| WPS-001 09/09/2008 |
Review of Heuristic Optimization Methods in Econometrics |
M. Gilli and P. Winker |
| WPS-002 09/09/2008 |
Determination of sequential best replies in n-player games by Genetic Algorithms |
M. Protopapas |
| WPS-003 03/09/2008 |
Meta-heuristic Methods for Outliers Detection in Multivariate Time Series |
D. Cucina, A. di Salvatore,
M. Protopapas |
| WPS-004 09/09/2008 |
Coevolutionary Genetic Algorithms for Establishing Nash Equilibrium in Symmetric Cournot Games |
M. Protopapas, F. Battaglia,
E. Kosmatopoulos |
| WPS-005 08/10/2008 |
Optimization Heuristics for Determining Internal Rating Grading Scales |
M. Lyra, J. Paha,
S. Paterlini, P. Winker |
| WPS-006 08/10/2008 |
Least Median of Squares Estimation by Optimization Heuristics with an Application to the CAPM and Multi Factor Models |
P. Winker, M. Lyra,
C. Sharpe |
| WPS-007 09/02/2009 |
Heuristic Optimisation in Financial Modelling |
M. Gilli and E. Schumann |
| WPS-008 15/02/2009 |
Implementing Binomial Trees (Download code here)
|
M. Gilli and E. Schumann |
| WPS-009 20/02/2009 |
Time-varying Multi-regime Models Fitting by Genetic Algorithms |
F. Battaglia and
M. Protopapas |
| WPS-010 15/06/2009 |
Optimal enough? |
M. Gilli and E. Schumann |
| WPS-011 13/07/2009 |
Robust regression with optimisation heuristics |
M. Gilli and E. Schumann |
| WPS-012 26/08/2009 |
Robust Optimization of Currency Portfolios
|
R. J. Fonseca, S. Zymler,
W. Wiesemann, B. Rustem
|
| WPS-013 22/09/2009 |
Optimized U-type Designs on Flexible Regions
|
D. K. J. Lin, C. Sharpe,
P. Winker
|
| WPS-014 13/10/2009 |
Validating Structural Credit Portfolio Models
|
M. Kalkbrener and
A. Onwunta
|
| WPS-015 03/11/2009 |
Robust Portfolio Optimization: A Conic Programming Approach |
K. Ye, P. Parpas, B.Rustem
|
| WPS-016 03/11/2009 |
Bounding Option Prices Using SDP With Change Of Numeraire |
K. Ye, B. Rustem, P. Parpas
|
| WPS-017 04/11/2009 |
Worst-Case Value-at-Risk of Non-Linear Portfolios |
S. Zymler, D. Kuhn,
B. Rustem
|
| WPS-018 04/11/2009 |
Robust Portfolio Optimization with Derivative Insurance Guarantees |
S. Zymler, B. Rustem,
D. Kuhn |
| WPS-019 06/11/2009 |
An Interior-Point algorithm for Nonlinear Minimax Problems |
E. Obasanjo,
E. Tzallas-Regas, B. Rustem
|
| WPS-020 06/11/2009 |
Robust Resource Allocations in Temporal Networks |
W. Wiesemann, D. Kuhn,
B. Rustem
|
| WPS-021 10/11/2009 |
Portfolio Decisions with Higher Order Moments |
P. M. Kleniati and B. Rustem |
| WPS-022 10/11/2009 |
Decomposition-Based Method for Sparse Semidefinite Relaxations of Polynomial Optimization Problems |
P. M. Kleniati, P. Parpas,
B. Rustem
|
| WPS-023 10/11/2009 |
Partitioning Procedure for Polynomial Optimization: Application to Portfolio Decisions with Higher Order Moments |
P. M. Kleniati, P. Parpas,
B. Rustem
|
| WPS-024 07/12/2009 |
Bootstrap Confidence Bands for Forecast Paths
|
A. Staszewska-Bystrova
|
| WPS-025 27/01/2010 |
The Response of Retail Interest Rates to Factor Forecasts of Money Market Rates in Major European Economies |
A. Banerjee, V. Bystrov,
P. Mizen |
| WPS-026 28/01/2010 |
Multi-regime models for nonlinear nonstationary time series
|
F. Battaglia and
M. Protopapas |
| WPS-027 04/02/2010 |
Heuristic Optimization Methods for Dynamic Panel Data Model Selection. Application on the Russian Innovative Performance |
I. Savin and
P. Winker |
| WPS-028 08/02/2010 |
Fuzzy clustering of univariate and multivariate time series by genetic multiobjective optimization |
S. Bandyopadhyay,
R. Baragona, U. Maulik
|
| WPS-029 09/02/2010 |
Robust International Portfolio Management |
R. J. Fonseca,
W. Wiesemann, B. Rustem |
| WPS-030 08/03/2010 |
Calibrating Option Pricing Models with Heuristics (Download code here) |
M. Gilli and E. Schumann |
| WPS-031 30/03/2010 |
Calibrating the Nelson–Siegel–Svensson model (Download code here) |
M. Gilli, Stefan Große, E. Schumann |
| WPS-032 16/04/2010 |
Optimal Control of Nonlinear Dynamic Econometric Models: An Algorithm and an Application |
V. Blüschke-Nikolaeva,
D. Blüschke, R. Neck |
| WPS-033 21/04/2010 |
Too Interconnected To Fail: Financial Contagion and Systemic Risk In Network Model of CDS and Other Credit Enhancement Obligations of US Banks |
S. Markose, S. Giansante,
M. Gatkowski,
A. R. Shaghaghi |
| WPS-034 05/05/2010 |
Robust Markov Decision Processes |
W. Wiesemann, D. Kuhn,
B. Rustem |
| WPS-035 17/05/2010 |
Index Mutual Fund Replication |
J. Zhang and D. Maringer |
| WPS-036 17/05/2010 |
Asset Allocation under Hierarchical Clustering |
J. Zhang and D. Maringer |
WPS-037
17/05/2010 |
Pair-Copula Selection with Downside Risk Minimization |
J. Zhang and D. Maringer |
WPS-038
17/05/2010 |
Exact Maximum Likelihood Estimation for Copula Models |
J. Zhang and W. L. Ng |
WPS-039
25/05/2010 |
Threshold Accepting for Credit Risk Assessment and Validation |
M. Lyra, A. Onwunta,
P. Winker |
WPS-040
03/06/2010 |
Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules
|
P. Rocha and D. Kuhn |
WPS-041
23/07/2010 |
Robust Portfolio Optimization with a Hybrid Heuristic Algorithm
|
B. Fastrich and P. Winker |
WPS-042
24/08/2010 |
A comparative study of the Lasso-type and heuristic model selection methods
|
I. Savin
|
WPS-043
24/08/2010 |
Generalized Decision Rule Approximations for Stochastic Programming via Liftings
|
A.Georghiou,
W. Wiesemann, D. Kuhn |
WPS-044
18/09/2010 |
A note on ‘good starting values’ in numerical optimisation (Download code here) |
M. Gilli and E. Schumann |
WPS-045
21/09/2010 |
Heuristic Strategies in Finance – An Overview
|
M. Lyra |
WPS-046
27/01/2011 |
Heuristic model selection for leading indicators in Russia and Germany
|
I. Savin and P. Winker
|
