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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
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Correlated errors : why a monotone relationship between forecast precision and trading profitability may not hold
Lawrenz, Jochen; Weissensteiner, Alex - In: Journal of business finance & accounting : JBFA 39 (2012) 5/6, pp. 675-699
Persistent link: https://www.econbiz.de/10009575825
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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
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Asset-liability management under time-varying investment opportunities
Ferstl, Robert; Weissensteiner, Alex - In: Journal of banking & finance 35 (2011) 1, pp. 182-192
Persistent link: https://www.econbiz.de/10009244427
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Optimal annuity portfolio under inflation risk
Konicz, Agnieszka Karolina; Pisinger, David; … - In: Computational Management Science : CMS 12 (2015) 3, pp. 461-488
Persistent link: https://www.econbiz.de/10011285966
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No-arbitrage bounds for financial scenarios
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: European journal of operational research : EJOR 236 (2014) 2, pp. 657-663
Persistent link: https://www.econbiz.de/10010366120
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Where would the EUR/CHF exchange rate be without the SNB's minimum exchange rate policy?
Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex - In: The journal of futures markets 35 (2015) 12, pp. 1103-1116
Persistent link: https://www.econbiz.de/10011546229
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No-Arbitrage ROM simulation
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Journal of economic dynamics & control 45 (2014), pp. 66-79
Persistent link: https://www.econbiz.de/10010474462
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Optimale Asset Allocation im Zeitablauf : ein Überblick über Modelle und Lösungsverfahren
Geyer, Alois; Hanke, Michael; Weissensteiner, Alex - In: Asset Management : Festschrift für Prof. Dr. rer. nat. …, (pp. 125-132). 2012
Persistent link: https://www.econbiz.de/10009613913
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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