Alois Geyer

VGSF / WU

Professor

Welthandelsplatz 1

Institute for Financial Research

Vienna, 1020

Austria

http://www.wu.ac.at/~geyer

SCHOLARLY PAPERS

10

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2,670

SSRN CITATIONS
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SSRN RANKINGS

Top 19,846

in Total Papers Citations

33

CROSSREF CITATIONS

7

Scholarly Papers (10)

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1.

Life-Cycle Asset Allocation and Consumption Using Stochastic Linear Programming

Journal of Computational Finance, Vol. 12, No. 4, pp. 29-50, 2009
Number of pages: 27 Posted: 21 Dec 2006 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 554 (49,819)
Citation 3

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life-cycle asset allocation, stochastic linear programming, scenario trees

2.

Measuring Systematic Risk in Emu Government Yield Spreads

Review of Finance, Vol. 8, No. 2, pp. 171-197, 2004
Number of pages: 41 Posted: 12 May 2003 Last Revised: 15 Sep 2011
Alois Geyer, Stephan Kossmeier and Stefan Pichler
VGSF / WU, Vienna University of Technology - Department of Financing of Industry and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 498 (57,047)
Citation 32

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Credit Spread, EMU, Affine Term Structure Model, Intensity Model, Multi-Issuer Model, Kalman Filter

3.

Empirical Analysis of European Government Yield Spreads

Number of pages: 24 Posted: 26 Apr 2001
Alois Geyer, Stephan Kossmeier and Stefan Pichler
VGSF / WU, Vienna University of Technology - Department of Financing of Industry and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics
Downloads 483 (59,304)
Citation 5

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European Government Bonds, Government Yiels Spreads, Bond Pricing, Default Risk, State-Space Approach, Kalman

4.

Asymmetric Information in Automobile Insurance: Evidence from Driving Behavior

Downloads 152 ( 77,418)
Citation 3

Asymmetric Information in Automobile Insurance: Evidence from Driving Behavior

CFS Working Paper, No. 543
Number of pages: 38 Posted: 12 Oct 2016 Last Revised: 05 Dec 2018
Alois Geyer, Daniela Kremslehner and Alexander Muermann
VGSF / WU, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics and WU (Vienna University of Economics and Business)
Downloads 152 (197,977)

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private information, automobile insurance, driving behavior, telematic data, pay-as-you-drive insurance, endogeneity, sample selection

5.

Scenario Trees, Arbitrage, and Multi-Asset ALM Models

European Journal of Operational Research, Vol. 206, No. 3, pp. 609-613, 2010
Number of pages: 17 Posted: 16 Apr 2009 Last Revised: 15 Sep 2011
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 268 (116,317)

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Finance, Uncertainty modelling, Scenario trees, Sparse trees, Asset-liability management

6.

Scenario Tree Generation and Multi-Asset Financial Optimization Problems

Operations Research Letters, 2013, 41, 494-498
Number of pages: 15 Posted: 03 Jun 2011 Last Revised: 01 Jul 2017
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 226 (138,243)
Citation 1

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Scenario trees, No arbitrage, Financial optimization, Scenario reduction

7.

Inflation Forecasts Extracted from Nominal and Real Yield Curves

The Quarterly Review of Economics and Finance, 2016, 60, 180-188
Number of pages: 22 Posted: 19 Dec 2010 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 210 (148,225)

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break-even inflation, Cochrane-Piazzesi factor, Nelson-Siegel model, parameter uncertainty

8.

No-Arbitrage Bounds for Scenarios and Financial Optimization

European Journal of Operational Research, Vol. 236, No. 2, 2014, 657-663
Number of pages: 18 Posted: 15 Sep 2011 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 145 (205,471)
Citation 1

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no-arbitrage bounds, scenario generation, financial optimization

9.

No-Arbitrage ROM Simulation

Journal of Economic Dynamics and Control, 2014, 45, 66-79
Number of pages: 29 Posted: 15 Apr 2012 Last Revised: 30 Jan 2018
Alois Geyer, Michael Hanke and Alex Weissensteiner
VGSF / WU, University of Liechtenstein and Free University of Bolzano Bozen
Downloads 134 (218,959)

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scenario trees, financial optimization, no-arbitrage

10.

A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure

Journal of Financial Research
Posted: 11 Nov 1998
Alois Geyer and Stefan Pichler
VGSF / WU and WU - Vienna University of Economics and Business - Department of Finance, Accounting and Statistics

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