Reminder + Reminder + Reminder + Reminder + Reminder + Reminder
++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++
Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien
(http://www.gutmann-center.at)
lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein:
Datum: Donnerstag, 3. April 2003, 16.30 Uhr
Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Prof. Dr. Martin WEBER, Universität Mannheim
(http://medici.bwl.uni-mannheim.de/LS/)
Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS"
Abstract:
"Overconfidence ist die in der verhaltenswissenschaftlichen
Finanzmarktforschung am häufigsten untersuchte Verzerrung im
Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl
psychologischer Studien, die unter dem Begriff Overconfidence subsumiert
werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und
sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich
diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig
der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren
oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche
die eigene Zukunft betreffen, häufig einen zu großen Optimismus.
Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird
Overconfidence dadurch modelliert, dass Menschen die Volatilität von
Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind.
Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit
rationalen Investoren nicht erklärt werden kann.
Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie
befasst sich mit Privatanlegern, die andere mit institutionellen
Investoren."
Weitere Informationen unter: http://www.gutmann-center.at - Activities -
Public
Lectures
Um Anmeldung wird gebeten:
Frau Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249
CCEFM (http://www.ccefm.at)
and
Gutmann Center for Portfolio Management at the University of Vienna
(http://www.gutmann-center.at)
are pleased to announce the next
CCEFM-Research-Workshop
Speaker: Prof. Dr. Martin WEBER, University of Mannheim
(http://medici.bwl.uni-mannheim.de/LS/)
Title:
"On the Trend Recognition Ability of Professional Traders - Are they
better or just more overconfident than lay people?"
Date: Friday, 4th of April, 2003
Time: 3.30 - 5.00 p.m.
Location: Wiener Börse, Säulenhalle, Wallnerstr. 8, 1010 Wien
Paper can be downloaded from: http://www.ccefm.at - ccefm-workshops or
http://www.gutmann-center.at - activities - research seminars
Contact:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
Department of Business Studies
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
---------- Forwarded message ----------
Date sent: Fri, 21 Mar 2003 11:30:23 +0100 (CET)
From: Marzia De Donno <mdedonno(a)dm.unipi.it>
Subject: cattedra galileiana 2003
Scuola Normale Superiore
Associazione Amici
della
Scuola Normale Superiore
Cattedra Galileiana 2003
Halil Mete Soner
Koc University
Istanbul, Turkey
A course on:
Stochastic Optimal Control Methods In Finance
April 7th - May 6th, 2003
Abstract: Stochastic optimal control methods have been extensively
used in financial economics since the pioneering work of Merton on
optimal consumption and investment. Stochastic optimal control is a
powerful tool as it provides dynamic investment and consumption
strategies in a systematic manner. In the Merton framework, financial
market is a complete one and the resulting optimal control problem fit
into the classical framework. However, in the case of market
incompleteness or friction, we encounter interesting control problems.
The model with transaction costs is an important example. This model
was first introduced by Constantinides and later studied by Davis &
Norman, is a singular stochastic model. It is related to the monotone
follower problems studied in the control literature by Karatzas &
Shreve and Shreve & Soner.
In the presence of market friction or incompleteness, optimal control
also provides alternate approaches for pricing derivative securities.
One of these is the idea of super-replication and the other is to
introduce preferences through a utility function. Both of these
approaches coincide with the classical no-arbitrage price in complete
markets.
In these lectures, we outline the recent developments in finance and
stochastic optimal control that are related. Problems with "singular"
models and the super-replication problem will be emphasized.
Mathematically, we will use the theory of viscosity solutions to
analyze the resulting nonlinear partial differential equations.
Also, we will outline a connection between geometric flows and
super-replication problems.
Lectures will be given at the "Sala degli Stemmi" Scuola Normale
Superiore di Pisa, according to the following schedule.
Monday, April 7th - 15:00-17:30
Lecture 1. Optimal control and viscosity solution. This is a general
introduction to stochastic optimal control, dynamic programming,
dynamic programming equation and viscosity solutions.
Tuesday, April 8th -10:00-12:30
Lecture 2. Singular stochastic control. These are optimal control
problems in which the state process can move discontinuously in time.
We will provide a general framework and discuss models with
transaction costs.
Monday, April 14th -15:00-17:30
Lecture 3. Super-replication. General target problems will be
introduced and the super-replication will be discussed.
Tuesday, April 15th -10:00-12:30
Lecture 4. Pricing with Portfolio Constraints. Super-replication with
portfolio constraints will be studied first by convex duality of
Cvitanic & Karatzas and Karatzas & Kuo. Then, we will use the target
control problem techniques of Soner & Touzi.
