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Distributed Optimisation of a Portfolio's Omega
Gilli, Manfred; Schumann, Enrico
We investigate portfolio selection with alternative objective functions in a distributed computing environment. In particular, we optimise a portfolio's 'Omega' which is the ratio of two partial moments of the returns distributions. Since finding optimal portfolios under such performance...
Persistent link: https://www.econbiz.de/10005227620
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Common Volatility Trends Across East African Foreign Exchange Markets
Thupayagale, Pako; Mokoti, Thato - In: The African Finance Journal 15 (2013) 1, pp. 56-81
This paper explores financial market convergence in East African economies by analysing the long-run volatility trends … in the currencies of this region. In particular, a Component-GARCH model is estimated, which is able to distinguish short … economic convergence is occurring. The empirical results do not suggest the existence of a common volatility process in East …
Persistent link: https://www.econbiz.de/10010850540
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Finding starting-values for maximum likelihood estimation of vector STAR models
Schleer, Frauke - Zentrum für Europäische Wirtschaftsforschung (ZEW) - 2013
This paper focuses on finding starting-values for maximum likelihood estimation of Vector STAR models. Based on a Monte Carlo exercise, different procedures are evaluated. Their performance is assessed w.r.t. model fit and computational effort. I employ i) grid search algorithms, and ii)...
Persistent link: https://www.econbiz.de/10010957614
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Optimal industrial classification with heteroskedasticity correction: An application to the Swedish industrial classification system
Chipman, John Somerset; Winker, Peter - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1994
Aggregation may be harmful but cannot always be avoided in the analysis of complex econometric models. It should be carried out intelligently by choosing ein aggregative model optimally for modes of aggregation speeified in advance, i.e. minimizing the bias introduced by aggregation and...
Persistent link: https://www.econbiz.de/10010958477
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Optimal industrial classification: [an application to the German industrial classification system]
Chipman, John Somerset; Winker, Peter - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1994
A widely used method in the analysis of complex econometric models is to replace the "true model" by an aggregative one in which the variables are grouped and replaced by sums or weighted averages of the variables in each group. The analysis of the problem of choosing an aggregative model...
Persistent link: https://www.econbiz.de/10010958484
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Indirect Estimation of the Parameters of Agent Based Models of Financial Markets
Winker, Peter; Gilli, Manfred - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005345482
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A review of heuristic optimization methods in econometrics
GILLI, Manfred; WINKER, Peter
Estimation and modelling problems as they arise in many fields often turn out to be intractable by standard numerical methods. One way to deal with such a situation consists in simplifying models and procedures. However, the solutions to these simplified problems might not be satisfying. A...
Persistent link: https://www.econbiz.de/10005163000
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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/10008922900
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Finding Starting-Values for the Estimation of Vector STAR Models
Schleer, Frauke - In: Econometrics 3 (2015) 1, pp. 65-90
This paper focuses on finding starting-values for the estimation of Vector STAR models. Based on a Monte Carlo study, different procedures are evaluated. Their performance is assessed with respect to model fit and computational effort. I employ (i) grid search algorithms and (ii) heuristic...
Persistent link: https://www.econbiz.de/10011147134
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Identification of multivariate AR-models by threshold accepting
Winker, Peter - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 1994
In econometric modelling the choice of relevant variables is of crucial importance for the Interpretation of the results. In many cases it is based on some a priori knowledge from economic theory and a rather heuristic procedure for determining other influential variables sometimes based on an...
Persistent link: https://www.econbiz.de/10010958290