About me

Alex Weissensteiner

current affiliation
Free University of Bozen-Bolzano
School of Economics and Management
- Professor in Quantitative Finance
Vice-Dean for Teaching
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
  • life-cycle asset allocation decisions, asset-liability management, pension finance
  • empirical and theoretical asset pricing, financial engineering, scenario generation
  • financial risk management 
  • market microstructure, strategic information processing, information economics

selected publications 
  • Dangl T., Weissensteiner A. (2019), Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion, Journal of Financial and Quantitative Analysis, forthcoming (DOI), (working paper SSRN)
  • Hanke M., Poulsen R., Weissensteiner A. (2019), Numeraire dependence in risk-neutral probabilities of event outcomes, The Journal of Derivatives, forthcoming (working paper SSRN)
  • 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 simulationJournal 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 scenariosEuropean 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:
  • Hanke M., Stoeckl S., Weissensteiner A., Quantitative selection of election portfolios, SSRN
  • Rigamonti A., Weissensteiner A., Asset allocation under predictability and parameter uncertainty using LASSO, SSRN
  • Bressan S., Weissensteiner A., The financial conglomerate discount: Insights from stock return skewness, SSRN

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

current collaborators: N. Branger, T. Dangl, M. Hanke, R. Poulsen

Alex Weissensteiner,
Mar 19, 2019, 4:58 AM