Monday, April 28th -15:00-17:30
Tuesday, April 29th - 10:00-12:30
Lectures 5 and 6. Gamma Constraints. We discuss the problem of pricing
under a constraint on the variations of the portfolio. Several
probabilistic results on double stochastic integrals and PDE results
on non-parabolic equations will be given.
Monday, May 5th - 15:00-17:30
Tuesday, May 6th - 10:00-12:30
Lectures 7 and 8. Geometric flows, super-replication, and finance. A
general study of super-replication, or more generally the target
control problem, yields geometric equations. Particular choices of the
target problems provide a stochastic representation for mean curvature
flow and other important parabolic geometric flows.
Registration
The participation to the course is open but registration is needed.
Thus, the registration form below should be completed and sent by fax,
mail or e-mail to:
Associazione Amici della
Scuola Normale Superiore
Piazza dei Cavalieri 7 - 56126 PISA
Tel. (+39) 050 509 654; fax: (+39) 050 509 534
Pag. web:
http://www.sns.it/Home/Associazione_Amici_della_Normale/cgal.html
E_mail: amicisns(a)sns.it
Registration Form
Name:
Surname:
Professional status:
Affilation:
Address, Tel./Fax: _______________________
__________________________________________
E-mail: __________________________________
dott.ssa Gisella Chinè
Associazione Amici della Scuola Normale Superiore
Piazza dei Cavalieri 7 - 56126 Pisa
Tel. +39 050 509.654 - fax +39 050 509.534
http://www.sns.it/~Amici_della_Normale
------- End of forwarded message -------
Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien
(www.gutmann-center.at)
lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein:
Datum: Donnerstag, 3. April 2003, 16.30 Uhr
Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(www.gutmann.at)
Speaker: Prof. Dr. Martin WEBER, Universität Mannheim
(http://medici.bwl.uni-mannheim.de/LS/)
Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS"
Abstract:
"Overconfidence ist die in der verhaltenswissenschaftlichen
Finanzmarktforschung am häufigsten untersuchte Verzerrung im
Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl
psychologischer Studien, die unter dem Begriff Overconfidence subsumiert
werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und
sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich
diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig
der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren
oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche
die eigene Zukunft betreffen, häufig einen zu großen Optimismus.
Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird
Overconfidence dadurch modelliert, dass Menschen die Volatilität von
Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind.
Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit
rationalen Investoren nicht erklärt werden kann.
Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie
befasst sich mit Privatanlegern, die andere mit institutionellen
Investoren."
Weitere Informationen unter: www.gutmann-center.at - Activities - Public
Lectures
Um Anmeldung wird gebeten bis zum 31. März 2003 an:
Frau Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249
---------- Forwarded message ----------
Date: Fri, 21 Mar 2003 12:43:30 +0100
From: dgf(a)cofar.uni-mainz.de
Subject: DGF-Jahrestagung 2003 - Final Call for papers
ANKÜNDIGUNG UND FINAL CALL FOR PAPERS
DGF Deutsche Gesellschaft für Finanzwirtschaft / German Finance Association
10. Jahrestagung vom 10. -11. Oktober 2003 in Mainz
www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003>
Sehr geehrte Damen und Herren,
im Namen des Vorstandes der DGF Deutsche Gesellschaft für Finanzwirtschaft
(DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am 10.-11.
Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein. Während
der Tagung werden Arbeitspapiere zu aktuellen Themen und Bereichen der
Finanzmarktforschung präsentiert und diskutiert. Ihre Arbeitspapiere
können Sie elektronisch via Webformular auf unserer Homepage
www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003>
bis zum 1. April 2003 einreichen.
Als Anlage füge ich diesem Schreiben ein Call for Papers bei. Ich möchte
darauf hinweisen, daß für persönliche Mitglieder und die Mitarbeiter der
korporativen Mitglieder die Teilnahme an der Jahrestagung kostenlos ist,
falls sie sich vor dem 15.09.2003 anmelden. Weitere Informationen zur
Tagung sowie zur Einreichung von Arbeitspapieren sind auf unserer
Homepage unter www.cofar.uni-mainz.de/dgf2003
<http://www.cofar.uni-mainz.de/dgf2003> zu finden.
Es würde mich sehr freuen, Sie auf der 10. Jahrestagung der DGF in Mainz
begrüßen zu dürfen.
Mif freundlichen Grüßen
Prof. Dr. Siegfried Trautmann
Anlage:
CALL FOR PAPERS
DGF Deutsche Gesellschaft fuer Finanzwirtschaft / German Finance Association
2003 ANNUAL MEETING
October 10-11, 2003
Mainz, Germany
The German Finance Association will hold its 10th Annual Meeting at the
Johannes Gutenberg University in Mainz (Germany), October 10-11, 2003.
RESEARCH PAPERS:
Members and friends of the German Finance Association are invited to
participate in the 10th Annual Meeting. You are encouraged to submit
papers in all areas of Finance.
