Alois Geyer

General Information:
Chair: Institute for Financial Research, WU (Vienna University of Economics and Business), since 2008
Professor at the Institute for Operations Research at WU, since 1986
Doctoral Degree in Business Administration from WU, 1984
Master's Degree (Mag.) in Business Administration from WU, 1982

Major Fields:
Multi-Period Asset Allocation
Stochastic Programming
Term Structure Estimation

Selected Publications:
Geyer, A., Hanke M. and Weissensteiner A.: Life-cycle Asset Allocation and Consumption Using Stochastic Linear Programming, Journal of Computational Finance, 12 (4), 29-50, 2009.
Geyer, A., Hanke M. and Weissensteiner A.: A Stochastic Programming Approach for Multi-Period Portfolio Optimization, Computational Management Science, 6 (2), 187-208, 2009. 
Geyer, A., Ziemba W.T.Z.: "The Innovest Austrian Pension Fund Financial Planning Model InnoALM", Operations Research, 56, 797-810, 2008.
Geyer, A., Kossmeier, S. and Pichler, S.: "Measuring Systematic Risk in EMU Government Yield Spreads", Review of Finance, 8, 171-197, 2004.
Geyer, A., Leisch, F. and Trapletti, A.: "Forecasting Exchange Rates using Cointegration Models and Intra-day Data", Journal of Forecasting, 21, 151-166, 2002.
Geyer, A.: "Implications of dependence in stock returns for asset allocation", Applied Financial Economics, 10, 623-633, 2000.
Geyer, A. and Pichler S.: "A state-space approach to estimate and test multifactor Cox-Ingersoll-Ross models of the term structure", Journal of Financial Research, 22, 107-130, 1999.

More Information:
Homepage

Contact Details:
Email: alois(.)geyer(@)wu(.)ac(.)at