Alois Geyer
Chair: Institute for Financial Research, WU (Vienna University of Economics and
Research Interests:
Multi-Period Asset Allocation, Stochastic Programming, Term Structure Estimation
Selected Publications:
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2011 |
Grundlagen der Finanzierung: verstehen – berechnen – entscheiden 4. Auflage (mit M.Hanke, E.Littich und M.Nettekoven), Linde International, 2011. |
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2010 |
Scenario Trees, Arbitrage, and Multi-Asset ALM Models (with M.Hanke and A.Weissensteiner), European Journal of Operational Research, 206 (3), 609-613, (pdf).
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2009 |
Life-cycle Asset Allocation and Consumption Using Stochastic Linear Programming, (with M.Hanke and A.Weissensteiner), Journal of Computational Finance, 12 (4), 29-50. |
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2008 |
The Innovest Austrian Pension Fund Financial Planning Model InnoALM (with W.T. Ziemba), Operations Research, 56, 797-810 |
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2004 |
Measuring Systematic Risk in EMU Government Yield Spreads (with S. Kossmeier and S. Pichler), Review of Finance, 8, 171-197, (pdf). |
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2002 |
Forecasting Exchange Rates using Cointegration Models and Intra-day Data (with F. Leisch and A. Trapletti), Journal of Forecasting, 21, 151-166, (Diese Arbeit wurde mit dem Best Paper Award der WU 2003 ausgezeichnet) |
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2000 |
Implications of dependence in stock returns for asset allocation, Applied Financial Economics, 10, 623-633 |
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1999 |
A state-space approach to estimate and test multifactor Cox-Ingersoll-Ross models of the term structure (with S. Pichler), Journal of Financial Research, 22, 107-130 |
More Information:
Homepage
Contact Details:
Email: alois(.)geyer(@)wu(.)ac(.)at