Alex Weissensteiner

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Estimating time-varying risk aversion from option prices and realized returns Quantitative Finance	2023-06-20	Paper
Optimal retirement planning with a focus on single and joint life annuities Quantitative Finance	2021-07-16	Paper
Asset allocation under predictability and parameter uncertainty using Lasso Computational Management Science	2021-02-02	Paper
COVID-19 and market expectations: evidence from option-implied densities Economics Letters	2020-11-04	Paper
No-arbitrage ROM simulation Journal of Economic Dynamics and Control	2018-11-01	Paper
Feature selection for portfolio optimization Annals of Operations Research	2018-02-16	Paper
Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness European Journal of Operational Research	2018-02-06	Paper
No-arbitrage bounds for financial scenarios European Journal of Operational Research	2015-07-29	Paper
Optimal annuity portfolio under inflation risk Computational Management Science	2015-07-24	Paper
Scenario tree generation and multi-asset financial optimization problems Operations Research Letters	2014-05-15	Paper
Financial planning for Young households Annals of Operations Research	2013-08-07	Paper
On the relation between forecast precision and trading profitability of financial analysts	2013-01-28	Paper
No-arbitrage conditions, scenario trees, and multi-asset financial optimization European Journal of Operational Research	2010-06-11	Paper
Cash management using multi-stage stochastic programming Quantitative Finance	2010-03-12	Paper
Life-cycle asset allocation and consumption using stochastic linear programming The Journal of Computational Finance	2010-02-08	Paper
A stochastic programming approach for multi-period portfolio optimization Computational Management Science	2009-08-04	Paper

Research outcomes over time

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