Recent page changes from site "COMISEF Wiki" (a Wikidot site)

"How to compute the global minimum-variance portfolio" - source change

Sun, 26 Mar 2017 20:38:23 +0000

Page: How to compute the global minimum-variance portfolio (tutorial:minimumvariance)
Current revision number: 19
Date changed: Sun, 26 Mar 2017 20:38:23 +0000
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By: EnricoSchumann

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An updated version of this tutorial is available. Author Enrico Schumann Keywords portfolio optimisation, R Review Status draft Introduction The global minimum-variance (MV) portfolio is the...

"Alper Odabasioglu" - source change

Sat, 22 Nov 2014 23:58:33 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 20
Date changed: Sat, 22 Nov 2014 23:58:33 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 21 Nov 2014 21:25:53 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 19
Date changed: Fri, 21 Nov 2014 21:25:53 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 21 Nov 2014 21:25:09 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 18
Date changed: Fri, 21 Nov 2014 21:25:09 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 21 Nov 2014 21:23:30 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 17
Date changed: Fri, 21 Nov 2014 21:23:30 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - file action

Mon, 17 Nov 2014 14:00:58 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 16
Date changed: Mon, 17 Nov 2014 14:00:58 +0000
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Change comments: Uploaded file "alper2.png".
By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - file action

Mon, 17 Nov 2014 11:30:41 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 15
Date changed: Mon, 17 Nov 2014 11:30:41 +0000
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Change comments: File "alper2(1).png" deleted
By: EnricoSchumann

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - file action

Mon, 17 Nov 2014 11:30:35 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 14
Date changed: Mon, 17 Nov 2014 11:30:35 +0000
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Change comments: File "alper2.png" deleted
By: EnricoSchumann

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - file action

Mon, 17 Nov 2014 02:11:28 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 13
Date changed: Mon, 17 Nov 2014 02:11:28 +0000
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Change comments: Uploaded file "alper2(1).png".
By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Sun, 16 Nov 2014 00:06:03 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 12
Date changed: Sun, 16 Nov 2014 00:06:03 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Wed, 04 Jun 2014 10:31:39 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 11
Date changed: Wed, 04 Jun 2014 10:31:39 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 28 Mar 2014 18:18:19 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 10
Date changed: Fri, 28 Mar 2014 18:18:19 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 28 Mar 2014 18:16:22 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 9
Date changed: Fri, 28 Mar 2014 18:16:22 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 28 Mar 2014 18:14:36 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 8
Date changed: Fri, 28 Mar 2014 18:14:36 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Alper Odabasioglu" - source change

Fri, 28 Mar 2014 17:42:46 +0000

Page: Alper Odabasioglu (alperodabasioglu)
Current revision number: 7
Date changed: Fri, 28 Mar 2014 17:42:46 +0000
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By: Alper Odabasioglu

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Profile Role: Early Stage Research Fellow Background Alper Odabasioglu graduated Master of Science in Quantitative Economics at Goethe University of Frankfurt. He holds a B.Sc. degree in Electrics...

"Enrico Schumann" - source change

Sat, 22 Feb 2014 17:39:58 +0000

Page: Enrico Schumann (enricoschumann)
Current revision number: 68
Date changed: Sat, 22 Feb 2014 17:39:58 +0000
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By: EnricoSchumann

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about me name Enrico Schumann institution Université de Genève year of birth 1978 nationality German contact es [ AT ] enricoschumann [ FULL STOP ] net research interests portfolio o...

"An EML Estimator for Multivariate t Copulas" - source change

Thu, 22 Aug 2013 05:09:15 +0000

Page: An EML Estimator for Multivariate t Copulas (article:enhancing-eml-estimation-of-multivariate-t-copulas-w)
Current revision number: 32
Date changed: Thu, 22 Aug 2013 05:09:15 +0000
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By: EnricoSchumann

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Author Jin Zhang1 Keywords Student t copula, Exact Maximum Likelihood Estimator, Inference for Margins, Differential Evolution Review Status Unreviewed Abstract In recent years, copulas have...

"An EML Estimator for Multivariate t Copulas" - source change

Thu, 22 Aug 2013 05:03:33 +0000

Page: An EML Estimator for Multivariate t Copulas (article:enhancing-eml-estimation-of-multivariate-t-copulas-w)
Current revision number: 31
Date changed: Thu, 22 Aug 2013 05:03:33 +0000
Change type: source change
By: EnricoSchumann

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Author Jin Zhang1 Keywords Student t copula, Exact Maximum Likelihood Estimator, Inference for Margins, Differential Evolution Review Status Unreviewed Abstract In recent years, copulas have...

"An EML Estimator for Multivariate t Copulas" - source change

Thu, 22 Aug 2013 04:58:44 +0000

Page: An EML Estimator for Multivariate t Copulas (article:enhancing-eml-estimation-of-multivariate-t-copulas-w)
Current revision number: 30
Date changed: Thu, 22 Aug 2013 04:58:44 +0000
Change type: source change
By: EnricoSchumann

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Author Jin Zhang1 Keywords Student t copula, Exact Maximum Likelihood Estimator, Inference for Margins, Differential Evolution Review Status Unreviewed Abstract In recent years, copulas have...

