Alex Weissensteiner

Free University of Bolzano Bozen

Universitätsplatz 1

Bolzano, 39100

SCHOLARLY PAPERS

32

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6,294

CITATIONS
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Top 28,753

in Total Papers Citations

8

Ideas:
“  Asset Allocation decisions under parameter uncertainty  ”

Scholarly Papers (32)

1.

Feature Selection for Portfolio Optimization

Annals of Operation Research, Forthcoming
Number of pages: 25 Posted: 14 Jan 2015 Last Revised: 03 Mar 2017
Thomas Bjerring, Omri Ross and Alex Weissensteiner
Technical University of Denmark - Management Engineering, University of Copenhagen and Free University of Bolzano Bozen
Downloads 748 (31,854)

Abstract:

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Portfolio Optimization, Feature Selection, Agglomerative Hierarchical Clustering

2.

Cash Management Using Multi-Stage Stochastic Programming

Quantitative Finance, 2010, 10(2), 209-219
Number of pages: 20 Posted: 06 Sep 2007 Last Revised: 01 Jul 2017
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 625 (40,516)
Citation 3

Abstract:

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Dynamic stochastic programming, Cash management, Market price of risk, Change of measure, Scenario generation

3.

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 568 (45,944)

Abstract:

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exchange rate options, latent exchange rate

4.

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 541 (48,864)
Citation 3

Abstract:

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

5.

Asset-Liability Management Under Time-Varying Investment Opportunities

Journal of Banking and Finance, 2011, 35(1), 182-192
Number of pages: 33 Posted: 08 May 2009 Last Revised: 01 Jul 2017
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 343 (84,962)
Citation 1

Abstract:

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asset-liability management, predictability, stochastic programming, scenario generation, VAR process

6.

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 341 (85,509)

Abstract:

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

7.

Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty and Ambiguity Aversion

Number of pages: 51 Posted: 12 Dec 2016 Last Revised: 31 Dec 2018
Thomas Dangl and Alex Weissensteiner
Vienna University of Technology and Free University of Bolzano Bozen
Downloads 335 (87,243)

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Portfolio Choice, Predictability, Parameter Uncertainty, Ambiguity Aversion, Strategic Asset Allocation

8.

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 265 (112,432)

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

9.

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 (133,304)

Abstract:

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Scenario trees, No arbitrage, Financial optimization, Scenario reduction

10.

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 (142,456)

Abstract:

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

11.

Back Testing Short-term Treasury Management Strategies Based on Multi-Stage Stochastic Programming

Journal of Asset Management, 2010, 11, 94-112
Number of pages: 22 Posted: 04 Jan 2009 Last Revised: 29 Dec 2018
Robert Ferstl and Alex Weissensteiner
Oesterreichische Nationalbank (OeNB) and Free University of Bolzano Bozen
Downloads 198 (149,748)

Abstract:

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Dynamic stochastic optimisation, Treasury management, Market price of risk, Change of measure, Scenario generation

12.

Optimal Granularity for Portfolio Choice

Number of pages: 53 Posted: 25 Apr 2016 Last Revised: 11 Jan 2019
Nicole Branger, Katarina Lucivjanska and Alex Weissensteiner
University of Muenster - Finance Center Muenster, University of Pavol Jozef Šafárik in Kosice and Free University of Bolzano Bozen
Downloads 186 (158,677)

Abstract:

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mean-variance optimization, the 1/N rule, parameter uncertainty, optimal portfolio granularity

13.

Portfolio Selection Under Supply Chain Predictability

Computational Management Science, 2018, 15(2), 139-159
Number of pages: 23 Posted: 29 Mar 2016 Last Revised: 31 Dec 2018
Thomas Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 152 (189,101)

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Predictability of Returns, Supply Chain, Scenario Generation, Portfolio Selection, Stochastic Programming

14.

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 (198,783)

Abstract:

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no-arbitrage bounds, scenario generation, financial optimization

15.

On the Relation between Forecast Precision and Trading Profitability of Financial Analysts

Journal of Financial Markets, 2014, 20, 39-60
Number of pages: 26 Posted: 31 Jan 2013 Last Revised: 01 Jul 2017
Carlo Marinelli and Alex Weissensteiner
University of Bonn - Institut fuer Angewandte Mathematik and Free University of Bolzano Bozen
Downloads 141 (200,965)

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financial analyst, forecast accuracy, recommendation profitability, full communication equilibrium

16.

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 (210,655)

Abstract:

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scenario trees, financial optimization, no-arbitrage

17.

A Q-Learning Approach to Derive Optimal Consumption and Investment Strategies

IEEE Transactions on Neural Networks, 2009, 20(8), 1234-1243
Number of pages: 31 Posted: 15 Feb 2008 Last Revised: 01 Jul 2017
Alex Weissensteiner
Free University of Bolzano Bozen
Downloads 128 (217,139)

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Dynamic Programming, Reinforcement Learning, Q-learning, Self-organizing Maps, Finance, Asset Allocation

18.

