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No-arbitrage conditions, scenario trees, and multi-asset financial optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 206 (2010) 3, pp. 609-613

Persistent link: https://www.econbiz.de/10003982022

Life-cycle asset allocation and consumption using stochastic linear programming

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: The journal of computational finance 12 (2009) 4, pp. 29-50

Persistent link: https://www.econbiz.de/10009534612

A stochastic programming approach for multi-period portfolio optimization

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Computational Management Science : CMS 6 (2009) 2, pp. 187-208

Persistent link: https://www.econbiz.de/10003828694

No-Arbitrage Bounds for Scenarios and Financial Optimization

Geyer, Alois - 2018

We derive no-arbitrage bounds for expected excess returns to generate scenarios used in financial optimization. The bounds allow to distinguish three regions: one where arbitrage opportunities will never exist, a second where arbitrage may be present, and a third, where arbitrage opportunities...

Persistent link: https://www.econbiz.de/10012940388

Scenario tree generation and multi-asset financial optimization problems

Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Operations research letters 41 (2013) 5, pp. 494-498

Persistent link: https://www.econbiz.de/10010189850

Political event portfolios

Hanke, Michael; Stöckl, Sebastian; Weissensteiner, Alex - In: Journal of banking & finance 118 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012521018

Recovering election winner probabilities from stock prices

Hanke, Michael; Stöckl, Sebastian; Weissensteiner, Alex - In: Finance research letters 45 (2022), pp. 1-5

Persistent link: https://www.econbiz.de/10014575493

Using the Black-Derman-Toy interest rate model for portfolio optimization

Weissensteiner, Alex - In: European journal of operational research : EJOR 202 (2010) 1, pp. 175-181

Persistent link: https://www.econbiz.de/10003960067

Ein neuer Ansatz für die Beschreibung der Varianz von Renditen

Geyer, Alois - In: Bank-Archiv : Zeitschrift für das gesamte Bank- und … 42 (1994) 3, pp. 202-206

Persistent link: https://www.econbiz.de/10001158105

The Black-Litterman approach and views from predictive regressions : theory and implementation

Geyer, Alois; Lučivjanská, Katarína - In: The journal of portfolio management : a publication of … 42 (2016) 4, pp. 38-48

Persistent link: https://www.econbiz.de/10011686085