Manfred Gilli

University of Geneva - Research Center for Statistics

Emeritus Professor

Geneva

Switzerland

http://www.unige.ch/ses/metri/gilli/

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

29

DOWNLOADS
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17,548

SSRN CITATIONS
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Top 12,981

in Total Papers Citations

10

CROSSREF CITATIONS

82

Scholarly Papers (29)

1.

Calibrating Option Pricing Models with Heuristics

NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Anthony Brabazon, Michael O'Neill, Dietmar Maringer, eds., Vol. 4, Springer, 2011
Number of pages: 39 Posted: 08 Mar 2010 Last Revised: 30 Dec 2013
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 2,121 (9,099)
Citation 4

Abstract:

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Option Pricing, Calibration of Option Pricing Models, Differential Evolution, Particle Swarm Optimisation, Heston Model, Bates Model, Matlab

2.

Calibrating the Nelson-Siegel-Svensson Model

Number of pages: 22 Posted: 16 Sep 2010 Last Revised: 22 Apr 2011
Manfred Gilli, Stefan Grosse and Enrico Schumann
University of Geneva - Research Center for Statistics, NORD/LB and Independent
Downloads 1,673 (13,362)
Citation 17

Abstract:

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Interest Rate Models, Term Structure Models, Nelson-Siegel, Nelson-Siegel-Svensson, Differential Evolution, R

3.

A Review of Heuristic Optimization Methods in Econometrics

Swiss Finance Institute Research Paper No. 08-12
Number of pages: 47 Posted: 05 Jun 2008
Manfred Gilli and Peter Winker
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 1,496 (15,968)

Abstract:

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Optimization heuristics, Estimation, Modelling

4.

Constructing Long/Short Portfolios with the Omega Ratio

Swiss Finance Institute Research Paper No. 08-34
Number of pages: 21 Posted: 27 Oct 2008
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 1,472 (16,361)
Citation 6

Abstract:

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Optimisation heuristics, Threshold Accepting, Portfolio Optimisation

5.

Implementing Binomial Trees

Number of pages: 16 Posted: 11 Feb 2009 Last Revised: 20 Nov 2009
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 1,275 (20,285)
Citation 2

Abstract:

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Option pricing, Binomial trees, Numerical methods, Matlab, R

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Swiss Finance Institute Research Paper No. 06-2
Number of pages: 22 Posted: 21 Jun 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
University of Geneva - Research Center for Statistics, Mirabaud & Cie and University of Geneva - Department of Econometrics
Downloads 1,231 (20,983)
Citation 4

Abstract:

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Portfolio optimization, Heuristic optimization, Threshold accepting, Downside risk

A Data-Driven Optimization Heuristic for Downside Risk Minimization

Journal of Risk, Vol. 8, No. 3, Spring 2006
Posted: 11 May 2006
Manfred Gilli, Evis Këllezi and Hilda Hysi
University of Geneva - Research Center for Statistics, Mirabaud & Cie and University of Geneva - Department of Econometrics

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value-at-risk, VAR, expected shortfall, maximum loss, Omega function, multipurpose data-driven optimization heuristic, shortfall, maximum loss, Omega function

7.

An Empirical Analysis of Alternative Portfolio Selection Criteria

Swiss Finance Institute Research Paper No. 09-06
Number of pages: 41 Posted: 19 Mar 2009 Last Revised: 22 Apr 2010
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 1,040 (27,338)
Citation 11

Abstract:

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Portfolio optimisation, Optimisation heuristics, Partial moments, Downside risk, Expected Shortfall, Value-at-Risk, Risk measures, Performance measures, Threshold Accepting

8.

