About me

fields of research and teaching: 

• life-cycle asset allocation decisions, asset-liability management, pension finance

• theoretical and empirical asset pricing, financial engineering, scenario generation

• financial risk management, quantitative methods for financial institutions

• market microstructure, strategic information processing, information economics

selected publications 

• Hanke M., Stoeckl S., Weissensteiner A. (2020), Political event portfolios, Journal of Banking & Finance, 118, 105883 (DOI)

• Dangl T., Weissensteiner A. (2020), Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion, Journal of Financial and Quantitative Analysis, 55(4), 1163-1198 (DOI)

• Branger N., Lucivjanska K., Weissensteiner A. (2019), Optimal granularity for portfolio choice, Journal of Empirical Finance, 50, 125-146 (DOI)

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

• 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 (DOI), lead article (Features)

• Hanke M., Poulsen R., Weissensteiner A. (2018), Event-related exchange rate forecasts combining betting quotes and risk-neutral densities from option prices, Journal of Financial and Quantitative Analysis, 53(6), 2663-2683 (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)

• Geyer A., Hanke M., Weissensteiner A. (2014), No-arbitrage ROM simulation, Journal of Economic Dynamics & Control, 45, 66-79 (DOI)

• Marinelli C., Weissensteiner A. (2014), On the relation between forecast precision and trading profitability of financial analysts, Journal of Financial Markets, 20, 39-60 (DOI)

• Geyer A., Hanke M., Weissensteiner A. (2014), No-arbitrage bounds for financial scenarios, European Journal of Operational Research, 236, 657-663 (DOI)

• Ferstl R., Weissensteiner A. (2011), Asset-liability management under time-varying investment opportunities, Journal of Banking & Finance, 35(1), 182-192 (DOI)

NEW WORK

• Hanke M., Stöckl S., Weissensteiner A., US Presidential Election 2024 - stock portfolios (Link)

• Dangl T., Galappi L., Weissensteiner A., Conservative holdings, aggressive trades: Ambiguity, learning, and equilibrium flows (SSRN)

  • • presentation: 6th Jackson Hole Finance Group Conference. Jackson Hole, WY, January 14 – 16, 2023

    • presentation: SGF Conference 2023, Zurich, CH, March 31, 2023

    • presentation: NFA 2023 Annual Meeting, Toronto, CA, September 8-10, 2023

    • presentation: DGF 2023 Annual Meeting, Hohenheim, D, September 28-29, 2023

    • presentation: AFA 2024 Annual Meeting, San Antonio, USA, January 5-7, 2024

• Ferrari D., Paterlini S., Rigamonti A., Weissensteiner A., Smoothed semicovariance estimation for portfolio selection (SSRN)

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

EU grant (2016): "Understanding Pensions in Europe", EU-Link

EU grant (2019): "Understanding Saving in Europe", EU-Link

current collaborations: N. Branger, T. Dangl, L. Garlappi, M. Hanke, R. Poulsen