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Alois Pichler

Personal Details

First Name:Alois
Middle Name:
Last Name:Pichler
Suffix:
RePEc Short-ID:ppi285
http://homepage.univie.ac.at/alois.pichler/

Affiliation

Department of Statistics and Operations Research
Fakultät für Wirtschaftswissenschaften
Universität Wien

Wien, Austria
http://isor.univie.ac.at/

:

Oskar-Morgenstern Platz 1, 1090 Wien
RePEc:edi:isduwat (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alois Pichler & Alexander Shapiro, 2012. "Uniqueness of Kusuoka Representations," Papers 1210.7257, arXiv.org, revised Feb 2013.
  2. Alois Pichler, 2012. "Spectral Risk Measures, With Adaptions For Stochastic Optimization," Papers 1209.3570, arXiv.org.

Articles

  1. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alois Pichler & Alexander Shapiro, 2012. "Uniqueness of Kusuoka Representations," Papers 1210.7257, arXiv.org, revised Feb 2013.

    Cited by:

    1. Kerem Ugurlu, 2014. "On the Coherent Risk Measure Representations in the Discrete Probability Spaces," Papers 1411.4441, arXiv.org, revised Dec 2014.
    2. Bellini, Fabio & Klar, Bernhard & Müller, Alfred & Rosazza Gianin, Emanuela, 2014. "Generalized quantiles as risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 54(C), pages 41-48.
    3. Pichler, Alois, 2013. "The natural Banach space for version independent risk measures," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 405-415.
    4. Johanna F. Ziegel, 2013. "Coherence and elicitability," Papers 1303.1690, arXiv.org, revised Mar 2014.

Articles

  1. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.

    Cited by:

    1. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
    2. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
    3. Paolo Tasca & Pavlin Mavrodiev & Frank Schweitzer, "undated". "Quantifying the Impact of Leveraging and Diversification on Systemic Risk," Working Papers ETH-RC-13-003, ETH Zurich, Chair of Systems Design.
    4. Ammann, Manuel & Coqueret, Guillaume & Schade, Jan-Philip, 2016. "Characteristics-based portfolio choice with leverage constraints," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 23-37.
    5. Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Econometric Institute Research Papers EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    6. Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
    7. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    8. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
    9. Daniel Bartl & Samuel Drapeau & Ludovic Tangpi, 2017. "Computational aspects of robust optimized certainty equivalents and option pricing," Papers 1706.10186, arXiv.org, revised Apr 2018.
    10. Hjalmarsson, Erik & Manchev, Petar, 2012. "Characteristic-based mean-variance portfolio choice," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1392-1401.
    11. Ons Bouslama & Olfa Ben Ouda, 2015. "The Benefit of International Equity Diversification: The ‘1/N’ Diversification Rule," International Journal of Empirical Finance, Research Academy of Social Sciences, vol. 4(1), pages 59-68.
    12. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
    13. Sokolovskyi, Dmytro & Sokolovska, Olena, 2013. "The problem of arising the Pareto inefficient norm in relations “investor – government” type," MPRA Paper 44745, University Library of Munich, Germany.
    14. Ameur, H. Ben & Prigent, J.L., 2013. "Optimal portfolio positioning under ambiguity," Economic Modelling, Elsevier, vol. 34(C), pages 89-97.
    15. Yuki Shigeta, 2016. "Optimality of Naive Investment Strategies in Dynamic MeanVariance Optimization Problems with Multiple Priors," Discussion papers e-16-004, Graduate School of Economics , Kyoto University.
    16. Sergio Ortobelli Lozza & Enrico Angelelli & Daniele Toninelli, 2011. "Set-Portfolio Selection with the Use of Market Stochastic Bounds," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 47(0), pages 5-24, November.
    17. Fertis, Apostolos & Baes, Michel & Lüthi, Hans-Jakob, 2012. "Robust risk management," European Journal of Operational Research, Elsevier, vol. 222(3), pages 663-672.
    18. Ch. Pflug, Georg & Timonina-Farkas, Anna & Hochrainer-Stigler, Stefan, 2017. "Incorporating model uncertainty into optimal insurance contract design," Insurance: Mathematics and Economics, Elsevier, vol. 73(C), pages 68-74.
    19. Francesco Cesarone & Fabio Tardella, 2017. "Equal Risk Bounding is better than Risk Parity for portfolio selection," Journal of Global Optimization, Springer, vol. 68(2), pages 439-461, June.
    20. Yuki Shigeta, 2017. "Portfolio selections under mean-variance preference with multiple priors for means and variances," Annals of Finance, Springer, vol. 13(1), pages 97-124, February.
    21. Rüdiger Kiesel & Robin Rühlicke & Gerhard Stahl & Jinsong Zheng, 2016. "The Wasserstein Metric and Robustness in Risk Management," Risks, MDPI, Open Access Journal, vol. 4(3), pages 1-14, August.
    22. Kim, Woo Chang & Kim, Jang Ho & Fabozzi, Frank J., 2014. "Deciphering robust portfolios," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 1-8.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 2 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-RMG: Risk Management (2) 2012-09-30 2012-11-11. Author is listed

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