Enrico Schumann : Citation Profile


Are you Enrico Schumann?

Université de Genève

6

H index

5

i10 index

110

Citations

RESEARCH PRODUCTION:

3

Articles

12

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 8
   Journals where Enrico Schumann has often published
   Relations with other researchers
   Recent citing documents: 15.    Total self citations: 6 (5.17 %)

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   Permalink: http://citec.repec.org/psc376
   Updated: 2021-09-25    RAS profile: 2021-03-16    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Enrico Schumann.

Is cited by:

Ogryczak, Wlodzimierz (5)

Winker, Peter (4)

López Cabrera, Brenda (4)

Lyra, Marianna (4)

Rulliere, Didier (3)

Costola, Michele (3)

Caporin, Massimiliano (3)

Germano, Guido (3)

Kotłowski, Jacek (2)

Maillet, Bertrand (2)

Polat, Onur (2)

Cites to:

Gilli, Manfred (16)

Winker, Peter (10)

Ready, Mark (2)

Fama, Eugene (2)

Markowitz, Harry (2)

Svensson, Lars (2)

Chen, Zhiwu (2)

van Dijk, Herman (2)

Kontoghiorghes, Erricos (2)

Cao, Charles (2)

French, Kenneth (2)

Main data


Where Enrico Schumann has published?


Working Papers Series with more than one paper published# docs
Working Papers / COMISEF7
Swiss Finance Institute Research Paper Series / Swiss Finance Institute5

Recent works citing Enrico Schumann (2021 and 2020)


YearTitle of citing document
2020Applying Dynamic Training-Subset Selection Methods Using Genetic Programming for Forecasting Implied Volatility. (2020). Abdelmalek, Wafa ; ben Hamida, Sana ; Abid, Fathi. In: Papers. RePEc:arx:papers:2007.07207.

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2021AI in FinTech: A Research Agenda. (2020). Cao, Longbing. In: Papers. RePEc:arx:papers:2007.12681.

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2020Hybrid quantum-classical optimization for financial index tracking. (2020). Jos, Juan ; Porras, Diego ; Fern, Samuel. In: Papers. RePEc:arx:papers:2008.12050.

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2020Robust Optimization Approaches for Portfolio Selection: A Computational and Comparative Analysis. (2020). Georgantas, A. In: Papers. RePEc:arx:papers:2010.13397.

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2021SWIFT calibration of the Heston model. (2021). Ortiz-Gracia, Luis ; Romo, Eudald. In: Papers. RePEc:arx:papers:2103.01570.

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2021How to handle negative interest rates in a CIR framework. (2021). Kamm, Kevin ; di Francesco, Marco. In: Papers. RePEc:arx:papers:2106.03716.

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2021Development of a framework for the assessment of the market penetration of novel in situ bitumen extraction technologies. (2021). Kumar, Amit ; Ahiduzzaman, MD ; Gemechu, Eskinder ; Radpour, Saeidreza . In: Energy. RePEc:eee:energy:v:220:y:2021:i:c:s0360544220327730.

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2021An equivalent mathematical program for games with random constraints. (2021). Arora, Monika ; Lisser, Abdel ; Singh, Vikas Vikram. In: Statistics & Probability Letters. RePEc:eee:stapro:v:174:y:2021:i:c:s0167715221000547.

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2020Stochastic Optimization System for Bank Reverse Stress Testing. (2020). Ronga, Alessandro ; Fazzini, Massimiliano ; Papiro, Giovanni ; Montesi, Giuseppe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:174-:d:395561.

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2020Omega and Sharpe ratio. (2020). Guez, Beatrice ; Benhamou, Eric ; Paris, Nicolas. In: Working Papers. RePEc:hal:wpaper:hal-02886481.

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2020An Evolutionary Approach to Passive Learning in Optimal Control Problems. (2020). Savin, Ivan ; Blueschke, Dmitri ; Blueschke-Nikolaeva, V. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:3:d:10.1007_s10614-019-09961-4.

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2020Diversification and portfolio theory: a review. (2020). Koumou, Gilles Boevi. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:3:d:10.1007_s11408-020-00352-6.

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2020Term premium and rate expectation estimates from the South African yield curve. (2020). Steenkamp, Daan ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:9998.

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2021Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate. (2021). Najafi, Ali Reza ; Salahi, Maziar ; Khodamoradi, Tahereh. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-020-00293-9.

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2021Portfolio optimization under solvency II: a multi-objective approach incorporating market views and real-world constraints. (2021). di Francesco, Marco. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:1:d:10.1007_s10203-021-00320-3.

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Works by Enrico Schumann:


YearTitleTypeCited
2008Distributed Optimisation of a Portfolios Omega In: Swiss Finance Institute Research Paper Series.
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paper6
2008Constructing Long/Short Portfolios with the Omega ratio In: Swiss Finance Institute Research Paper Series.
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paper11
2009An Empirical Analysis of Alternative Portfolio Selection Criteria In: Swiss Finance Institute Research Paper Series.
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paper2
2010Replicating Hedge Fund Indices with Optimization Heuristics In: Swiss Finance Institute Research Paper Series.
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paper2
2017Risk-Reward Ratio Optimisation (Revisited) In: Swiss Finance Institute Research Paper Series.
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paper0
2009Heuristic Optimisation in Financial Modelling In: Working Papers.
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paper19
2012Heuristic optimisation in financial modelling.(2012) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 19
article
2009Implementing Binomial Trees In: Working Papers.
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paper1
2009Optimal enough? In: Working Papers.
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paper8
2009Robust regression with optimisation heuristics In: Working Papers.
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paper2
2010Calibrating Option Pricing Models with Heuristics In: Working Papers.
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paper10
2010Calibrating the Nelson–Siegel–Svensson model In: Working Papers.
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paper19
2010A note on ‘good starting values’ in numerical optimisation In: Working Papers.
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paper0
2011Numerical Methods and Optimization in Finance In: Elsevier Monographs.
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book28
2011Constructing 130/30-portfolios with the Omega ratio In: Journal of Asset Management.
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article2
2010Optimization in financial engineering - an essay on good solutions and misplaced exactitude In: Journal of Financial Transformation.
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article0
2021Risk–Reward Ratio Optimisation (Revisited) In: Dynamic Modeling and Econometrics in Economics and Finance.
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chapter0
2017Heuristics for Portfolio Selection In: International Series in Operations Research & Management Science.
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chapter0

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