Alois Geyer

Contact Details:

Email: alois.geyer@wu.ac.at
Personal Homepage

Chair: Institute for Financial Research, WU (Vienna University of Economics and Business)

Research Interests:
Multi-Period Asset Allocation, Stochastic Programming, Financial Time Series Analysis, Term Structure Modeling

Selected Publications:

Inflation Forecasts Extracted from Nominal and Real Yield Curves (with M.Hanke and A.Weissensteiner), Quarterly Review of Economics and Finance, Volume 60, May 2016, 180–188 (pdf)

The Black-Litterman Approach and Views from Predictive Regressions: Theory and Implementation (with Katarina Lucivjanska), Journal of Portfolio Management, Summer 2016, Vol. 42, No. 4, 38-48, (pdf)

No-Arbitrage ROM Simulation (with M.Hanke and A.Weissensteiner), Journal of Economic Dynamics and Control,  45, 66–79, 2014, (pdf)

No-Arbitrage Bounds for Financial Scenarios (with M.Hanke and A.Weissensteiner), European Journal of Operational Research, 236 (2), 657-663, 2014, (pdf)

Scenario Tree Generation and Multi-Asset Financial Optimization Problems (with M.Hanke and A.Weissensteiner), Operations Research Letters, 41 (5), 494-498, 2013, (pdf)

No-Arbitrage Conditions, Scenario Trees, and Multi-Asset Financial Optimization (with M.Hanke and A.Weissensteiner), European Journal of Operational Research, 206 (3), 609-613, 2010, (pdf).

Life-cycle Asset Allocation and Consumption Using Stochastic Linear Programming (with M.Hanke and A.Weissensteiner), Journal of Computational Finance, 12 (4), 29-50, 2009

A Stochastic Programming Approach for Multi-Period Portfolio Optimization (with M.Hanke and A.Weissensteiner), Computational Management Science, 6 (2), 187-208, 2009, (available at Online First)