About me

Alex Weissensteiner

current affiliation
Free University of Bozen-Bolzano
School of Economics and Management
- Associate professor in Quantitative Finance
Director of the BSc program "Economics & Management"
- Coordinator of the Quality Committee

former affiliation: 
Technical University of Denmark
Financial Engineering

fields of research and teaching
  • mathematical methods for life-cycle asset allocation decisions, asset-liability management, pension finance
  • financial engineering, scenario generation, asset pricing
  • financial risk management 
  • market microstructure, strategic information processing, information economics

new publications (since 2017):
  • Hanke M., Weissensteiner A. (2017), Arbitrage-free scenario generation in financial optimization, in Wiley StatsRef-Statistics Reference Online (DOI)
  • 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, 263(2), 510-523 (DOI)
  • Durante F., Foscolo E., Weissensteiner A. (2017), Dependence between stock returns of Italian banks and the sovereign risk, Econometrics5(2), 23, 1-14 (DOI)
  • Hanke M., Poulsen R., Weissensteiner A. (2017), Event-related exchange rate forecasts combining betting quotes and risk-neutral densities from option prices, Journal of Financial and Quantitative Analysis, forthcoming (link)
  • Bjerring T., Rasmussen K., Weissensteiner A. (2018), Portfolio selection under supply chain predictability, Computational Management Scienceconditional acceptance
new working papers:
  • Hanke M., Poulsen R., Weissensteiner A., The CHF/EUR exchange rate during the Swiss National Bank’s minimum exchange rate policy: A latent likelihood approach, SSRN
  • Weissensteiner A., Correlated noise: Why passive investments might improve market efficiency, SSRN
  • Dangl T., Weissensteiner A., Long-term asset allocation under parameter uncertainty: Optimal portfolios with model and parameter uncertainty, SSRN
  • Hanke M., Poulsen R., Weissensteiner A., Numeraire dependence in risk-neutral probabilities of event outcomes, SSRN

editorial board membership: Risks (editor Mogens Steffensen, University of Copenhagen)

workshop (2017) Asset Allocation under Parameter Uncertainty - speakers Nicole Branger, Thomas Dangl, Lorenzo Garlappi, Michael Hanke, Tim A. Kroencke, Claus Munk, Rolf Poulsen, Sebastian Stöckl

workshop (2017) Euro crisisspeakers Paolo Lugli, Roberto Caporale, Innocenzo Cipolletta, Giuseppe Parigi, Giovanni Sabatini, Sergio Vento, Alex Weissensteiner

Alex Weissensteiner,
Mar 10, 2018, 4:15 AM