Institut für Managementwissenschaften
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Thomas Dangl

Vienna University of Technology

Institute of Management Science
Theresianumgasse 27
A-1040 Vienna
Tel: +43-1-58801-33063
Fax: +43-1-58801-33096
e-mail: Thomas.Dangltuwien.ac.at

CV

office hours: by appointment via e-mail

Teaching / Lehre (please follow this link to the TISS Information System) Some older lecture notes can be found here.

Interactive teaching material (partly in German) can be found here.

NEW: Video tutorial on the geometry of the global minimum-variance portfolio:

The Geometry of Mean-Variance Portfolio Optimization, Part I: The Minimum-Variance Portfolio

Fields of Interest:

Corporate Finance, Delegated Portfolio Management, Bayesian Learning and Optimal Decision Making in Continuous Time

Working Papers:

Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion, 2018, with Alex Weissensteiner, Univ. Bozen

Minimum-Variance Stock Picking -- A Shift in Preferences for Minimum-Variance Portfolio Constituents, 2013. 

Debt Maturity and the Dynamics of Leverage, with Josef Zechner (Vienna University of Economics and Business, R&R Review of Financial Studies, [A+])

Publications:

Refereed Journals:

[letters in square brackets refer to the vhb journal classification, vhb-jourqual-3]

Dangl, Thomas and Youchang Wu (2016) Corporate Investment over the Business Cycle, Review of Finance 20 (1), 337-371. [A]

Dangl, Thomas and Michael Halling (2012) Predictive Regressions with Time-Varying Coefficients, Journal of Financial Economics, 106 (1), 157 - 181. [A+, 256 citations according to Google scholar]

Dawid, Herbert, Michael Kopel and Thomas Dangl (2009) Trash it or sell it? A strategic analysis of development and market introduction of product innovations, International Game Theory Review 11, 321-345.

Dangl, Thomas, Youchang Wu and Josef Zechner (2008) Market Discipline and Internal Governance in the Mutual Fund Industry, The Review of Financial Studies, Vol 21, Nr 5, 2307-2343. [A+, 100 citations according to Google scholar, including early versions]

    Dangl, Thomas and Franz Wirl (2007) The Consequences of Irreversibility on Optimal Intertemporal Emission Policies Under Uncertainty, Central European Journal of Operations Research 15, 143-166. [C]

    Dangl, Thomas and Josef Zechner (2004) Credit Risk and Dynamic Capital Structure Choice, Journal of Financial Intermediation, 13/2, pp 183-204. [A, 107 citations according to Google scholar]

    Dangl, Thomas and Alfred Lehar (2004) Value-at-Risk vs. Building Block Regulation in Banking, Journal of Financial Intermediation, 13/2, pp 96-131. [A, 113 citations according to Google scholar]

    Dangl, Thomas and Franz Wirl (2004) Investment under Uncertainty: Calculating the Value Function when the Hamilton-Jacobi-Bellman Equation cannot be Solved Analytically, Journal of Economic Dynamics and Control, Vol 28/7, pp 1437-1460. [A, 51 citations according to Google scholar]


    Dangl, Thomas, Engelbert J. Dockner, Andrea Gaunersdorfer, Alexander Pfister, Leopold Sögner,  Günter Strobl  (2001), Adaptive Erwartungsbildung und Finanzmarktdynamik , zfbf, 53, pp 339 - 365. [B]

    Wirl, Franz und Thomas Dangl (2000) Was Dixit und Pindyck bei der Analyse von Managementproblemen unter Unsicherheit verschweigen an Hand des Beispiels der optimalen Wartung und Ausmusterung einer Maschine, Zeitschrift für Betriebswirtschaft, 2/2000, pp. 211 - 229. [B]

    Dangl, Thomas (1999) Investment and capacity choice under uncertain demand, European Journal of Operational Research, 117/3, pp. 1-14. [A, 192 citations according to Google scholar]

    Dangl, Thomas und  Franz Wirl (1998) Unsicherheit verbunden mit Irreversibilität als alternativeErklärung zu "Marktversagen" bei Energiesparinvestitionen, OR-Spectrum, 20, pp. 259 - 267. [A]

    some Physics:

    Dangl, Thomas, Eva Leitner-Wild, Peter Hille und Robert Nowotny (1993) Detection of irradiated mushrooms and kiwi fruits by thermoluminescence measurement, Radiation Physics and Chemistry, 41/3, pp. 447- 452.

    Book Contributions:

    Dangl, Thomas, Otto Randl and Josef Zechner (2015): Risk Control in Asset Management: Motives and Concepts, in K. Glau, M. Scherer, R. Zagst (eds.), Innovations in Quantitative Risk Management, Springer, 239 - 266.

    Dangl, Thomas and Michael Kopel (2004): Risikomanagement im Kontext wertorientierter und strategischer Unternehmensführung, Handbuch der Energiewirtschaft, E. Nowothny, Ch. Parak, R. Scheucher (eds.), Kap. 4.2.

    Dangl, Thomas and Michael Kopel (2004): Instrumente eines wertorientierten Risikomanagements, Handbuch der Energiewirtschaft, E. Nowothny, Ch. Parak, R. Scheucher (eds.), Kap. 4.3.

    Dangl, Thomas und Michael Kopel (2003) Die Bedeutung vollständiger Märkte für die Anwendung des Realoptionsansatzes, in: U. Hommel, M. Scholich, P. Baecker, Reale Optionen, Springer u. PriceWaterhouseCoopers.

    Editorship:

    Dangl, Thomas, Michael Kopel und Wolfgang Kürsten, (2004) Recent Topics in Real Options Valuation, Special Issue of the Zeitschrift für Betriebswirtschaft.

    Awards:

    Outstanding Referee Award 2011, Journal of Economic Dynamics and Control

    Referee Responsibility:

    • Applied Artificial Intelligence
    • Decisions in EConomics and Finance
    • European Journal of Operational Research
    • Journal of Economic Dynamics and Control
    • Journal of Finance
    • Journal of Financial and Quantitative Analysis
    • Management Science
    • Optimal Control Applications and Methods
    • OR-Spectrum
    • program Committee of the European Finance Association (mult.)
    • Program Committee of the German Finance Association (2001)
    • Review of Finance
    • The Review of Financial Studies

    further Publications:

    Wirl, Franz und Thomas Dangl (1999) Sind hohe implizite Diskontraten ein Beleg für "Marktversagen"? Eine Rationalisierung am Beispiel der Wahl der Energieeffizienz mittels der Theorie der Realoptionen. VEÖ-Journal, 11/99, pp.48 - 53.

    Industry Projects:

    Spängler IQAM Research Center, a joint initiative with WU Wien and Spängler IQAM invest GmbH.