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A review of heuristic optimization methods in econometrics

Gilli, Manfred; Winker, Peter - 2008

simplified problems might not be satisfying. A different approach consists in applying optimization heuristics such as … standard in several fields of sciences, their use in estimation and modelling in econometrics appears to be still limited. We … present an introduction to heuristic optimization methods and provide some examples for which these methods are found to work …

Persistent link: https://www.econbiz.de/10003961503

Optimisation in Financial Engineering

Gilli, Manfred - 2010

We discuss the precision with which financial models are handled, in particular optimisation models. We argue that precision is only required to a level that is justified by the overall accuracy of the model, and that this required precision should be specifically analysed, so to better...

Persistent link: https://www.econbiz.de/10013148213

Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude

Gilli, Manfred; Schumann, Enrico - In: Journal of Financial Transformation 28 (2010), pp. 117-122

We discuss the precision with which financial models are handled, in particular optimization models. We argue that … optimization, such analyses are often neglected; operators and researchers rather show an a priori preference for numerically …

Persistent link: https://www.econbiz.de/10008488881

A Heuristic Approach to Portfolio Optimization

Kellezi, Evis; Gilli, Manfred - 2000

The paper shows how a particular optimization heuristic, called threshold accepting, can be successfully used to solve …

Persistent link: https://www.econbiz.de/10005843226

Replicating hedge fund indices with optimization heuristics

Gilli, Manfred; Schumann, Enrico; Cabej, Gerda; Lula, Jonela - 2010

distributions are compiled from a set of portfolio trajectories computed by a resampling procedure. The nonconvex optimization … problem arising from our model specification is solved with a heuristic optimization technique. Our preliminary results are …

Persistent link: https://www.econbiz.de/10003979515

Distributed optimisation of a portfolio's omega

Gilli, Manfred; Schumann, Enrico - 2008

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/10003961715

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

Calibrating the Nelson-Siegel-Svensson Model

Gilli, Manfred - 2011

The Nelson-Siegel-Svensson model is widely-used for modelling the yield curve, yet many authors have reported ‘numerical difficulties' when calibrating the model. We argue that the problem is twofold: firstly, the optimisation problem is not convex and has multiple local optima. Hence standard...

Persistent link: https://www.econbiz.de/10013132935

Constructing 130/30-Portfolios with the Omega Ratio

Gilli, Manfred - 2011

We construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of a portfolio's return distribution. The main purpose of the paper is to investigate the empirical performance of the selected portfolios, especially...

Persistent link: https://www.econbiz.de/10013134402

Optimal Enough?

Gilli, Manfred - 2011

An alleged weakness of heuristic optimisation methods is the stochastic character of their solutions: instead of finding the truly optimal solution, they only provide a stochastic approximation of this optimum. In this paper we look into a particular application, portfolio optimisation. We...

Persistent link: https://www.econbiz.de/10013134608