Current Research

Here are listed Articles that describe research work undertaken by the institutions participating in COMISEF.

All related Articles, Concepts, Tutorials, or Tips, and external resources asscociated to a particular Article can be accessed by clicking the Tabs on the External and Internal Tabviews at the bottom of the Article.

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

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