Heuristic Optimisation in Financial Modelling

Annals of Operations Research, Vol. 193, No. 1, pp. 129-158, 2012
Number of pages: 31 Posted: 02 Oct 2008 Last Revised: 14 Mar 2013
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 806 (39,073)
Citation 1

Abstract:

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Optimisation heuristics, Financial Optimisation, Portfolio Optimisation

Replicating Hedge Fund Indices with Optimization Heuristics

Swiss Finance Institute Research Paper No. 10-22
Number of pages: 16 Posted: 13 Jun 2010
University of Geneva - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 363 (104,827)
Citation 2

Abstract:

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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio Optimization, Optimization Heuristics, Drawdown

Replicating Hedge Fund Indices with Optimization Heuristics

Number of pages: 12 Posted: 11 May 2010
University of Geneva - Research Center for Statistics, Independent, University of Geneva and University of Geneva
Downloads 345 (111,067)
Citation 2

Abstract:

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Hedge Funds, Hedge Fund Replication, Asset Allocation, Portfolio optimization, Optimization heuristics, Drawdown

10.

Using Economic and Financial Information for Stock Selection

Swiss Finance Institute Research Paper No. 06-21
Number of pages: 23 Posted: 31 Oct 2006
Manfred Gilli and Ilir Roko
University of Geneva - Research Center for Statistics and University of Geneva - Faculty of Economic and Social Sciences
Downloads 702 (47,087)
Citation 2

Abstract:

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Portfolio optimization, Decision trees, Factor models

11.

Constructing 130/30-Portfolios with the Omega Ratio

Journal of Asset Management, Vol 12, No 2, pp. 94-108, 2011
Number of pages: 17 Posted: 01 Sep 2009 Last Revised: 23 Jul 2011
University of Geneva - Research Center for Statistics, Independent, Ca Foscari University of Venice - Dipartimento di Economia and University of Geneva
Downloads 606 (57,046)
Citation 1

Abstract:

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Portfolio optimisation, 130/30-portfolios, Optimisation heuristics

12.

Distributed Optimisation of a Portfolio's Omega

Parallel Computing, Vol. 36, No. 7, pp. 381-389, 2010, Swiss Finance Institute Research Paper No. 08 - 17
Number of pages: 20 Posted: 08 Jul 2008 Last Revised: 22 Jul 2011
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 602 (57,514)
Citation 1

Abstract:

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Optimization heuristics, Threshold Accepting, Portfolio Optimization

13.

FX Trading: An Empirical Study

Number of pages: 14 Posted: 15 Jul 2011
University of Geneva, University of Geneva - Research Center for Statistics, University of Geneva and Independent
Downloads 483 (75,740)

Abstract:

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FX Trading, Asset Allocation, Technical Trading, Portfolio Optimization, Optimization Heuristics

14.

The Threshold Accepting Heuristic for Index Tracking

Number of pages: 18 Posted: 18 Dec 2008
Manfred Gilli and Evis Kellezi
University of Geneva - Research Center for Statistics and affiliation not provided to SSRN
Downloads 460 (80,319)
Citation 7

Abstract:

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Threshold Accepting, Heuristic Optimization, Index Tracking, Passive Fund Management

15.

Better Portfolios with Options

Number of pages: 16 Posted: 08 Nov 2012 Last Revised: 12 Nov 2012
Gerda Cabej, Manfred Gilli and Enrico Schumann
University of Geneva, University of Geneva - Research Center for Statistics and Independent
Downloads 426 (87,945)

Abstract:

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Option Overwriting, Delta-Hedging, Volatility trading, Portfolio Optimization, Optimization Heuristics

16.

Optimisation in Financial Engineering

Journal of Financial Transformation, Vol. 28, pp. 117-122, 2010
Number of pages: 10 Posted: 03 Feb 2010 Last Revised: 19 Oct 2010
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 412 (91,394)

Abstract:

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Financial Optimisation, Financial Modelling, Heuristics, Model Evaluation

17.

Indirect Estimation of the Parameters of Agent Based Models of Financial Markets

FAME Working Paper No. 38
Number of pages: 24 Posted: 25 Feb 2002
Manfred Gilli and Peter Winker
University of Geneva - Research Center for Statistics and University of Giessen - Department of Economics
Downloads 342 (112,928)
Citation 21

Abstract:

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Agent Based Models, Indirect Estimation, Validation

18.

