Publications

papers (English)
  1. 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)
  2. Hanke M., Poulsen R., Weissensteiner A. (2019), Numeraire dependence in risk-neutral probabilities of event outcomes, The Journal of Derivatives, forthcoming (working paper SSRN)
  3. Branger N., Lucivjanska K., Weissensteiner A. (2019), Optimal granularity for portfolio choice, Journal of Empirical Finance,  50, 125-146 (DOI)
  4. Weissensteiner A. (2019), Correlated noise: Why passive investments might improve market efficiency, Journal of Economic Behavior & Organization, 158, 158-172 (DOI)
  5. 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)
  6. Bressan S., Weissensteiner A. (2019), The relationship between stock return skewness and bank features, Journal of Financial Management, Markets and Institutions, 6(2), 1-17 (DOI)
  7. 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)
  8. Bjerring T., Rasmussen K., Weissensteiner A. (2018), Portfolio selection under supply chain predictability, Computational Management Science, 15(2), 139-159 (DOI)
  9. Durante F., Foscolo E., Weissensteiner A. (2017), Dependence between stock returns of Italian banks and the sovereign risk, Econometrics, 5(2), 23, 1-14 (DOI)
  10. 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)
  11. Bjerring T., Ross O., Weissensteiner A. (2017), Feature selection for portfolio optimization,  Annals of Operations Research, 256(1), 21-40 (DOI)
  12. Geyer A., Hanke M., Weissensteiner A. (2016), Inflation forecasts using a Nelson/Siegel representation of nominal and real yield curves, The Quarterly Review of Economics and Finance60, 180-188 (DOI)
  13. Konicz A.K., Pisinger D., Weissensteiner A. (2016), Optimal retirement planning with a focus on single and joint life annuities, Quantitative Finance, 16(2), 275-295 (DOI)
  14. Konicz A.K., Pisinger D., Weissensteiner A. (2015), Optimal annuity portfolio under inflation riskComputational Management Science, 12(3), 461-488 (DOI)
  15. Hanke M., Poulsen P., Weissensteiner A. (2015), Where would the EUR/CHF exchange rate be without the SNB’s guarantee?, Journal of Futures Markets, 35(12), 1103-1116 (DOI)
  16. Geyer A., Hanke M., Weissensteiner A. (2014), No-arbitrage ROM simulationJournal of Economic Dynamics & Control, 45, 66-79 (DOI)
  17. 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)
  18. Geyer A., Hanke M., Weissensteiner A. (2014), No-arbitrage bounds for financial scenariosEuropean Journal of Operational Research, 236, 657-663 (DOI)
  19. Geyer A., Hanke M., Weissensteiner A. (2013), Scenario tree generation and multi-asset financial optimization problems, Operations Research Letters, 41, 494-498 (DOI)
  20. Pedersen A.M., Poulsen R., Weissensteiner A. (2013), Financial planning strategies for young households, Annals of Operations Research, 205(1), 55-76 (DOI)
  21. Lawrenz J., Weissensteiner A. (2012), Correlated Errors - Why a monotone relationship between forecast precision and trading profitability may not hold, Journal of Business Finance & Accounting, 39(5), 675-699 (DOI)
  22. Ferstl R., Weissensteiner A. (2011), Asset-liability management under time-varying investment opportunities, Journal of Banking & Finance, 35(1), 182-192 (DOI)
  23. Geyer A., Hanke M., Weissensteiner A. (2010), No-arbitrage conditions, scenario trees, and multi-asset financial optimization, European Journal of Operational Research, 206(3), 609-613 (DOI)
  24. Ferstl R., Weissensteiner A. (2010), Back testing short-term treasury management strategies based on multi-stage stochastic programming, Journal of Asset Management, 11, 94-112 (DOI)
  25. Ferstl R., Weissensteiner A. (2010), Cash management using multi-stage stochastic programming, Quantitative Finance, 10(2), 209-219 (DOI)
  26. Weissensteiner A. (2010), Using the Black-Derman-Toy interest rate model for portfolio optimization, European Journal of Operational Research, 202(1), 175-181 (DOI)
  27. Geyer A., Hanke M., Weissensteiner A. (2009), A stochastic programming approach for multi-period portfolio optimization, Computational Management Science, 6(2), 187-208 (DOI)
  28. Geyer A., Hanke M., Weissensteiner A. (2009), Life-cycle asset allocation and consumption using stochastic linear programming, Journal of Computational Finance, 12(4), 29-50 (DOI)
  29. Weissensteiner A. (2009), A Q-learning approach to derive optimal consumption and investment strategies, IEEE Transactions on Neural Networks, 20(8), 1234-1243 (DOI)
papers (German)
  1. Hanke M., Weissensteiner A. (2012), Optimale langfristige Asset Allocation für Privatinvestoren – Ausgewählte praxisrelevante Erkenntnisse aus der finanzwirtschaftlichen Literatur, Journal of Banking and Financial Research, 514-520

contributions to books 
  1. Hanke M., Weissensteiner A. (2017), Arbitrage-free Scenario Generation in Financial Optimization, in Wiley StatsRef-Statistics Reference Online (DOI)
  2. Geyer A., Hanke M., Weissensteiner A. (2012), Optimale Asset Allocation im Zeitablauf - ein Überblick über Modelle und Lösungsverfahren, in R. Frick, P. Gantenbein and P. Reichling (ed.), Asset Management, Haupt Verlag, Zürich, 125-132