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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

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

The impact of endogenous and exogenous cash inflows in experimental asset markets

Angerer, Martin; Szymczak, Wiebke - In: Journal of economic behavior & organization : JEBO 166 (2019), pp. 216-238

Persistent link: https://www.econbiz.de/10012149053

Arbitrage bots in experimental asset markets

Angerer, Martin; Neugebauer, Tibor; Shachat, Jason M. - In: Journal of economic behavior & organization : JEBO 206 (2023), pp. 262-278

Persistent link: https://www.econbiz.de/10014247343

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

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

No-arbitrage bounds for financial scenarios

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 236 (2014) 2, pp. 657-663

Persistent link: https://www.econbiz.de/10010366120

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

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

Scenario Tree Generation and Multi-Asset Financial Optimization Problems

Geyer, Alois - 2017

We compare two popular scenario tree generation methods in the context of financial optimization: Moment matching and scenario reduction. Using a simple problem with a known analytic solution, we find that moment matching, when accompanied by a check to ensure the absence of arbitrage...

Persistent link: https://www.econbiz.de/10012975980