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Prof. Dr. Michael Hanke

Chair
Chair in Finance
Vice-Rector Teaching and Learning
Rectorate
Current Activity
* Vice-Rector Teaching and Learning
* Head undergraduate programs business economics
* Chair in finance
* Teaching at all levels
* Scientific research and transfer projects


Research areas:

Quantitative finance, esp. asset allocation, portfolio management, pension finance, derivatives pricing and financial engineering, empirical research in financial markets, scenario generation and stochastic optimization
Education
1995 — 1998

Doctoral degree in Economics and Business Administration, WU

1992 — 1995

Diploma in Business Administration, WU

Career
2014 — 2016

Pension Fund for Liechtenstein's State Employees: Board member and Vice President, Head of the Investment Committee

2004 — 2010

Professor of Finance, Dept. of Banking and Finance, Univ. of Innsbruck

2003 — 2004

Associate Professor, WU

1996 — 2003

Assistant Professor, Dept. of Operations Research, WU Vienna University of Economics and Business

Visiting Academic
2001 — 2002

Visiting Senior Lecturer, University of New South Wales, Sydney

Reviewer Services
1998 — 2016

Management Science; Review of Finance; IEEE Transactions on Neural Networks; Journal of Economic Dynamics and Control; Journal of Banking and Finance; European Journal of Operations Research; Quantitative Finance; Journal of Business Research; Intelligent Systems in Accounting; Finance and Management; Zeitschrift für Betriebswirtschaft; Business Research; Journal of Sports Economics; International Review of Economics and Finance; International Journal of Financial Engineering and Risk Management

Portrait
The age of index investing: Current developments in asset allocation and portfolio management
Preproposal PhD-Thesis, since September 2017

The core topic of the doctoral thesis is conducted under the focus of alternative investments and their time-varying correlation with traditional asset classes. The goal of analyzing time-varying ... more ...

Understanding Pensions in Europe
ERASMUS, September 2016 until August 2019

The aim of this project is to develop online courses and software for individual pension planning targeted at two different audiences: a) Students in higher education programs. b) European citizens ... more ...

Market liquidity dynamics
Preproposal PhD-Thesis, since September 2016

In several segments of financial markets, trading books shrink, passive investment strategies become more important and the execution risk shifts from dealers to investors. As a result, liquidity has ... more ...

A Risk Index for Global Private Investors
internes Projekt, March 2016 until March 2019

In this project, we construct a series of risk indices for global private investors (a global, european, north american and asian version). These risk indices will reflect the overall risk of typical ... more ...

Altersvorsorge in Liechtenstein
FFF-Förderprojekt, February 2016 until February 2019

Es liegt sowohl im Interesse jedes Einzelnen als auch im Interesse des Staates, dass seine Bürger im Alter finanziell gut versorgt sind. Die Vorsorgeeinheiten (bspw. Familien) unterliegen dabei ... more ...

The role of cryptocurrency in asset management
Preproposal PhD-Thesis, since February 2016

Blockchain technology and digital currencies enable users to generate units of currency and transfer funds without intermediaries. With a market cap of approximately $6.4 billion, Bitcoin is the ... more ...

Irrational people, irrational markets? Experimental studies on the relevance of peripheral cues
PhD-Thesis, since September 2015

This cumulative dissertation project uses insights from cognitive and social psychology to explain financial market behavior. Thereby, it will contribute to a growing literature, investigating how ... more ...

Grenzüberschreitendes Leben und Arbeiten - Cross-border Life and Work
FFF-Förderprojekt, April 2015 until April 2018

Emerging public policies and advanced information technologies (IT) have created new opportunities for work and life that thrive in global value chains and markets. Life, in general, and work, in ... more ...

Nachweisbarkeit und Wirkung von menschlichen Verhaltensverzerrungen auf Finanzmärkten
FFF-Förderprojekt, January 2015 until June 2017 (finished)

Das Forschungsprojekt siedelt sich interdisziplinär zwischen den Bereichen Finanzwirtschaft, Ökonomik und Psychologie an und untersucht die Auswirkungen von irrationalen (im Sinne von objektiv nicht ... more ...

Szenariengenerierung für mehrstufige stochastische Optimierung in der Finanzwirtschaft
FFF-Förderprojekt, February 2012 until March 2014 (finished)

Ziele des Projekts sind zum einen die Entwicklung eines Verfahrens zur Erzeugung von arbitragefreien Szenariobäumen, die als Basis für stochastische finanzwirtschaftliche Optimierungsprobleme ... more ...

The influence of risk and return perception on financial risk taking
FFF-Förderprojekt, June 2011 until February 2014 (finished)

We will investigate the role of risk taking in the human decision making process within the context of investments. A lot of theoretical and experimental research has been conducted in the last 50 ... more ...

  • 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.

