The Library

To keep the bibliographies of different articles and texts as consistent as possible, please, when adding references, check first if they are already part of this library. If not, please add the references to the library, then copy them to your page.



Citations should be given as brief as possible, still they need to identify a source unambiguously. For example, if you cite an unpublished source (eg, a working paper), make sure it cannot be mistaken for a book. Ideally, avoid unpublished sources; try to give a link to the reference.

Every citation ends with a “.”.

Author names

For all types of publications, use the style

name, initials

to write authors' and editors' names (‘name’ means ‘last name’). When there are n authors, write
name_1, initials_1, intials_2 name_2, intials_3 name_3 ... and initials_n name_n.


authors (YYYY). //title//. publisher.

The forward slashes indicate italics. It is not necessary to write the publisher address/city.
Example: [61]

If there is more than one edition, add something like

authors (YYYY). //title//. 2nd ed. publisher.


authors (YYYY). title. //journalname// volume, pages.

The forward slashes indicate italics. There is usually no need to give the number or month of an article. Example: [12]

Book chapter, in-collections and similar

authors (YYYY). title, in: editors (eds). //booktitle//. publisher.

The forward slashes indicate italics. Example: [15]


It is often helpful to directly link items in the bibliography (ie, books or papers) to content on the web. In particular when it comes to books, there is of course a dilemma as the wiki should not become too commercial, but then on the other hand few people would object if their books received a bit of ‘promotion’.


If there is a legal online version of book on the web, this should be the first priority for linking. If not, you may link directly to the publisher. In general, do not link to booksellers like amazon or similar. This involves no judgement about the quality of these companies, but rather reflects the desire to keep the wiki academic, and not to make it a commercial site.


Even though JStor and ScienceDirect can be accessed from most universities, a large potential audience for the wiki comes from non-academics. Hence, for people here it will be difficult to obtain relevant papers. The preferred approach is to give the full citation of a published paper (Journal, Volumne, etc.), but then, if the paper is somewhere to be found on the web, add a remark/link like ‘freely available from SSRN’, or ‘latest version prior to publication from author's website’. So, if you link a citation, the preferred ordering should be freely available but managed repositories like SSRN or similar outlets, then the author's webpage, then Jstor/ScienceDirect, only finally the journal itself.
And of course, if the paper is in the COMISEF Working Paper Series, do not forget to link it appropriately.

