Research

scenario generation (with code)

• Geyer A., Hanke M., Weissensteiner A., No-arbitrage ROM simulation  -  SSRN 

• Hanke M., Penev S., Schief W., Weissensteiner A., ROM simulation with exact means, covariances, and multivariate skewness - SSRN

portfolio optimization / asset pricing / financial markets / decision under uncertainty

• Hanke M., Schadner W., Stöckl S., Weissensteiner A., The event clock: Identifying physical information from state prices - SSRN

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

• Bjerring T., Rasmussen K., Weissensteiner A., Portfolio optimization of commodity futures with seasonal components and higher moments - SSRN

market microstructure

• Lawrenz J., Schredelseker K., Evidence on the empirical relationship between forecast accuracy and recommendation profitability - SSRN