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  • Hanke, M., & Penev, S. (2018). Comparing Large-Sample Maximum Sharpe Ratios and Incremental Variable Testing. European Journal of Operational Research, forthcoming. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: A)

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  • Stöckl, S., Hanke, M., & Angerer, M. (2017). PRIX - A risk index for global private investors. Journal of Risk Finance, 18(2), 214-231. (ABDC: C; ABS: 1; VHB: B)

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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, 263(2), 510-523. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: 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: B; ABS: 2; VHB: B)

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  • Hanke, M., & Seeber, T. (2016). Die Haftung von Bankvorständen im Zusammenhang mit Auslandskrediten. Zeitschrift für das gesamte Kreditwesen, 69(24), 1231-1233. (VHB: D)

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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: A; ABS: 3; ISI: 1.378; VHB: B)

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  • Hanke, M., & Weigerding, M. (2015). Order flow imbalance effects on the German stock market. Business Research, 8(2), 213-238. (VHB: B)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2014). No-Arbitrage Bounds for Financial Scenarios. European Journal of Operational Research, 236(2), 657-663. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: 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: A*; ABS: 3; ISI: 1.339; VHB: A)

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  • Stöckl, S., & Hanke, M. (2014). Financial Applications of the Mahalanobis Distance. Applied Economics and Finance, 1(2), 78-84.

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  • Hanke, M., & Kirchler, M. (2013). Football Championships and Jersey Sponsors' Stock Prices: An Empirical Investigation. European Journal of Finance, 19(3), 228-241. (ABDC: B; ABS: 3; ISI: 1.136; VHB: B)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2013). Scenario tree generation and multi-asset financial optimization problems. Operations Research Letters, 41, 494-498. (ABDC: A; ABS: 2; ISI: 0.936; VHB: B)

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  • Hanke, M. (2012). Selected aspects of the European sovereign debt crisis. Law and Economics Yearly Review, 1(2), 373-389.

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  • Hanke, M., Huber, J., Kirchler, M., & Sutter, M. (2010). The Economic Consequences of a Tobin Tax - An Experimental Analysis. Journal of Economic Behavior and Organization, 74(1-2), 58-71. (ABDC: A*; ABS: 3; ISI: 1.732; VHB: A)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2010). No-Arbitrage Conditions, Scenario Trees, and Multi-Asset Financial Optimization. European Journal of Operational Research, 206(3), 609-613. (ABDC: A*; ABS: 4; ISI: 3.582; VHB: A)

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  • Hanke, M., & Schredelseker, K. (2010). Index Funds Should Be Expected to Underperform the Index. Applied Economics Letters, 17(10), 991-994. (ABDC: B; ABS: 1; ISI: 0.482)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2009). Life-Cycle Asset Allocation and Optimal Consumption Using Stochastic Linear Programming. Journal of Computational Finance, 12(4), 29-50. (ABDC: C; ABS: 1; ISI: 0.651; VHB: B)

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  • Geyer, A., Hanke, M., & Weissensteiner, A. (2009). A Stochastic Programming Approach for Multi-Period Portfolio Optimization. Computational Management Science, 6(2), 187-208. (ABDC: B; ABS: 1)

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  • Hanke, M., & Hauser, F. (2008). On the Effects of Stock Spam E-mails. Journal of Financial Markets, 11(1), 57-83. (ABDC: A*; ABS: 3; ISI: 2.17; VHB: B)

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  • Hanke, M. (2006). (K)eine Kunst - Von Grundprinzipien der Finanzwirtschaft und irrationalen Investoren. Oesterreichisches Bankarchiv(1), 1-2.

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  • Hanke, M., Spiess, M., & Wachtler, T. (2006). Zur Qualität der Finanzberatung in Tirol - eine empirische Untersuchung. Oesterreichisches Bankarchiv(4), 223-232.

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  • Hanke, M. (2005). Pricing Options on Leveraged Equity with Default Risk and Exponentially Increasing, Finite Maturity Debt. Journal of Economic Dynamics and Control, 29(3), 389-421. (ABDC: A*; ABS: 3; ISI: 1.339; VHB: A)

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  • Hanke, M., & Pötzelberger, K. (2003). Dilution, Anti-Dilution, and Corporate Positions in Options on the Company’s Own Stocks. Quantitative Finance, 3, 405-415. (ABDC: A; ABS: 3; ISI: 1.06; VHB: B)

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  • Hanke, M., & Pötzelberger, K. (2002). Consistent Pricing of Warrants and Traded Options. Review of Financial Economics, 11, 63-77. (ABDC: B; ABS: 1; ISI: 1.989; VHB: B)

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  • Hanke, M. (2001). Einige Anmerkungen zu Transaktionen in Optionen auf eigene Aktien aus finanzökonomischer Sicht. Der Gesellschafter - Zeitschrift für Gesellschafts- und Unternehmensrecht, 90-96.

