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PRIX : a risk index for global private investors

Stöckl, Sebastian; Hanke, Michael; Angerer, Martin - In: Journal of risk finance : the convergence of financial … 18 (2017) 2, pp. 214-231

Persistent link: https://www.econbiz.de/10011701765

Cross-border wealth management

Angerer, Martin; Hanke, Michael; Kirn, Tanja; Preiner, … - In: Cross-Border Life and Work : Social, Economic, …, (pp. 59-92). 2023

Persistent link: https://www.econbiz.de/10014446200

Objective and subjective risks of investing into cryptocurrencies

Angerer, Martin; Hoffmann, Christian Hugo; Neitzert, Florian - In: Finance research letters 40 (2021), pp. 1-11

Persistent link: https://www.econbiz.de/10012819832

No-arbitrage conditions, scenario trees, and multi-asset financial optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 206 (2010) 3, pp. 609-613

Persistent link: https://www.econbiz.de/10003982022

Life-cycle asset allocation and consumption using stochastic linear programming

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: The journal of computational finance 12 (2009) 4, pp. 29-50

Persistent link: https://www.econbiz.de/10009534612

A stochastic programming approach for multi-period portfolio optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Computational Management Science : CMS 6 (2009) 2, pp. 187-208

Persistent link: https://www.econbiz.de/10003828694

No-Arbitrage Bounds for Scenarios and Financial Optimization

Geyer, Alois - 2018

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial optimization. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...

Persistent link: https://www.econbiz.de/10012940388

Scenario tree generation and multi-asset financial optimization problems

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Operations research letters 41 (2013) 5, pp. 494-498

Persistent link: https://www.econbiz.de/10010189850

Comparing large-sample maximum Sharpe ratios and incremental variable testing

Hanke, Michael; Penev, Spiridon - In: European journal of operational research : EJOR 265 (2018) 2, pp. 571-579

Persistent link: https://www.econbiz.de/10011811449

Political event portfolios

Hanke, Michael; Stöckl, Sebastian; Weissensteiner, Alex - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521018