Alex Weissensteiner

Publication Activity (10 Years)

Years Active: 2009-2020
Publications (10 Years): 4

Top Topics

Confidence Bounds

Portfolio Optimization

Portfolio Selection

Top Venues

Comput. Manag. Sci.

Ann. Oper. Res.

Eur. J. Oper. Res.

Oper. Res. Lett.

Publications

Andrea Rigamonti, Alex Weissensteiner
Asset allocation under predictability and parameter uncertainty using LASSO. Comput. Manag. Sci. 17 (2) (2020)
Thomas Trier Bjerring, Kourosh Marjani Rasmussen, Alex Weissensteiner
Portfolio selection under supply chain predictability. Comput. Manag. Sci. 15 (2) (2018)
Michael Hanke, Spiridon I. Penev, Wolfgang K. Schief, Alex Weissensteiner
Random orthogonal matrix simulation with exact means, covariances, and multivariate skewness. Eur. J. Oper. Res. 263 (2) (2017)
Thomas Trier Bjerring, Omri Ross, Alex Weissensteiner
Feature selection for portfolio optimization. Ann. Oper. Res. 256 (1) (2017)
Agnieszka Karolina Konicz, David Pisinger, Alex Weissensteiner
Optimal annuity portfolio under inflation risk. Comput. Manag. Sci. 12 (3) (2015)
Alois Geyer, Michael Hanke, Alex Weissensteiner
No-arbitrage bounds for financial scenarios. Eur. J. Oper. Res. 236 (2) (2014)
Anne Marie B. Pedersen, Alex Weissensteiner, Rolf Poulsen
Financial planning for young households. Ann. Oper. Res. 205 (1) (2013)
Alois Geyer, Michael Hanke, Alex Weissensteiner
Scenario tree generation and multi-asset financial optimization problems. Oper. Res. Lett. 41 (5) (2013)
Alex Weissensteiner
Using the Black-Derman-Toy interest rate model for portfolio optimization. Eur. J. Oper. Res. 202 (1) (2010)
Alois Geyer, Michael Hanke, Alex Weissensteiner
No-arbitrage conditions, scenario trees, and multi-asset financial optimization. Eur. J. Oper. Res. 206 (3) (2010)
Alois Geyer, Michael Hanke, Alex Weissensteiner
A stochastic programming approach for multi-period portfolio optimization. Comput. Manag. Sci. 6 (2) (2009)
Alex Weissensteiner
A Q -Learning Approach to Derive Optimal Consumption and Investment Strategies. IEEE Trans. Neural Networks 20 (8) (2009)