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Replicating hedge fund indices with optimization heuristics
Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010
Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse, very limited liquidity (they are often closed to new investors and disinvestment fees can be prohibitive). This creates an incentive to replicate the attractive features of...
Persistent link: https://www.econbiz.de/10003979515
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Using economic and financial information for stock selection
Roko, Ilir (contributor); Gilli, Manfred (contributor) - 2006
A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its … inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets … exogenous information to the asset prices is not straightforward. Classification trees can be used to construct partitions of …
Persistent link: https://www.econbiz.de/10003394276
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Constructing long/short portfolios with the Omega ratio
Gilli, Manfred; Schumann, Enrico; Tollo, Giacomo di; … - 2008
We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution. Finding Omega-optimal portfolios, in particular under realistic constraints like cardinality restrictions, requires to...
Persistent link: https://www.econbiz.de/10003966094