Michael Hanke

University of Liechtenstein

Fuerst Franz Josef-Strasse

Vaduz, FL-9490

Liechtenstein

SCHOLARLY PAPERS

17

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2,989

CITATIONS
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Top 44,526

in Total Papers Citations

10

Scholarly Papers (17)

1.

Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?

Journal of Futures Markets Vol. 35 No. 12 (2015), 1103-1116.
Number of pages: 20 Posted: 17 Dec 2013 Last Revised: 03 Dec 2016
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 572 (46,387)

Abstract:

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exchange rate options, latent exchange rate

2.

Life-Cycle Asset Allocation and Consumption Using Stochastic Linear Programming

Journal of Computational Finance, Vol. 12, No. 4, pp. 29-50, 2009
Number of pages: 27 Posted: 21 Dec 2006 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 543 (49,526)
Citation 2

Abstract:

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life-cycle asset allocation, stochastic linear programming, scenario trees

3.

The CHF/EUR Exchange Rate during the Swiss National Bank’s Minimum Exchange Rate Policy: A Latent Likelihood Approach

Quantitative Finance, 2018, 19(1), 1-11
Number of pages: 35 Posted: 27 Oct 2014 Last Revised: 31 Dec 2018
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen
Downloads 342 (86,666)
Citation 5

Abstract:

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Swiss franc; Latent exchange rate; Currency options; Latent likelihood approach

4.

Pricing Options on Leveraged Equity with Default Risk and Exponentially Increasing, Finite Maturity Debt

Journal of Economic Dynamics and Control, Vol. 29, No. 3, 2005
Number of pages: 32 Posted: 22 Feb 2002 Last Revised: 03 Mar 2012
Michael Hanke
University of Liechtenstein
Downloads 291 (103,513)
Citation 1

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Structural Credit Risk Model, Firm Value Based Option Pricing

5.

Scenario Trees, Arbitrage, and Multi-Asset ALM Models

European Journal of Operational Research, Vol. 206, No. 3, pp. 609-613, 2010
Number of pages: 17 Posted: 16 Apr 2009 Last Revised: 15 Sep 2011
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 266 (113,844)

Abstract:

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Finance, Uncertainty modelling, Scenario trees, Sparse trees, Asset-liability management

6.

Scenario Tree Generation and Multi-Asset Financial Optimization Problems

Operations Research Letters, 2013, 41, 494-498
Number of pages: 15 Posted: 03 Jun 2011 Last Revised: 01 Jul 2017
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 224 (135,459)
Citation 1

Abstract:

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Scenario trees, No arbitrage, Financial optimization, Scenario reduction

7.

Inflation Forecasts Extracted from Nominal and Real Yield Curves

The Quarterly Review of Economics and Finance, 2016, 60, 180-188
Number of pages: 22 Posted: 19 Dec 2010 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 209 (144,716)

Abstract:

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break-even inflation, Cochrane-Piazzesi factor, Nelson-Siegel model, parameter uncertainty

8.

No-Arbitrage Bounds for Scenarios and Financial Optimization

European Journal of Operational Research, Vol. 236, No. 2, 2014, 657-663
Number of pages: 18 Posted: 15 Sep 2011 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 143 (201,934)

Abstract:

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no-arbitrage bounds, scenario generation, financial optimization

9.

No-Arbitrage ROM Simulation

Journal of Economic Dynamics and Control, 2014, 45, 66-79
Number of pages: 29 Posted: 15 Apr 2012 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 133 (214,168)

Abstract:

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scenario trees, financial optimization, no-arbitrage

10.

A Premium for Parameter Uncertainty in Equities

Number of pages: 15 Posted: 29 Jun 2014 Last Revised: 03 Aug 2014
Michael Hanke and Alex Weissensteiner
University of Liechtenstein and Free University of Bolzano Bozen
Downloads 83 (296,620)

Abstract:

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parameter uncertainty, portfolio choice

11.

Ex Ante Comparison of Maximum Sharpe Ratios and Incremental Variable Testing

European Journal of Operational Research, Volume 265, Issue 2, 1 March 2018, Pages 571-579
Number of pages: 21 Posted: 19 Jan 2016 Last Revised: 30 Jan 2018
Michael Hanke and Spiridon Penev
University of Liechtenstein and University of New South Wales (UNSW) - School of Mathematics
Downloads 78 (307,813)

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Maximum Sharpe ratio, Incremental variables, Comparing tangency portfolios, Mean-variance spanning

12.

Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness

European Journal of Operational Research, forthcoming
Number of pages: 46 Posted: 11 Aug 2016 Last Revised: 30 Jun 2017
University of Liechtenstein, University of New South Wales (UNSW) - School of Mathematics, University of New South Wales (UNSW) - School of Mathematics and Statistics and Free University of Bolzano Bozen
Downloads 62 (348,813)

Abstract:

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ROM simulation, multivariate skewness, risk factors

13.

Quantitative Selection of Election Portfolios

Number of pages: 25 Posted: 22 Aug 2018 Last Revised: 05 Feb 2019
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 43 (410,581)

Abstract:

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betting odds, election portfolios, political uncertainty

14.

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

The Journal of Derivatives, Forthcoming
Posted: 08 Feb 2018 Last Revised: 02 Apr 2019
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen

Abstract:

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betting odds; political events; exchange rate risk

15.

Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Posted: 03 Dec 2016 Last Revised: 23 Mar 2018
Michael Hanke, Rolf Poulsen and Alex Weissensteiner
University of Liechtenstein, University of Copenhagen - Department of Statistics and Operations Research and Free University of Bolzano Bozen

Abstract:

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exchange rates, forecasting, risk-neutral densities, betting quotes

16.

Financial Applications of the Mahalanobis Distance

Applied Economics and Finance, 1(2), p. 71-77
Posted: 19 Aug 2013 Last Revised: 05 Sep 2015
Sebastian Stöckl and Michael Hanke
University of Liechtenstein and University of Liechtenstein

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Mahalanobis distance, Financial turbulence, Multivariate distance

17.

Order Flow Imbalance Effects on the German Stock Market

Business Research, December 2015, Volume 8, Issue 2, pp 213-238
Posted: 16 Mar 2013 Last Revised: 19 Jan 2016
Michael Hanke and Michael Weigerding
University of Liechtenstein and University of Liechtenstein

Abstract:

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order imbalance