Teaching

• Classes of the current semester in TISS

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

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

• Teaching notes

  Statistics: Notes for the TU-course 330.104 Statistische Methoden der Ingenieurwissenschaften (in English)
  Optimization: Notes for the WU-course Optimization (part of the Master's Programme Quantitative Finance)
  Corporate Finance: Part of the lecture notes for the VGSF-PhD-course, ToolBox in Continuous-Time Finance

Fields of Interest

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

Working Papers

Hedging Effect of Low-Quality Capital Assets in Competitive Industries, opens an external URL in a new window, with Hamed Ghoddusi (Stevens Institute of Technology) 2019.

Publications in Refereed Journals:

[letters in square brackets refer to the vhb journal classification, vhb-jourqual-3, opens an external URL in a new window]

1. Dangl, Thomas and Josef Zechner Debt Maturity and the Dynamics of Leverage (2020) The Review of Financial Studies, forthcoming [A+, 71 citations according to Google scholar]. The paper will be published under the CC BY open access license.
2. Dangl, Thomas and Alex Weissensteiner (2020) Optimal portfolios under time-varying investment opportunities, parameter uncertainty and ambiguity aversion, Journal of Financial and Quantitative Analysis, 55(4), 1163-1198. [A] (SSRN)
3. Dangl, Thomas and Youchang Wu (2016) Corporate Investment over the Business Cycle, Review of Finance 20 (1), 337-371. [A, 14 citations according to Google scholar]
4. Dangl, Thomas and Michael Halling (2012) Predictive Regressions with Time-Varying Coefficients, Journal of Financial Economics, 106 (1), 157 - 181. [A+, 437 citations according to Google scholar, including early versions]
5. 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.
6. 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+, 122 citations according to Google scholar, including early versions]
7. 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]
8. Dangl, Thomas and Josef Zechner (2004) Credit Risk and Dynamic Capital Structure Choice, Journal of Financial Intermediation, 13/2, pp 183-204. [A, 117 citations according to Google scholar]
9. 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, 124 citations according to Google scholar, including early versions]
10. 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, 55 citations according to Google scholar]
11. Dangl, Thomas, Engelbert J. Dockner, Andrea Gaunersdorfer, Alexander Pfister, Leopold Sögner,  Günter Strobl  (2001), Adaptive Erwartungsbildung und Finanzmarktdynamik , zfbf, 53, pp 339 - 365. [B]
12. 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]
13. Dangl, Thomas (1999) Investment and capacity choice under uncertain demand, European Journal of Operational Research, 117/3, pp. 1-14. [A, 242 citations according to Google scholar]
14. 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:

1. 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, opens an external URL in a new window, 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.

Permanent Working Papers:

Minimum-Variance Stock Picking -- A Shift in Preferences for Minimum-Variance Portfolio Constituents, opens an external URL in a new window, 2013.

Industry Projects:

IQAM Research Center, opens an external URL in a new window, a joint initiative with WU Wien and IQAM invest GmbH.