About me

current affiliation: Free University of Bozen-Bolzano
  • Director of the BSc program "Economics and Management"
  • Coordinator of the Quality Committee
former affiliation: DTU - Technical University of Denmark - Financial Engineering

fields of research and teaching
  • life-cycle asset allocation, asset-liability management, pension finance
  • financial engineering, scenario generation, asset pricing
  • financial risk management
  • market microstructure, strategic information processing, information economics
new publications:
  • Bjerring T., Ross O., Weissensteiner A. (2016), Feature selection for portfolio optimization,  Annals of Operations Research, forthcoming, SSRN
  • Hanke M., Weissensteiner A. (2017), Arbitrage-free scenario generation in financial optimization, in Wiley StatsRef-Statistics Reference Online, forthcoming
new working papers:
  • ROM simulation with exact means, covariances, and multivariate skewness, with M. Hanke, S. Penev and W. Schief, SSRN
  • Analyzing the Swiss National Bank’s euro exchange rate policy: A latent likelihood approach, with M. Hanke und R. Poulsen, SSRN
  • Correlated noise: Why passive investments might improve market efficiency, SSRN
  • Long-term asset allocation under parameter uncertainty: Optimal portfolios with model and parameter uncertainty, with T. Dangl, SSRN
guest editor Risks:  "The implications of Brexit", Deadline Jun 30, 2017





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Alex Weissensteiner,
Mar 10, 2017, 5:11 AM