67097, University Library of Munich, Germany.
    5. Amita Sharma & Sebastian Utz & Aparna Mehra, 2017. "Omega-CVaR portfolio optimization and its worst case analysis," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 39(2), pages 505-539, March.

Articles

  1. Manfred Gilli & Enrico Schumann, 2012. "Heuristic optimisation in financial modelling," Annals of Operations Research, Springer, vol. 193(1), pages 129-158, March.
    See citations under working paper version above.
  2. 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.

    Cited by:

    1. Manfred Gilli & Enrico Schumann, 2010. "Calibrating Option Pricing Models with Heuristics," Working Papers 030, COMISEF.

Books

    Sorry, no citations of books recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CMP: Computational Economics (6) 2009-12-05 2009-12-05 2010-03-20 2010-04-11 2010-10-16 2011-04-16. Author is listed
  2. NEP-ORE: Operations Research (4) 2009-12-05 2009-12-05 2009-12-05 2010-03-20. Author is listed
  3. NEP-RMG: Risk Management (2) 2009-06-03 2011-04-16
  4. NEP-CBA: Central Banking (1) 2010-04-11
  5. NEP-ECM: Econometrics (1) 2009-12-05
  6. NEP-FMK: Financial Markets (1) 2011-04-16

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