Alex Weissensteiner

Free University of Bolzano Bozen

Universitätsplatz 1

Bolzano, 39100

SCHOLARLY PAPERS

34

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CITATIONS
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Top 22,632

in Total Papers Citations

28

Ideas:
“  Asset Allocation decisions under parameter uncertainty  ”

Scholarly Papers (34)

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 752 (32,163)

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 626 (41,167)

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 572 (46,399)

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 543 (49,542)
Citation 2

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 365 (80,439)

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

6.

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 345 (85,839)

Abstract:

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

7.

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 (86,682)
Citation 5

Abstract:

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

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 266 (113,868)

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 224 (135,492)
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 209 (144,751)

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 (152,260)

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 187 (160,507)
Citation 1

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 (192,208)

Abstract:

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

14.

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 144 (200,854)

Abstract:

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

15.

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 (201,982)

Abstract:

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no-arbitrage bounds, scenario generation, financial optimization

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 (214,205)

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 129 (219,356)

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

18.

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 123 (227,393)

Abstract:

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Forecast precision; Efficient markets, Inefficient markets, Passive investment

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 122 (228,840)

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

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 (236,062)

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

21.

Asset Allocation Under Predictability and Parameter Uncertainty Using LASSO

Number of pages: 27 Posted: 19 Oct 2018 Last Revised: 19 Jul 2019
Andrea Rigamonti and Alex Weissensteiner
Free University of Bozen-Bolzano and Free University of Bolzano Bozen
Downloads 110 (246,695)

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

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 109 (248,332)
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 95 (272,517)
Citation 1

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 88 (286,096)

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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 (296,680)

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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 (332,589)

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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 62 (348,875)

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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 43 (410,664)

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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 19 (524,746)

Abstract:

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financial conglomerates, discount, expected returns, skewness

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 10 (578,704)

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

31.

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 5 (610,965)

Abstract:

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

32.

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 (648,295)
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Abstract:

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

33.

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

34.

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