Dr. Alex Weissensteiner

Kosolapova, M., Hanke, M., & Weissensteiner, A. (2023). Estimating time-varying risk aversion from option prices and realized returns. Quantitative Finance, 23(1), 1-17. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)

Dangl, T., & Weissensteiner, A. (2020). Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion. Journal of Financial and Quantitative Analysis (JFQA), 55(4), 1163-1198. (ABDC_2022: A*; ABS_2021: 4; VHB_3: A; FT_50_2016: yes)

Hanke, M., Stöckl, S., & Weissensteiner, A. (2020). Political Event Portfolios. Journal of Banking and Finance, 118, 1-18. (ABDC_2022: A; ABS_2021: 3; VHB_3: A)

Hanke, M., Kosolapova, M., & Weissensteiner, A. (2020). COVID-19 and Market Expectations: Evidence from Option-Implied Densities. Economics Letters, 195, 1-4. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)

Rigamonti, A., & Weissensteiner, A. (2020). Asset allocation under predictability and parameter uncertainty using LASSO. Computational Management Science, 17, 179-201. (ABDC_2022: B; ABS_2021: 1)

Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). The CHF/EUR Exchange Rate during the Swiss National Bank's Minimum Exchange Rate Policy: A Latent Likelihood Approach. Quantitative Finance, 19(1), 1-11. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)

Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). Numeraire Dependence in Risk-neutral Probabilities of Event Outcomes. The Journal of Derivatives, 26(4), 128-143. (ABDC_2022: A; ABS_2021: 2; VHB_3: B)

Weissensteiner, A. (2019). Correlated noise: Why passive investments might improve market efficiency. Journal of Economic Behavior & Organization, 158, 158-172. (ABDC_2022: A*; VHB_3: A)

Hanke, M., Poulsen, R., & Weissensteiner, A. (2018). Event-related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. Journal of Financial and Quantitative Analysis (JFQA), 53(6), 2663-2683. (ABDC_2022: A*; ABS_2021: 4; VHB_3: A; FT_50_2016: yes)

Hanke, M., Penev, S., Schief, W., & Weissensteiner, A. (2017). Random Orthogonal Matrix Simulation with Exact Means, Covariances, and Multivariate Skewness. European Journal of Operational Research (EJOR), 263(2), 510-523. (ABDC_2022: A*; ABS_2021: 4; VHB_3: A)

Geyer, A., Hanke, M., & Weissensteiner, A. (2016). Inflation forecasts extracted from nominal and real yield curves. Quarterly Review of Economics and Finance, 60, 180-188. (ABDC_2022: B; ABS_2021: 2; VHB_3: B)

Hanke, M., Poulsen, R., & Weissensteiner, A. (2015). Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy? Journal of Futures Markets, 35(12), 1103-1116. (ABDC_2022: A; ABS_2021: 3; VHB_3: B)

Geyer, A., Hanke, M., & Weissensteiner, A. (2014). No-Arbitrage Bounds for Financial Scenarios. European Journal of Operational Research (EJOR), 236(2), 657-663. (ABDC_2022: A*; ABS_2021: 4; VHB_3: A)

Geyer, A., Hanke, M., & Weissensteiner, A. (2014). No-Arbitrage ROM Simulation. Journal of Economic Dynamics and Control, 45(August), 66-79. (ABDC_2022: A*; ABS_2021: 3; VHB_3: A)

Hanke, M., & Weissensteiner, A. (2012). Optimale langfristige Asset Allocation für Privatinvestoren. Österreichisches Bankarchiv, 60(August), 514-519. (VHB_3: D)

Hanke, M., & Weissensteiner, A. (2017). Arbitrage-Free Scenario Generation in Financial Optimization. In Wiley StatsRef: Statistics Reference Online (pp. 1-6).

Geyer, A., Hanke, M., & Weissensteiner, A. (2012). Optimale Asset Allocation im Zeitablauf - Ein Überblick über Modelle und Lösungsverfahren. In R. Frick (Ed.), Asset Management (pp. 125-132). Bern: Haupt Verlag.

Rigamonti, A., Weissensteiner, A., Ferrari, D., & Paterlini, S. (2021). Smoothed Semicovariance Estimation for Portfolio Selection. Presented at the Joint Conference EWG, CFM & FI BA, Remote.

Hanke, M., Stöckl, S., & Weissensteiner, A. (2019). Political Event Portffolios. Presented at the Quantitative Methods in Finance Conference, Sydney, Australia.

Hanke, M., Poulsen, R., & Weissensteiner, A. (2019). Numeraire dependence in risk-neutral probabilities of event outcomes. Presented at the Risk: modeling, optimization, and inference, Sydney, Australia.

Rigamonti, A., Ferrari, D., Weissensteiner, A., & Paterlini, S. (2021). Smoothed Semicovariance Estimation. University of Liechtenstein.