An Objective Function for Simulation Based Inference on Exchange Rate Data

Swiss Finance Institute Research Paper No. 07-01
Number of pages: 23 Posted: 21 Feb 2007
Manfred Gilli, Peter Winker and Vahidin Jeleskovic
University of Geneva - Research Center for Statistics, University of Giessen - Department of Economics and University of Giessen - Department of Economics
Downloads 283 (138,177)
Citation 1

Abstract:

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Indirect estimation, simulation based estimation, exchange rate returns

19.

A Note on ‘Good Starting Values’ in Numerical Optimisation

Number of pages: 7 Posted: 03 Jun 2010 Last Revised: 16 Sep 2010
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 225 (173,547)
Citation 5

Abstract:

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numerical optimisation, Nelson-Siegel, Nelson-Siegel-Svensson, optimisation heuristics

20.

Optimal Enough?

Journal of Heuristics, Vol. 17, No. 4, pp. 373-387, 2011
Number of pages: 18 Posted: 17 Jun 2009 Last Revised: 23 Jul 2011
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 218 (178,837)

Abstract:

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

21.

Heuristics for Portfolio Selection

Number of pages: 16 Posted: 20 Jan 2015
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 190 (202,903)

Abstract:

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portfolio optimisation, heuristics, financial modelling, model risk, model errors

22.

Robust Regression with Optimisation Heuristics

Anthony Brabazon, Michael O’Neill and Dietmar Maringer, eds., NATURAL COMPUTING IN COMPUTATIONAL FINANCE, Volume 3, Springer 2010
Number of pages: 26 Posted: 13 Jul 2009 Last Revised: 20 Oct 2010
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 187 (205,727)

Abstract:

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Optimisation heuristics, Robust Regression, Least Median of Squares

23.

Risk-Reward Optimisation for Long-Run Investors: An Empirical Analysis

European Actuarial Journal, Vol. 1, No. 1 (supplement 2), pp. 303-327, 2011
Number of pages: 26 Posted: 20 Oct 2010 Last Revised: 15 Mar 2013
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 173 (220,111)

Abstract:

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Portfolio optimisation, Optimisation heuristics, Downside risk

24.

Risk-Reward Ratio Optimisation (Revisited)

Swiss Finance Institute Research Paper No. 17-55
Number of pages: 15 Posted: 28 May 2017 Last Revised: 09 Jan 2018
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 148 (250,805)

Abstract:

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Numerical optimisation; Heuristics; Risk-based investing; Downside risk; Factor Investing; UCITS

25.

Optimization Cultures

Number of pages: 6 Posted: 15 Apr 2014 Last Revised: 03 May 2014
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 125 (285,901)

Abstract:

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Numerical Optimization, Heuristics, Algorithms

26.

Accuracy and Precision in Finance

Number of pages: 9 Posted: 03 Dec 2015
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 71 (409,887)

Abstract:

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heuristics, portfolio optimisation, model validation, model risk

27.

Appendix for 'Optimal Enough?'

Number of pages: 2 Posted: 03 Oct 2009
Manfred Gilli and Enrico Schumann
University of Geneva - Research Center for Statistics and Independent
Downloads 54 (469,406)

Abstract:

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Optimisation heuristics, Portfolio Optimisation, Threshold Accepting

28.

Climate Change Impacts on Hydropower Management

Water Resources Management (27), 5143-5156. DOI: 10.1007/s11269-013-0458-1
Number of pages: 16 Posted: 26 Oct 2017
Ludovic Gaudard, Manfred Gilli and Franco Romerio
University of Geneva, University of Geneva - Research Center for Statistics and University of Geneva - GSEM and ISE
Downloads 19 (657,163)

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Climate change, Hydropower management, Electricity market, Switzerland

29.

Sparse Direct Methods for Model Simulation

University of Geneva Working Paper No. 95.06
Posted: 19 Nov 1996
Manfred Gilli and Giorgio Pauletto
University of Geneva - Research Center for Statistics and University of Geneva

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