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 (DOI)
  • Bjerring T., Rasmussen K., Weissensteiner A. (2018), Portfolio selection under supply chain predictability, Computational Management Science15(2), 139-159 (DOI)
  • Hanke M., Poulsen R., Weissensteiner A. (2018), The CHF/EUR exchange rate during the Swiss National Bank’s minimum exchange rate policy: A latent likelihood approach, Quantitative Finance, forthcoming (DOI)
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
  • Hanke M., Stoeckl S., Weissensteiner A., Quantitative selection of election portfolios, 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




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