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The Threshold Accepting Heuristic for Index Tracking
Gilli, Manfred; Kellezi, Evis - 2008
We investigate the performance of the threshold accepting heuristic for the index tracking problem. The index tracking problem consists in minimizing the tracking error between a portfolio and a benchmark. The objective is to replicate the performance of a given index upon the condition that the...
Persistent link: https://www.econbiz.de/10014211946
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From "The Geneva Papers on Risk and Insurance" to "The Geneva Risk and Insurance Review"
Loubergé, Henri - In: The Geneva risk and insurance review 40 (2015) 2, pp. 97-101
Persistent link: https://www.econbiz.de/10011382118
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Solving finite difference schemes arising in trivariate option pricing
Gilli, Manfred - In: Journal of economic dynamics & control 26 (2002) 9/10, pp. 1499-1515
Persistent link: https://www.econbiz.de/10001668434
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Risk taking in the domain of losses : experiments in several countries
Loubergé, Henri; Outreville, J. François - 2000
Persistent link: https://www.econbiz.de/10001455614
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Long term risk management of nuclear waste : a contingent claim analysis
Chesney, Marc; Loubergé, Henri; Villeneuve, Stéphane - 1999
Persistent link: https://www.econbiz.de/10001406743
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Optimal catastrophe insurance with uncorrelated catastrophes
Loubergé, Henri; Schlesinger, Harris - 1999 - Version: June 1999
Persistent link: https://www.econbiz.de/10001431070
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Risk and insurance economics : 25 years after
Loubergé, Henri - In: The Geneva papers on risk and insurance - issues and … 23 (1998), pp. 540-567
Persistent link: https://www.econbiz.de/10001459699
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Risk, information and insurance : essays in the memory of Karl H. Borch
Borch, Karl H. (honouree); Loubergé, Henri (contributor) - 1990
Persistent link: https://www.econbiz.de/10000789998
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Developments in risk and insurance economics : the past 25 years
Loubergé, Henri - 1998
Persistent link: https://www.econbiz.de/10000680678
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L' utilisation de produits optionnels pour la gestion du risque de change
Loubergé, Henri - 1993
Persistent link: https://www.econbiz.de/10000879132