Enrico Schumann
Institution:
University of GenevaRole:
ResearcherEmail:
es [AT] enricoschumann.netResearch Interests / Background:
Enrico Schumann was an early stage researcher with COMISEF. He was an assistant at the University of Geneva from which he received his PhD. He holds a BA in economics and law and an MSc in economics from the University of Erfurt, Germany. Before that, he worked several years as a risk manager with a banking firm. His research interests include any form of financial optimisation, especially portfolio selection and algorithmic trading, and computationally-intensive methods in statistics and econometrics. His personal homepage is located at http://enricoschumann.net .
Working Papers:
- 'Distributed Optimisation of a Portfolio's Omega' (with M. Gilli), http://ssrn.com/abstract=1156355
- 'Heuristic Optimisation in Financial Modelling' (with M. Gilli), COMISEF Working Paper 7, http://comisef.eu/?q=working_papers (an older version is available from http://ssrn.com/abstract=1277114)
- 'Constructing Long/Short Portfolios with the Omega Ratio' (with M. Gilli, G. di Tollo and G. Cabej), http://ssrn.com/abstract=1289269
- 'Implementing Binomial Trees' (with M. Gilli), COMISEF Working Paper 8, http://comisef.eu/?q=working_papers (an older version is available from http://ssrn.com/abstract=1341181)
- 'An Empirical Analysis of Alternative Portfolio Selection Criteria' (with M. Gilli), http://ssrn.com/abstract=1365167
- 'Portfolio Optimisation with ''Threshold Accepting'': a Practical Guide' (with M. Gilli), available on request
- 'Optimal enough?' (with M. Gilli), COMISEF Working Paper 10, http://comisef.eu/?q=working_papers; also available from http://ssrn.com/abstract=1420058
- 'Robust Regression with Optimisation Heuristics', (with M. Gilli), COMISEF Working Paper 11, http://comisef.eu/?q=working_papers; also available from http://ssrn.com/abstract=1433291
- 'Constructing 130/30 Portfolios with the Omega Ratio', (with M. Gilli, G. di Tollo and G. Cabej), http://ssrn.com/abstract=1464798
- '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
- 'Calibrating the Heston Model with Differential Evolution', (with M. Gilli), paper prepared for EVOFIN 2010 in Istanbul, available on request
- 'Optimisation in Financial Engineering' (with M. Gilli), http://ssrn.com/abstract=1547173
- 'Calibrating Option Pricing Models with Heuristics' (with M. Gilli), http://ssrn.com/abstract=1566975
- 'Calibrating the Nelson-Siegel-Svensson model' (with S. Große and M. Gilli), COMISEF Working Paper 31, http://comisef.eu/?q=working_papers