Working Papers

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46: Heuristic model selection for leading indicators in Russia and Germany

Ivan Savin and Peter Winker

45: Heuristic Strategies in Finance – An Overview

Marianna Lyra

44: A note on ‘good starting values’ in numerical optimisation

Manfred Gilli and Enrico Schumann

43: Generalized Decision Rule Approximations for Stochastic Programming via Liftings

Angelos Georghiou, Wolfram Wiesemann and Daniel Kuhn

42: A comparative study of the Lasso-type and heuristic model selection methods

Ivan Savin

41: Robust Portfolio Optimization with a Hybrid Heuristic Algorithm

Björn Fastrich and Peter Winker

40: Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules

Paula Rocha and Daniel Kuhn

39: Threshold Accepting for Credit Risk Assessment and Validation

Marianna Lyra, Akwum Onwunta and Peter Winker

38: Exact Maximum Likelihood Estimation for Copula Models

Jin Zhang and Wing Long Ng

37: Asset Pair-Copula Selection with Downside Risk Minimization

Jin Zhang and Dietmar Maringer

36: Asset Allocation under Hierarchical Clustering

Jin Zhang and Dietmar Maringer

35: Index Mutual Fund Replication

Jin Zhang and Dietmar Maringer

34: Robust Markov Decision Processes

Wolfram Wiesemann, Daniel Kuhn and Berç Rustem

33: Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks

Sheri Markose, Simone Giansante, Mateusz Gatkowski and Ali Rais Shaghaghi

32: Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application

Viktoria Blüschke-Nikolaeva, Dmitri Blüschke and Reinhard Neck

31: Calibrating the Nelson–Siegel–Svensson model

Manfred Gilli, Stefan Große and Enrico Schumann

30: Calibrating Option Pricing Models with Heuristics

Manfred Gilli and Enrico Schumann

29: Robust International Portfolio Management

Raquel Fonseca, Wolfram Wiesemann and Berc Rustem

28: Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization

S. Bandyopadhyay, R. Baragona and U. Maulik

27: Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance

Ivan Savin and Peter Winker

26: Multi-regime models for nonlinear nonstationary time series

Francesco Battaglia and Mattheos Protopapas

25: The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies

Anindya Banerjee, Victor Bystrov and Paul Mizen

24: Bootstrap Confidence Bands for Forecast Paths

Anna Staszewska-Bystrova

23: Partitioning Procedure for Polynomial Optimization: Application to Portfolio Decisions with Higher Order Moments

P. M. Kleniati, Panos Parpas and Berc Rustem

22: Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems

P. M. Kleniati, Panos Parpas and Berc Rustem

21: Portfolio Decisions with Higher Order Moments

P. M. Kleniati and Berc Rustem

20: Robust Resource Allocations in Temporal Networks

Wolfram Wiesemann, Daniel Kuhn and Berc Rustem

19: An Interior-Point algorithm for Nonlinear Minimax Problems

E. Obasanjo, G. Tzallas-Regas and B. Rustem

18: Robust Portfolio Optimization with Derivative Insurance Guarantees

Steve Zymler, Berc Rustem and Daniel Kuhn

17: Worst-Case Value-at-Risk of Non-Linear Portfolios

Steve Zymler, Daniel Kuhn and Berc Rustem

16: Bounding Option Prices Using SDP With Change Of Numeraire

Kai Ye, Panos Parpas and Berc Rustem

15: Robust Portfolio Optimization: A Conic Programming Approach

Kai Ye, Panos Parpas and Berc Rustem

14: Validating Structural Credit Portfolio Models

Michael Kalkbrener and Akwum Onwunta

13: Optimized U-type Designs on Flexible Regions

Dennis Lin, Chris Sharpe and Peter Winker

12: Robust Optimization of Currency Portfolios

Raquel Fonseca, Steve Zymler, Wolfram Wiesemann and Berc Rustem

11: Robust regression with optimisation heuristics

Manfred Gilli and Enrico Schumann

10: Optimal enough?

Manfred Gilli and Enrico Schumann

9: Time-varying Multi-regime Models Fitting by Genetic Algorithms

Francesco Battaglia and Mattheos Protopapas

8: Implementing Binomial Trees

Manfred Gilli and Enrico Schumann

7: Heuristic Optimisation in Financial Modelling

Manfred Gilli and Enrico Schumann

6: Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models

Peter Winker, Marianna Lyra and Chris Sharpe

5: Optimization Heuristics for Determining Internal Rating Grading Scales

Marianna Lyra, Johannes Paha, Sandra Paterlini and Peter Winker

4: Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games

Mattheos Protopapas, Francesco Battaglia and Elias Kosmatopoulo

3: Meta-heuristic Methods for Outliers Detection in Multivariate Time Series

Domenico Cucina, Mattheos Protopapas and Antonietta di Salvatore

2: Determination of sequential best replies in n-player games by Genetic Algorithms

Mattheos Protopapas

1: Review of Heuristic Optimization Methods in Econometrics

Manfred Gilli and Peter Winker