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  • Hanke, M., & Nettekoven, M. (2001). Melden oder selbst bezahlen? Rationales Verhalten von KFZ-Haftpflichtversicherten und paradoxe Ergebnisse eines neuen Prämienmodells. Journal für Betriebswirtschaft(4), 172-185. (VHB: C)

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  • Hanke, M. (2000). Neuronale Netze in der Optionsbewertung - eine nichttechnische Einführung. Oesterreichisches Bankarchiv(Sept.), 793-796.

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  • Hanke, M., & Pötzelberger, K. (2000). Optionspreiseffekte von Warrant-Emissionen im Black/Scholes-Modell. Financial Markets and Portfolio Management(3), 283-295. (ABDC: B; VHB: C)

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  • Hanke, M., & Pötzelberger, K. (2000). Auswirkungen virtueller Optionsprogramme auf den Aktienkurs. Journal für Betriebswirtschaft(6), 252-258. (VHB: C)

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  • Hanke, M. (1999). Neural Networks vs. Black/Scholes: An Empirical Comparison of Two Fundamentally Different Option Pricing Methods. Journal of Computational Intelligence in Finance, 7(1), 26-34.

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  • Hanke, M. (1999). Adaptive Hybrid Neural Network Option Pricing. Journal of Computational Intelligence in Finance, 7(5), 33-39.

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  • Hanke, M., & Leopoldseder, T. (1998). Comparing the Efficiency of Austrian Universities - A Data Envelopment Analysis Approach. Tertiary Education and Management, 4(3), 191-198.

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  • Hanke, M. (1997). Neural Network Approximation of Option Pricing Formulas for Analytically Intractable Option Pricing Problems. Journal of Computational Intelligence in Finance, 5(5), 20-27.

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  • Geyer, A., Hanke, M., Littich, E., & Nettekoven, M. (2015). Finanzierung und Investition: verstehen - berechnen - entscheiden ( 5 ed.). Wien: Linde.

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  • Hanke, M. (2003). Credit Risk, Capital Structure, and the Pricing of Equity Options : Springer.

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  • Hanke, M. (1998). Optionsbewertung mit Neuronalen Netzen : Peter Lang.

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  • M. Hanke & J. Huber (Eds.). (2008). Information, Interaction, and (In)Efficiency in Financial Markets. Wien: Linde.

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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. (2011). Regulatorische Rahmenbedingungen als eine (Mit-)Ursache der Krise. In W. Hummer (Ed.), Die Finanzkrise aus internationaler und österreichischer Sicht (pp. 67-77). Innsbruck: StudienVerlag.

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  • Hanke, M. (2016). ROM Simulation with Exact Means, Covariances, and Multivariate Skewness. Paper presented at the Pension Finance, Asset-liability Management and Parameter Uncertainty, Bolzano.

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  • Hanke, M. (2016). ROM Simulation with Exact Means, Covariances, and Multivariate Skewness. Paper presented at the Vienna Congress on Mathematical Finance, Vienna.

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  • Hanke, M. (2015). Comparing Maximum Sharpe Ratios and Incremental Variable Testing. Paper presented at the Austrian Working Group on Banking and Finance, Graz.

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  • Hanke, M. (2015). Analyzing the Swiss National Bank’s euro exchange rate policy: A latent likelihood approach. Paper presented at the OR 2015, Vienna.

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  • Hanke, M. (2014). Where would the EUR/CHF exchange rate be without the SNB’s minimum exchange rate policy?. Paper presented at the 11th International Conference on Computational Management Science, Lisbon.

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  • Hanke, M. (2014). Where would the EUR/CHF exchange rate be without the SNB’s minimum exchange rate policy?. Paper presented at the Quantitative Methods in Finance Conference 2014, Sydney.

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  • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the 20th Forecasting Financial Markets 2013, Hannover (Germany).

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  • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the Finance & Economics Conference 2013, Frankfurt (Germany).

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  • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the 8th EEEcon Workshop 2013, Innsbruck (Austria).

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  • Stöckl, S., Hanke, M., & Angerer, M. (2013). PRIX - A Risk Index for Global Private Investors. Paper presented at the World Finance & Banking Symposium 2013, Bejing (China).

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  • Stöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Paper presented at the 28th Workshop of the Austrian Working Group on Banking and Finance 2013, Vienna (Austria).

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  • Stöckl, S., & Hanke, M. (2013). Financial Applications of the Mahalanobis Distance. Paper presented at the 26th Australasian Finance and Banking Conference 2013, Sydney (Australia).

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

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  • Hanke, M., & Huber, S. (2009). Curvature, not Second Derivative. Mathematical Spectrum, 41(2), 57-60.

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  • Fröhlich, C., & Hanke, M. (2000). Zur Berücksichtigung des impliziten Verwässerungseffekts bei der Bewertung virtueller Optionsprogramme. Die Wirtschaftsprüfung, 53(14), 647-653.

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  • Angerer Martin. (2015, 05.09.2015). Crowdfunding - neue Chancen für Unternehmer und Investoren. Wirtschaftregional, p.2-3.

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