ELECTRONIC SUBMISSION:
Please submit your paper electronically via the program website, which
may be accessed via the paper submission website. All papers must be
submitted in English as pdf files and accompanied by an abstract of up
to 450 words (for the conference program), which must be included also
as a word file.
The cover page of the paper should contain the title, name and
affiliation of the authors, complete address and email addresses. The
first page of text should contain the title, the abstract and JEL
classification codes, but not the authors names. Papers will be
double-blind refereed.
DEADLINE:
The deadline for papers is April 1, 2003. Your submission will be
acknowledged within 72 hours.
Authors will be notified by July, 2003.
CONTACT:
Further information about the conference and the submission of papers
will be published via www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003>.
Postal: CoFaR Center of Finance and Risk
Management
Johannes Gutenberg University
55099 Mainz, Germany
Tel: +49(6131) 39-23760
Fax: +49(6131) 39-23766
Email: dgf(a)cofar.uni-mainz.de
Prof. Dr. Siegfried Trautmann
Program Chair of the 10th Annual Meeting
of the German Finance Association
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna
(www.gutmann-center.at)
and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM)
(www.ccefm.at)
are very pleased to announce that
Dr. Alexander STOMPER from the University of Vienna will present his paper
"IPO Pricing with Bookbuilding and a When-Issued Market"
on FRIDAY, 21st of March 2003, 2.30 p.m., Wiener Börse, Wallnerstr. 8
The paper is downloadable from the following site:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
We are VERY GRATEFUL that Dr. Stomper has agreed to stand in for Prof.
Rajesh Aggarwal who has cancelled last night his visit to Vienna!!!
Contact and further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
Department of Business Studies
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
URGENT * URGENT * URGENT * URGENT * URGENT * URGENT
The Gutmann Center for Portfolio Management at the University of Vienna
regrets to have to inform about the !!!!!CANCELLATION!!!! of the Public
Lecture
of Prof. Dr. Rajesh AGGARWAL, scheduled for next THURSDAY, 20th of MARCH,
4.30 p.m., location Bank Gutmann.
We agpologize this cancelation at such short notice!!! Prof. Aggarwal has
informed us just a few hours ago.
Our next public lecture will be announced within the next few days.
Contact:
Gutmann Center for Portfolio Management
Dorothea Grimm
Administrative Director
University of Vienna
Brünner Str. 72
A-1210 Vienna
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
www.gutmann-center.at
*REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER
* REMINDER
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna
(www.gutmann-center.at)
and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM)
(www.ccefm.at)
are pleased to announce the following CCEFM-WORKSHOP:
Prof. Dr. Rajesh AGGARWAL
(Tuck School of Business, Dartmouth College -
http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/)
"STOCK MARKET MANIPULATION: THEORY AND EVIDENCE"
Date: Friday, 21st of March 2003, 2:30-4:00 pm
Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from the following site:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
Contact:
Dorothea Grimm
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Tel.: +43-1-4277-38186
Fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
homepage: wwwg.gutmann-center.at
* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER *
REMINDER * REMINDER * REMINDER
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna
is pleased to announce
the following PUBLIC LECTURE
"Stock Price Performance and Managerial Incentives"
by Prof. Dr. Rajesh K. AGGARWAL
(Tuck School of Business, Dartmouth College -
http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/)
Abstract:
Recent notable bankruptcies such as Global Crossing, Qwest, and Worldcom
have led many observers to question whether there is a link between equity
returns and incentive compensation for firm managers specifically and
corporate governance more generally. Research has shown that there is such a
link but that it is not a simple one. In general, greater incentives from
compensation and better corporate governance are associated with higher
stock returns. However, the form of incentive compensation matters. Very
large stock option grants (such as those realized by the management teams of
Global Crossing, Qwest, and Worldcom) are associated with lower stock
returns, as well as worse corporate governance. Overall, the evidence
suggests that incentive compensation and corporate governance provide useful
information for portfolio selection.
Date: Thursday, March 20th, 4.30 p.m.
Location: Bank Gutmann AG (www.gutmann.at), Schwarzenbergplatz 16, 1010
Wien - Mezzanin
Please register - contact: Ms. Brigitte Juchelka -
brigitte.juchelka(a)gutmann.at - phone: +43-1-50220-357
Further information:
www.gutmann-center.at
and:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
Department of Business Studies
University of Vienna
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Mail: dorothea.grimm(a)univie.ac.at
CCEFM Workshop co-sponsored by the Gutmann Center for Portfolio Management
Rajesh Aggarwal (Dartmouth College)
"Stock Market Manipulation: Theory and Evidence"
Friday, 21st of March 2003, 2:30-4:00 pm
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from the following site:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html