Enrico Schumann

about me name Enrico Schumann institution Université de Genève year of birth 1978 nationality German contact enrico.schumann[AT]unige.ch

research interests portfolio optimisation, computationally-intensive methods in statistics and econometrics, numerical methods in finance

current activities investigating the empirical performance of alternative optimisation criteria in portfolio selection (with Manfred Gilli) robust regression (with Manfred Gilli) calibrating option pricing models calibrating the Nelson-Siegel-Svensson model development of this Wiki (with Chris Sharpe)

working papers/technical reports ‘Distributed Optimisation of a Portfolio's Omega’ (with M. Gilli), available from SSRN ‘Heuristic Optimisation in Financial Modelling’ (with M. Gilli), available from the COMISEF Working Paper Series; an older version is available from SSRN ‘Constructing Long/Short Portfolios with the Omega Ratio’ (with M. Gilli, G. di Tollo and G. Cabej), available from SSRN ‘Implementing Binomial Trees’ (with M. Gilli), available from the COMISEF Working Paper Series; an older version is available from SSRN ‘An Empirical Analysis of Alternative Portfolio Selection Criteria’ (with M. Gilli), available from SSRN ‘Portfolio Optimisation with “Threshold Accepting”: a Practical Guide’ (with M. Gilli), available on request ‘Optimal enough?’ (with M. Gilli), available from the COMISEF Working Paper Series; also available from SSRN ‘Robust regression with optimisation heuristics’ (with M. Gilli), available from the COMISEF Working Paper Series; also available from SSRN ‘Constructing 130/30 Portfolios with the Omega ratio’ (with M. Gilli, G. di Tollo and G. Cabej), available from SSRN ‘Risk-Reward Optimisation for Long-Run Investors: an Empirical Analysis’, (with M. Gilli), paper presented at the AFIR/LIFE Colloquium 2009 in Munich, available from http://www.actuaries.org/Munich2009/Programme_EN.cfm

wiki articles An Empirical Analysis of Alternative Portfolio Selection Criteria Constructing Long/Short Portfolios with the Omega Ratio Portfolio Optimisation in a Distributed Computing Environment