About me

current affiliation:

Free University of Bozen-Bolzano - School of Economics and Management

  • Full Professor in Quantitative Finance

  • Vice-Rector for Studies

former affiliation:

Technical University of Denmark - Financial Engineering

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

  • Bressan S., Weissensteiner A. (2021), The financial conglomerate discount: Insights from stock return skewness, International Review of Financial Analysis​, 74, 101662 (DOI)

  • Hanke M., Kosolapova M., Weissensteiner A. (2020), Covid-19 and market expectations: Evidence from option-implied densities, Economics Letters, 195, 109441 (DOI)

  • 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)

  • Hanke M., Poulsen R., Weissensteiner A. (2019), Numeraire dependence in risk-neutral probabilities of event outcomes, The Journal of Derivatives, 26(4), 128-143 (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 working papers

  • Rogna M., Schamel G., Weissensteiner A., Modeling the Switch from Hail Insurance to Anti-Hail (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