Portfolio Optimization of Commodity Futures with Seasonal Components and Higher Moments

Number of pages: 18 Posted: 17 Nov 2016
Thomas Bjerring, Kourosh Marjani Rasmussen and Alex Weissensteiner
Technical University of Denmark - Management Engineering, Technical University of Denmark and Free University of Bolzano Bozen
Downloads 122 (225,109)

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Commodity Futures, Sieve Bootstrapping, Omega Ratio, Portfolio Optimization, Stochastic Programming

19.

Correlated Noise: Why Passive Investment Might Improve Market Efficiency

Journal of Economic Behavior & Organization, 2018, Forthcoming
Number of pages: 31 Posted: 26 Mar 2016 Last Revised: 31 Dec 2018
Alex Weissensteiner
Free University of Bolzano Bozen
Downloads 122 (225,109)

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Forecast precision; Efficient markets, Inefficient markets, Passive investment

20.

Dependence between Stock Returns of Italian Banks and the Sovereign Risk

Econometrics 2017, 5(23), 1-14
Number of pages: 21 Posted: 06 Aug 2012 Last Revised: 01 Jul 2017
Fabrizio Durante, Enrico Foscolo and Alex Weissensteiner
University of Salento, Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 117 (232,300)

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Financial sector, Rank correlation, Tail dependence, Sovereign credit risk, Italy

21.

Evidence on the Empirical Relationship Between Recommendation Profitability and Forecast Accuracy

Number of pages: 54 Posted: 14 Feb 2014 Last Revised: 01 Jul 2017
Jochen Lawrenz, Klaus Schredelseker and Alex Weissensteiner
University of Innsbruck, Institute of Banking and Finance and Free University of Bolzano Bozen
Downloads 109 (244,467)

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Forecast accuracy, Analysts' recommendation profitability, Information asymmetry

22.

Asset Allocation Under Predictability and Parameter Uncertainty Using LASSO

Number of pages: 27 Posted: 19 Oct 2018 Last Revised: 07 Mar 2019
Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 96 (266,473)

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LASSO, cross-validation, return predictability, parameter uncertainty, portfolio selection

23.

Optimal Retirement Planning with a Focus on Single and Joint Life Annuities

Quantitative Finance, 16:2, 275-295, 2016
Number of pages: 31 Posted: 19 Apr 2014 Last Revised: 04 Feb 2016
Agnieszka K. Konicz Bell, David Pisinger and Alex Weissensteiner
Independent, Technical University of Denmark - Management Engineering and Free University of Bolzano Bozen
Downloads 94 (270,095)

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annuities, household, stochastic programming

24.

Correlated Errors - Why a Monotone Relationship between Forecast Precision and Trading Profitability May Not Hold

Number of pages: 40 Posted: 14 Feb 2009 Last Revised: 29 Dec 2018
Jochen Lawrenz and Alex Weissensteiner
University of Innsbruck and Free University of Bolzano Bozen
Downloads 88 (281,601)

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Forecast accuracy, analysts recommendation profitability, learning, Kalman filter

25.

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 (291,991)

Abstract:

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parameter uncertainty, portfolio choice

26.

Optimal Annuity Portfolio Under Inflation Risk

2015, Computational Management Science: 12(3):461-488
Number of pages: 22 Posted: 06 Sep 2014 Last Revised: 29 Dec 2018
Agnieszka K. Konicz Bell, David Pisinger and Alex Weissensteiner
Independent, Technical University of Denmark - Management Engineering and Free University of Bolzano Bozen
Downloads 68 (327,217)

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Inflation-linked annuity, Retirement planning, CRRA utility, Loss disutility, Multi-stage stochastic programming

27.

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
Michael Hanke, Spiridon Penev, Wolfgang Schief and Alex Weissensteiner
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 61 (346,060)

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ROM simulation, multivariate skewness, risk factors

28.

Quantitative Selection of Election Portfolios

Number of pages: 25 Posted: 22 Aug 2018 Last Revised: 05 Feb 2019
Michael Hanke, Sebastian Stöckl and Alex Weissensteiner
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 38 (422,854)

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betting odds, election portfolios, political uncertainty

29.

The Financial Conglomerate Discount: Insights from Stock Return Skewness

Number of pages: 27 Posted: 15 Mar 2019
Silvia Bressan and Alex Weissensteiner
Free University of Bozen-Bolzano - Faculty of Economics and Management and Free University of Bolzano Bozen
Downloads 15 (538,383)

Abstract:

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financial conglomerates, discount, expected returns, skewness

30.

Correlated Errors: Why a Monotone Relationship between Forecast Precision and Trading Profitability May Not Hold

Journal of Business Finance & Accounting, Vol. 39, Issue 5‐6, pp. 675-699, 2012
Number of pages: 25 Posted: 05 Jul 2012
Jochen Lawrenz and Alex Weissensteiner
University of Innsbruck and Free University of Bolzano Bozen
Downloads 1 (633,584)
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Abstract:

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forecast accuracy, analysts’ recommendation profitability, learning, Kalman filter

31.

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

32.

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