Details about Enrico Schumann

Access statistics for papers by Enrico Schumann.

Last updated 2021-03-16. Update your information in the RePEc Author Service.

Short-id: psc376

Working Papers

2017

1. Risk-Reward Ratio Optimisation (Revisited)
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2010

2. A note on ‘good starting values’ in numerical optimisation
   Working Papers, COMISEF View citations (2)
3. Calibrating Option Pricing Models with Heuristics
   Working Papers, COMISEF View citations (11)
4. Calibrating the Nelson–Siegel–Svensson model
   Working Papers, COMISEF View citations (24)
5. Replicating Hedge Fund Indices with Optimization Heuristics
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2009

6. An Empirical Analysis of Alternative Portfolio Selection Criteria
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (5)
7. Heuristic Optimisation in Financial Modelling
   Working Papers, COMISEF View citations (7)
   See also Journal Article Heuristic optimisation in financial modelling, Annals of Operations Research, Springer (2012) View citations (19) (2012)
8. Implementing Binomial Trees
   Working Papers, COMISEF View citations (1)
9. Optimal enough?
   Working Papers, COMISEF View citations (9)
10. Robust regression with optimisation heuristics
    Working Papers, COMISEF View citations (2)

2008

11. Constructing Long/Short Portfolios with the Omega ratio
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
12. Distributed Optimisation of a Portfolio's Omega
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (8)

Journal Articles

2012

1. Heuristic optimisation in financial modelling
   Annals of Operations Research, 2012, 193, (1), 129-158 View citations (19)
   See also Working Paper Heuristic Optimisation in Financial Modelling, Working Papers (2009) View citations (7) (2009)

2011

2. Constructing 130/30-portfolios with the Omega ratio
   Journal of Asset Management, 2011, 12, (2), 94-108 View citations (3)

2010

3. Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude
   Journal of Financial Transformation, 2010, 28, 117-122 View citations (2)

Books

2011

1. Numerical Methods and Optimization in Finance
   Elsevier Monographs, Elsevier View citations (39)

Chapters

2017

1. Heuristics for Portfolio Selection
   Springer