Here are listed Articles that describe research work undertaken by the institutions participating in COMISEF.
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Justus Liebig University Giessen
Title: Least Median of Squares Estimation by Optimization Heuristics with an Application to CAPM
Author: Marianna Lyra
Date: June 2008
Title: Optimization Heuristics for Determining Internal Rating Grading Scales
Author: Marianna Lyra
Date: November 2008
Title: Optimised U-Type Designs on Flexible Regions
Author: Chris Sharpe
Date: August 2009
Imperial College London
Title: Robust Optimization of a Currency Portfolio
Author: Raquel Fonseca
Date: November 2009
Title: Robust International Portfolio Management
Author: Raquel Fonseca
Date: March 2010
Università degli Studi di Roma “La Sapienza”
Birkbeck College London
University of Zürich
Université de Genève
Title: Portfolio Optimisation in a Distributed Computing Environment
Author: Enrico Schumann
Date: July 2008
Title: An Empirical Analysis of Alternative Portfolio Selection Criteria
Author: Enrico Schumann
Date: March 2009
Title: Constructing Long/Short Portfolios with the Omega ratio
Author: Enrico Schumann
Date: April 2009
Title: Calibrating Option Pricing Models with Heuristics
Author: Enrico Schumann
Date: January 2010
Title: Calibrating the Nelson-Siegel Model
Author: Enrico Schumann
Date: March 2010
Deutsche Bank AG (Credit Risk Management, Risk Analytics & Instruments)
Humboldt University Berlin
University of Cyprus
University of Essex (Centre for Computational Finance and Economic Agents, CCFEA)
Title: Improving Portfolio Performance with Clustering
Author: Jin Zhang
Date: November 2008
Title: Index Mutual Fund Replication with Two Rebalance Strategies
Author: Jin Zhang
Date: December 2009
Title: An EML Estimator for Multivariate t Copulas
Author: Jin Zhang
Date: December 2009
University of Klagenfurt
Title: OPTCON5: An algorithm for the optimal control of nonlinear stochastic models
Author: Viktoria Blüschke-Nikolaeva
Date: January 2009
University of Lodz