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Dr. Alex Weissensteiner

Tätigkeit
Alex Weissensteiner ist Professor in Betrieblicher Finanzwirtschaftslehre an der Freien Universität Bozen.
Zu seinen Forschungsschwerpunkten gehören Investitionsentscheidungen (Asset Allokation, Asset-liability Management) unter Berücksichtigung von Parameterunsicherheit, Pension Finance, Mikrostrukturmodelle, Währungsprognosen.
In den Jahren 2013-2014 war Alex Weissensteiner Leiter des Lehrstuhl "Financial Engineering" an der Technischen Universität von Dänemark (DTU).
Chipkartenfoto
Veranstaltungen im WS 22/23
  • Dangl, T., & Weissensteiner, A. (2020). Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion. Journal of Financial and Quantitative Analysis (JFQA), 55(4), 1163-1198. (ABDC_2019: A*; ABS_2021: 4; VHB_3: A; FT_50_2016: yes)

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  • Hanke, M., Stöckl, S., & Weissensteiner, A. (2020). Political Event Portfolios. Journal of Banking and Finance, 118, 1-18. (ABDC_2019: A; ABS_2021: 3; VHB_3: A)

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  • Hanke, M., Kosolapova, M., & Weissensteiner, A. (2020). COVID-19 and Market Expectations: Evidence from Option-Implied Densities. Economics Letters, 195, 1-4. (ABDC_2019: A; ABS_2021: 3; VHB_3: B)

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  • Rigamonti, A., & Weissensteiner, A. (2020). Asset allocation under predictability and parameter uncertainty using LASSO. Computational Management Science, 17, 179-201. (ABDC_2019: B; ABS_2021: 1)

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  • Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). The CHF/EUR Exchange Rate during the Swiss National Bank's Minimum Exchange Rate Policy: A Latent Likelihood Approach. Quantitative Finance, 19(1), 1-11. (ABDC_2019: A; ABS_2021: 3; VHB_3: B)

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  • Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). Numeraire Dependence in Risk-neutral Probabilities of Event Outcomes. The Journal of Derivatives, 26(4), 128-143. (ABDC_2019: A; ABS_2021: 2; VHB_3: B)

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  • Weissensteiner, A. (2019). Correlated noise: Why passive investments might improve market efficiency. Journal of Economic Behavior & Organization, 158, 158-172. (ABDC_2019: A*; VHB_3: A)

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  • Hanke, M., Poulsen, R., & Weissensteiner, A. (2018). Event-related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. Journal of Financial and Quantitative Analysis (JFQA), 53(6), 2663-2683. (ABDC_2019: A*; ABS_2021: 4; VHB_3: A; FT_50_2016: yes)

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  • Hanke, M., Penev, S., Schief, W., & Weissensteiner, A. (2017). Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness. European Journal of Operational Research (EJOR), 263(2), 510-523. (ABDC_2019: A*; ABS_2021: 4; VHB_3: A)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2016). Inflation forecasts extracted from nominal and real yield curves. Quarterly Review of Economics and Finance, 60, 180-188. (ABDC_2019: B; ABS_2021: 2; VHB_3: B)

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  • Hanke, M., Poulsen, R., & Weissensteiner, A. (2015). Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy? Journal of Futures Markets, 35(12), 1103-1116. (ABDC_2019: A; ABS_2021: 3; VHB_3: B)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2014). No-Arbitrage Bounds for Financial Scenarios. European Journal of Operational Research (EJOR), 236(2), 657-663. (ABDC_2019: A*; ABS_2021: 4; VHB_3: A)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2014). No-Arbitrage ROM Simulation. Journal of Economic Dynamics and Control, 45(August), 66-79. (ABDC_2019: A*; ABS_2021: 3; VHB_3: A)

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  • Hanke, M., & Weissensteiner, A. (2012). Optimale langfristige Asset Allocation für Privatinvestoren. Österreichisches Bankarchiv, 60(August), 514-519. (VHB_3: D)

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  • Hanke, M., & Weissensteiner, A. (2017). Arbitrage-Free Scenario Generation in Financial Optimization. In Wiley StatsRef: Statistics Reference Online (pp. 1-6).

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2012). Optimale Asset Allocation im Zeitablauf - Ein Überblick über Modelle und Lösungsverfahren. In R. Frick (Ed.), Asset Management (pp. 125-132). Bern: Haupt Verlag.

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  • Hanke, M., Stöckl, S., & Weissensteiner, A. (2019). Political Event Portffolios. Presented at the Quantitative Methods in Finance Conference, Sydney, Australia.

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  • Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). Numeraire dependence in risk-neutral probabilities of event outcomes. Presented at the Risk: modeling, optimization, and inference, Sydney, Australia.

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  • Rigamonti, A., Ferrari, D., Weissensteiner, A., & Paterlini, S. (2021). Smoothed Semicovariance Estimation. University of Liechtenstein.

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