Alex Weissensteiner

Free University of Bolzano Bozen

Universitätsplatz 1

Bolzano, 39100

SCHOLARLY PAPERS

35

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6,643

SSRN CITATIONS
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Top 20,980

in Total Papers Citations

21

CROSSREF CITATIONS

22

Ideas:
“  Asset Allocation decisions under parameter uncertainty  ”

Scholarly Papers (35)

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 766 (35,003)
Citation 3

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 632 (45,395)

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 580 (50,784)
Citation 5

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 557 (53,398)
Citation 3

Abstract:

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

5.

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 440 (71,604)
Citation 3

Abstract:

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

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 353 (92,639)
Citation 8

Abstract:

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

7.

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 352 (92,941)
Citation 1

Abstract:

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

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 272 (122,976)

Abstract:

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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 226 (148,241)
Citation 1

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 212 (157,443)

Abstract:

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

11.

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 202 (164,637)
Citation 3

Abstract:

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

12.

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 201 (165,427)

Abstract:

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

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 158 (204,552)

Abstract:

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

14.

Asset Allocation Under Predictability and Parameter Uncertainty Using LASSO

Computational Management Science, 2020
Number of pages: 27 Posted: 19 Oct 2018 Last Revised: 09 Jun 2020
Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 155 (207,966)

Abstract:

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

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 147 (217,185)

Abstract:

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

16.

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 147 (217,185)
Citation 1

Abstract:

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no-arbitrage bounds, scenario generation, financial optimization

17.

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 135 (232,569)

Abstract:

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scenario trees, financial optimization, no-arbitrage

18.

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 135 (232,569)

Abstract:

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

19.

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 131 (238,089)

Abstract:

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

20.

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 131 (238,089)

Abstract:

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Forecast precision; Efficient markets, Inefficient markets, Passive investment

21.

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 118 (257,655)

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

22.

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 113 (265,693)
Citation 1

Abstract:

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Forecast accuracy, Analysts' recommendation profitability, Information asymmetry

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 97 (294,858)
Citation 2

Abstract:

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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 91 (307,120)

Abstract:

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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 84 (322,861)

Abstract:

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parameter uncertainty, portfolio choice

26.

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

Number of pages: 10 Posted: 02 Jun 2020 Last Revised: 20 Jul 2020
Michael Hanke, Maria Kosolapova and Alex Weissensteiner
University of Liechtenstein, Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 71 (355,804)
Citation 1

Abstract:

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

27.

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 70 (358,578)

Abstract:

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

28.

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 39 (466,064)

Abstract:

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financial conglomerates, discount, expected returns, skewness

29.

Choice between Hail Insurance and Anti-Hail Nets of Apple Producers

Number of pages: 42 Posted: 18 Jul 2019
Marco Rogna, Guenter Schamel and Alex Weissensteiner
Free University of Bolzano, Free University of Bozen-Bolzano - Faculty of Economics and Management and Free University of Bolzano Bozen
Downloads 14 (606,939)

Abstract:

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Actuarial soundness, Agricultural insurance markets, Anti-hail nets, Hail, Expected utility

30.

Modeling the Switch from Hail Insurance to Anti-Hail Nets

Number of pages: 23 Posted: 23 Jul 2019
Marco Rogna, Guenter Schamel and Alex Weissensteiner
Free University of Bolzano, Free University of Bozen-Bolzano - Faculty of Economics and Management and Free University of Bolzano Bozen
Downloads 13 (613,764)

Abstract:

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Actuarial soundness, Agricultural insurance, Anti-hail nets, Hail, Panel data

31.

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 (708,849)
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Abstract:

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

32.

Political Event Portfolios

Journal of Banking and Finance, Forthcoming
Posted: 22 Aug 2018 Last Revised: 09 Jun 2020
Michael Hanke, Sebastian Stöckl and Alex Weissensteiner
University of Liechtenstein, University of Liechtenstein and Free University of Bolzano Bozen

Abstract:

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betting odds, election portfolios, political uncertainty

33.

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

34.

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

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

35.

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
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

Abstract:

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ROM simulation, multivariate skewness, risk factors