Michael Hanke

University of Liechtenstein

Fuerst Franz Josef-Strasse

Vaduz, FL-9490

Liechtenstein

SCHOLARLY PAPERS

22

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3,420

SSRN CITATIONS
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SSRN RANKINGS

Top 36,705

in Total Papers Citations

15

CROSSREF CITATIONS

6

Scholarly Papers (22)

1.

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 605 (64,235)
Citation 3

Abstract:

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

2.

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 598 (65,358)
Citation 5

Abstract:

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exchange rate options, latent exchange rate

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 382 (111,637)
Citation 8

Abstract:

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

4.

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 296 (146,961)

Abstract:

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

5.

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 296 (146,961)
Citation 1

Abstract:

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Structural Credit Risk Model, Firm Value Based Option Pricing

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 232 (187,180)
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 220 (196,911)

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 163 (256,327)
Citation 1

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 150 (274,317)
Citation 1

Abstract:

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scenario trees, financial optimization, no-arbitrage

10.

COVID-19 and Market Expectations: Evidence from Option-Implied Densities

Number of pages: 10 Posted: 02 Jun 2020 Last Revised: 20 Jul 2020
University of Liechtenstein, Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 128 (310,296)
Citation 2

Abstract:

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COVID-19, Risk-neutral Densities, Equity Index Options

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 100 (368,427)

Abstract:

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

12.

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 87 (401,770)

Abstract:

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parameter uncertainty, portfolio choice

13.

The Effect of Different Savings Mechanisms in Pension System Design -- Evidence from a Life-Cycle Experiment

Number of pages: 37 Posted: 21 Dec 2021
University of Liechtenstein, University of Liechtenstein, Northumbria University and University of Hamburg
Downloads 61 (487,371)

Abstract:

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Pension systems, experiment, Income uncertainty, Savings behavior

14.

Estimating Time-Varying Risk Aversion from Option Prices and Realized Returns

Number of pages: 32 Posted: 04 Apr 2022
University of Liechtenstein, Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 51 (528,740)

Abstract:

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Stochastic discount factor, Pricing kernel puzzle, Time-varying risk aversion

15.

Recovering Election Winner Probabilities from Stock Prices

Number of pages: 10 Posted: 10 Dec 2020
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 36 (604,225)

Abstract:

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Election winner probabilities, Political prediction markets, Election portfolios

16.

The Effect of Different Savings Mechanisms in Pension System Design – Evidence from a Life-Cycle Experiment

Number of pages: 36 Posted: 16 Aug 2022
University of Liechtenstein, University of Liechtenstein, Northumbria University and University of Hamburg
Downloads 15 (757,878)

Abstract:

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Pension systems, Experiment, Income uncertainty, Savings behavior

17.

Political Event Portfolios

Journal of Banking and Finance, Forthcoming
Posted: 22 Aug 2018 Last Revised: 09 Jun 2020
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen

Abstract:

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betting odds, election portfolios, political uncertainty

18.

Numeraire Dependence in Risk-Neutral Probabilities of Event Outcomes

The Journal of Derivatives, 26(4), 128-143
Posted: 08 Feb 2018 Last Revised: 09 Jun 2020
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

19.

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

Journal of Financial and Quantitative Analysis, 53(6), 2663-2683
Posted: 03 Dec 2016 Last Revised: 09 Jun 2020
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

20.

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

European Journal of Operational Research, 263(2), 510-523
Posted: 11 Aug 2016 Last Revised: 09 Jun 2020
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

Abstract:

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ROM simulation, multivariate skewness, risk factors

21.

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

Abstract:

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Mahalanobis distance, Financial turbulence, Multivariate distance

22.

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