1. Albrecher, H., Mayer, P., Schoutens, W. and J. Tistaert (2007). The Little Heston Trap. Wilmott, January, 83–92.
2. Artzner, P., F. Delbaen, J.-M. Eber and D. Heath (1999). Coherent Measures of Risk. Mathematical Finance 9, 203–228.
3. Bacon, C. A. (2008). Practical Portfolio Performance Measurement and Attribution. 2nd ed. Wiley.
4. Bakshi, G., and Madan D.B. (2000). Spanning and Derivative-Security Valuation. Journal of Financial Economics 55, 205-238.
5. Brandt, M. (2004). Portfolio choice problems, in: Y. Ait-Sahalia, L.P. Hansen (eds). Handbook of Financial Econometrics. Elsevier.
6. Britten-Jones, M. (1999). The Sampling Error in Estimates of Mean-Variance Efficient Portfolio Weights. Journal of Finance 54, 655-671.
7. DeMiguel, V., L. Garlappi and R. Uppal (2007, forthcoming in print). Optimal versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? Review of Financial Studies.
8. De Pooter, Michiel (2007). Examining the Nelson-Siegel Class of Term Structure Models. Tinbergen Institute Discussion Paper 2007-043/4.
9. Dias, C.T.d.S., A. Samaranayaka and B. Manly (2008). On the use of correlated beta random variables with animal population modelling. Ecological Modelling 215, 293-300.
10. Diebold, F.X., and C. Li (2006). Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics 130, 337-364.
11. Draper, N.R. and I. Guttman (1986). Response surface designs in flexible regions. Journal of the American Statistical Association 81, 1089–1094.
12. Dueck, G. and T. Scheuer (1990). Threshold Accepting. A General Purpose Optimization Algorithm Superior to Simulated Annealing. Journal of Computational Physics 90, 161-175.
13. Dueck, G. and P. Winker (1992). New Concepts and Algorithms for Portfolio Choice. Applied Stochastic Models and Data Analysis 8, 159-178.
14. Eberhart, R. C. and J. Kennedy (1995). A new optimizer using particle swarm theory, in: Proceedings of the Sixth International Symposium on Micromachine and Human Science. Nagoya, Japan.
15. Embrechts, P., F. Lindskog and A. J. McNeil (2001). Modelling Dependence with Copulas and Applications to Risk Management, in: S. T. Rachev (ed). Handbook of Heavy Tailed Distributions in Finance. Elsevier.
16. Fang, K.-T., R. Li and A. Sudjianto (2006). Design and Modeling for Computer Experiments. Chapman & Hall/CRC. Boca Raton, FL.
17. Fang, K.-T., D.K.J. Lin, P. Winker and Y. Zhang (2000). Uniform design: Theory and application. Technometrics 42, 237–248.
18. Fang, K.-T., D. Maringer, Y. Tang and P. Winker (2005). Lower bounds and stochastic optimization algorithms for uniform designs with three or four levels. Mathematics of Computation 75(254), 859–878.
19. Gill, P. E., W. Murray and M. H. Wright (2004). Practical Optimization. Elsevier.
20. Gilli, M., E. Kellezi and H. Hysi (2006). A Data-Driven Optimization Heuristic for Downside Risk Minimization. Journal of Risk 8, 1-18.
21. Gilli, M., E. Schumann, G. di Tollo and G. Cabej (2011). Constructing 130/30-portfolios with the Omega ratio. Journal of Asset Management 12, 94-108.
22. Gilli, M. and P. Winker (forthcoming). Heuristic optimization methods in econometrics, in: Handbook on Computational Econometrics. Elsevier.
23. Gilli, M., D. Maringer and E. Schumann. (2011). Numerical Methods and Optimization in Finance. Elsevier.
24. Gilli, M., D. Maringer and P. Winker (2008). Applications of Heuristics in Finance, in: D. Seese, C. Weinhardt, F. Schlottmann (eds). Handbook on Information Technology in Finance. Springer.
25. Gilli, M. and E. Schumann (2009). Robust regression with optimisation heuristics. COMISEF Working Paper Series 11.
26. Gilli, M. and P. Winker (2008). A review of heuristic optimization methods in econometrics. Research Paper Series 08-12, Swiss Finance Institute.
27. Glover, F.W. and M. Laguna (1997). Tabu search. Kluwer.
28. Greene, W.H. (2005). Econometric Analysis. 5th ed. Pearson Education.
29. Heston, S.L. (1993). A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bonds and Currency options. Review of Financial Studies 6, 327–343.
30. Hickernell, F.J. (1996). A generalized discrepancy and quadrature error bound. Mathematics of Computation 67, 299–322.
31. Higham, N. J. (1998). Handbook of Writing for the Mathematical Sciences. Cambridge University Press.
32. Hotelling, H. and M.R. Pabst (1936). Rank Correlation and Tests of Significance Involving No Assumption of Normality. Annals of Mathematical Statistics 7, 29-43.
33. Jäckel, P. (2002). Monte Carlo methods in finance. Wiley.
34. Jacobs, B. I., and and K. N. Levy (2007). 20 Myths about Enhanced Active 120-20 Strategies. Financial Analysts Journal 63, 19-26.
35. Jacobs, B. I., K. N. Levy, and H. M. Markowitz (2005). Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions. Operations Research 53, 586-599.
36. Kaplan, P. D. and J. A. Knowles (2004). Kappa: A Generalized Downside Risk-Adjusted Performance Measure. Journal of Performance Measurement 8, 42-54.
37. Keating, C. and B. Shadwick (2002). An Introduction to Omega. AIMA Newsletter.
38. Kempf, A. and C. Memmel (2006). Estimating the Global Minimum Variance Portfolio. Schmalenbach Business Review 58, 332-348.
39. Kirkpatrick, S., C. D. Gelatt and M. P. Vecchi (1983). Optimization by simulated annealing. Science 220, 671-680.
40. Krink, T., S. Paterlini and A. Resti (2007). Using differential evolution to improve the accuracy of bank rating systems. Computational Statistics & Data Analysis 52, 68-87.
41. Lo, A. W., and P. N. Patel (2008). 130/30: The New Long-Only. Journal of Portfolio Management 34, 12-38.
42. Luenberger, D.G. (1997). Investment Science. Oxford University Press.
43. Maringer, D. (2005). Portfolio Management with Heuristic Optimization. Springer.
44. Markowitz, H. (1952). Portfolio Selection. Journal of Finance 7, 77-91.
45. Moscato, P. and J. Fontanari (1990). Stochastic Versus Deterministic Update in Simulated Annealing. Physics Letters A 146, 204-208.
46. Nelson, C.R., and A.F. Siegel (1987). Parsimonious Modeling of Yield Curves. Journal of Business 60, 473-489.
47. Rousseeuw, P. J. (1987). Robust Regression and Outlier Detection. Wiley.
48. Price, K. V., R. M. Storn and J. A. Lampinen (2005). Differential evolution: A Practical Approach to Global Optimization. Springer.
49. R Development Core Team (2008). R: A Language and Environment for Statistical Computing. R Foundation for Statistical Computing.
50. Salibian-Barrera, M. and V. Yohai (2006). A Fast Algorithm for S-Regression Estimates. Journal of Computational and Graphical Statistics 15, 414–427.
51. Scherer, B. (2004). Portfolio Construction and Risk Budgeting. 2nd ed. Risk Books.
52. Sharpe, W.F. (1994). The Sharpe Ratio. Journal of Portfolio Management 21, 49-58.
53. Sortino, F., R. van der Meer and A. Plantinga (1999). The Dutch Triangle. Journal of Portfolio Management 26, 50-58.
54. Storn, R. and K. Price (1997). Differential evolution - A simple and efficient heuristic for global optimization over continuous spaces. Journal of Global Optimization 11, 341-359.
55. Svensson, L.E.O. (1994). Estimating and Interpreting Forward Interest Rates: Sweden 1992-1994. IMF Working Paper 94/114.
56. Trapletti, A. and K. Hornik (2009). tseries: Time Series Analysis and Computational Finance. R package version 0.10-18. available from CRAN.
57. Tufte, E.R. (2001). The Visual Display of Quantitative Information. 2nd ed. Graphics Press.
58. Turlach, B.A. [S original] and A. Weingessel [R port] (2007). quadprog: Functions to solve Quadratic Programming Problems. R package version 1.4-11. available from CRAN.
59. Original code by many authors and notably P. Rousseeuw and C. Croux and see file ‘Copyrights’; Valentin Todorov, A. Ruckstuhl, M. Salibian-Barrera, T. Verbeke and M. Maechler. robustbase: Basic Robust Statistics R package version 0.4-5. available from CRAN.
60. Venables, W.N. and B.D. Ripley. (2002). Modern Applied Statistics with S. 4th ed. Springer.
62. Winker, P. (2006). The stochastics of Threshold Accepting: Analysis of an application to the uniform design problem. In: COMPSTAT 2006, Proceedings in Computational Statistics (A. Rizzi and M. Vichi, Eds.).31 pp. 495–503. Physica. Heidelberg.
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