About me

Alex Weissensteiner

current affiliation: 
Free University of Bozen-Bolzano
School of Economics and Management

- Director of the BSc program "Economics and Management"
- Coordinator of the Quality Committee

fields of research and teaching
  • portfolio optimization, 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 (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)
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

guest editor Risks:  "The implications of Brexit", Deadline Jun 30, 2017

Alex Weissensteiner,
Jun 26, 2017, 8:07 AM