"Calibrating Option Pricing Models with Heuristics" - source change

Thu, 22 Aug 2013 04:53:24 +0000

Page: Calibrating Option Pricing Models with Heuristics (article:optioncalibration)
Current revision number: 57
Date changed: Thu, 22 Aug 2013 04:53:24 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann1 Keywords Differential Evolution, Particle Swarm Optimisation, Heston Model, Stochastic Volatility Review Status Unreviewed Abstract Calibrating option pricing models to...

"Jin Zhang" - source change

Wed, 11 Jul 2012 13:09:56 +0000

Page: Jin Zhang (jinzhang)
Current revision number: 17
Date changed: Wed, 11 Jul 2012 13:09:56 +0000
Change type: source change
By: JinZhang

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Profile: Jin Zhang Institution: University of Essex Wivenhoe Park, Colchester CO4 3SQ, United Kingdom. Contact Details: ku.ca.xesse|fgnahzj#ku.ca.xesse|fgnahzj;...

"Minimising Sums of Squared Residuals and Variances of Residuals" - source change

Wed, 07 Dec 2011 18:49:39 +0000

Page: Minimising Sums of Squared Residuals and Variances of Residuals (tutorial:minimisevariance)
Current revision number: 11
Date changed: Wed, 07 Dec 2011 18:49:39 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann Keywords portfolio optimisation, R, variance-covariance matrices, regression, style analysis, index tracking Review Status draft Introduction This tutorial describes how to...

"Matrix Multiplication with Diagonal Matrices" - source change

Thu, 29 Sep 2011 11:26:26 +0000

Page: Matrix Multiplication with Diagonal Matrices (tip:diagonalmatrixmultiplication)
Current revision number: 42
Date changed: Thu, 29 Sep 2011 11:26:26 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann, Manfred Gilli Keywords Matrix algebra, Matlab, R Review Status Unreviewed Description There are many instances where one encounters a matrix multiplication of the type...

"Matrix Multiplication with Diagonal Matrices" - source change

Thu, 29 Sep 2011 11:22:40 +0000

Page: Matrix Multiplication with Diagonal Matrices (tip:diagonalmatrixmultiplication)
Current revision number: 41
Date changed: Thu, 29 Sep 2011 11:22:40 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann, Manfred Gilli Keywords Matrix algebra, Matlab, R Review Status Unreviewed Description There are many instances where one encounters a matrix multiplication of the type...

"Differential Evolution" - source change

Wed, 07 Sep 2011 04:40:56 +0000

Page: Differential Evolution (concept:differentialevolution)
Current revision number: 83
Date changed: Wed, 07 Sep 2011 04:40:56 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann1 Keywords Differential Evolution Review Status Reviewed; revised 2009-02-02. The algorithm A more recent contribution to population-based methods is Differential Evolution...

"Threshold Accepting" - source change

Wed, 07 Sep 2011 04:38:52 +0000

Page: Threshold Accepting (concept:thresholdaccepting)
Current revision number: 26
Date changed: Wed, 07 Sep 2011 04:38:52 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann Keywords Threshold Accepting Review Status Unreviewed The algorithm Threshold Accepting (TA) is a local search method and was first described by Dueck and Scheuer [1] and...

"Calibrating Option Pricing Models with Heuristics" - source change

Mon, 05 Sep 2011 10:54:08 +0000

Page: Calibrating Option Pricing Models with Heuristics (article:optioncalibration)
Current revision number: 56
Date changed: Mon, 05 Sep 2011 10:54:08 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann1 Keywords Differential Evolution, Particle Swarm Optimisation, Heston Model, Stochastic Volatility Review Status Unreviewed Abstract Calibrating option pricing models to...

"'Repairing' an Indefinite Correlation Matrix" - source change

Sat, 27 Aug 2011 08:06:50 +0000

Page: 'Repairing' an Indefinite Correlation Matrix (tutorial:repairingcorrelation)
Current revision number: 38
Date changed: Sat, 27 Aug 2011 08:06:50 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann Keywords Matrix algebra, Matlab, R, Covariance matrices Review Status Unreviewed Overview There are cases where a correlation matrix is indefinite. This may happen if one...

"Robust regression with Particle Swarm Optimisation in R" - source change

Fri, 01 Jul 2011 11:10:57 +0000

Page: Robust regression with Particle Swarm Optimisation in R (tutorial:robustregressionwithheuristics)
Current revision number: 36
Date changed: Fri, 01 Jul 2011 11:10:57 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann1 Keywords Least Median of Squares, Least Trimmed Squares, Particle Swarm Optimisation, R, robust regression Review Status Unreviewed 1 Introduction This tutorial explains...

"Robust regression with Particle Swarm Optimisation in R" - source change

Fri, 01 Jul 2011 11:08:25 +0000

Page: Robust regression with Particle Swarm Optimisation in R (tutorial:robustregressionwithheuristics)
Current revision number: 35
Date changed: Fri, 01 Jul 2011 11:08:25 +0000
Change type: source change
By: EnricoSchumann

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Author Enrico Schumann1 Keywords Least Median of Squares, Least Trimmed Squares, Particle Swarm Optimisation, R, robust regression Review Status Unreviewed 1 Introduction This tutorial explains...