Personne

Thomas Alois Weber

Crypto market betas: the limits of predictability and hedging

This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary lea ...

Springer Science and Business Media LLC2025

Relatively Robust Economic Order Quantity with Optimal Laplacian Confidence Intervals

Thomas Alois Weber

The parameters for determining the economic order quantity (EOQ) are often not well known or may change between order cycles in an unpredictable manner. We propose a distribution-free method to determine a relatively robust EOQ that guarantees optimal cost ...

IEEE2025

Relatively Robust Multicriteria Decisions

Thomas Alois Weber

For a general multicriteria decision problem with linear scalarization and unknown weights, we propose relatively robust decisions, which are Pareto-efficient and at the same time maximize a performance index. The latter measures the worst-case ratio, atta ...

2025

Monopoly Pricing with Unknown Demand

Thomas Alois Weber

The optimal pricing of goods, especially when they are new and the innovating firm is a monopolist, must proceed without precise knowledge of the demand curve. This paper provides a pricing method with a relative robustness guarantee by maximizing a perfor ...

2025

Optimal Work-Rest Cycles

Thomas Alois Weber

Assuming an instantaneous benefit proportional to a system's state we determine the optimal work-rest policy so as to maximize the average cycle benefit, provided the state declines exponentially when the system is active and increases exponentially when i ...

Springer2025

Minimum-Cost Ordering for Selective Assembly

Thomas Alois Weber

We consider the minimization of input cost for a selective assembly system that features two random inputs and a finite number of matching classes. This setup frequently arises in high-precision manufacturing when input tolerances are not tight enough for ...

Informa UK Limited2025

Optimal Depth of Discharge for Electric Batteries with Robust Capacity-Shrinkage Estimator

Thomas Alois Weber

A user’s benefit from the energy stored in a battery over its lifetime depends on the time-varying characteristics of the battery, which are in turn affected by the chosen usage behavior. Both the capacity shrinkage and the number of lifetime cycles are st ...

2024

Estimation of Self-Exciting Point Processes from Time-Censored Data

Thomas Alois Weber, Philipp Schneider

Self-exciting point processes, widely used to model arrival phenomena in nature and society, are often difficult to identify. The estimation becomes even more challenging when arrivals are recorded only as bin counts on a finite partition of the observatio ...

2023

Does Sharing Lead to Smarter Products? Managing Information Flows for Collective Servitization

Thomas Alois Weber

Peer-to-peer sharing induces persistent changes in product design. Besides bifurcating product durability, this adaptation increases the compatibility of collaborative use with rent extraction—from a producer’s viewpoint. For owners it decreases the commit ...

Springer2023

Price Discrimination with Robust Beliefs

Thomas Alois Weber, Jun Han

This paper considers the problem of second-degree price discrimination when the type distribution is unknown or imperfectly specified by means of an ambiguity set. As robustness measure we use a performance index, equivalent to relative regret, which quant ...

2023