Computational-optimization methods can broadly be classified into two groups: classical methods, which require and exploit specific functional forms of objective function and constraints, and heuristics. Those latter methods impose few, if any, restrictions on models, at the price of being more...

1 Albano G. et al., A comparison among alternative parameters estimators in the Vasicek process: a small sample analysis -- 2 Amendola A. et al., On the use of mixed sampling in modelling realized volatility: The MEM–MIDAS -- 3 Amerise I. L. and Tarsitano A., Simultaneous prediction intervals...

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...

There is a large number of optimisation problems in theoretical and applied finance that are difficult to solve as they exhibit multiple local optima or are not lsquo;well-behaved' in other ways (eg, discontinuities in the objective function). One way to deal with such problems is to adjust and...

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interaction of individuals provide a description of aggregate financial market time series. Although the outcomes of such...

In modern portfolio theory, financial portfolios are characterised by a desired property, the 'reward', and something undesirable, the 'risk'. While these properties are commonly identified with mean and variance of returns, respectively, we test alternative specifications like partial and...

We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular, we look at models that take into account asymmetry of returns, and treat losses and gains differently. In tests on a dataset of German equities we find that portfolios...

We study the empirical performance of alternative risk and reward specifications in portfolio selection. In particular, we look at models that take into account asymmetry of returns, and treat losses and gains differently. In tests on a dataset of German equities, we find that portfolios...

Agent based models take into account limited rational behaviour of individuals acting on financial markets. Explicit simulation of this behaviour and the resulting interac-tion of individuals provide a description of aggregate financial market time series. Al-though the outcomes of such...