CCEFM/IHS Workshop
Rick Green, Carnegie Mellon University
Financial Intermediation and the Costs of Trading in an Opaque Market
The paper will by downloadable from
http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm within the next few
days.
(!) Wednesday (!), Nov 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
The next workshop is by
Ernst Maug, Humboldt University
Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual
General Meetings
Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010
Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
We would like to invite you to the following presentation at the Institut
für Kreditwirtschaft, WU Wien:
Financial Engineering and Quantitative Research: Experiences at JPMorgan
Wednesday, November 10, 2004 at 18:00 h
Hörsaal D205 (UZA4)
Abstract:
The aim of this talk is to give an insight into everyday life of JPMorgan's
derivatives business across asset classes. On the one hand, we will point
out areas of responsibilities of structurers, traders and quants as well as
the interplay between these three teams. On the other hand, we will give a
number of examples showing typical challenges (in terms of product
development, model requirements and implementation issues) and how we solved
them. In this regard, we will discuss equity specific and credit specific
products, as well as some ideas concerning the interplay of equity and
credit. Finally, we conclude by describing typical job profiles for a
marketer, trader or quant and how to prepare successfully for interviews.
Speaker & Discussant:
Dr Eva Strasser, Associate with JPMorgan London, working in Equity
Derivatives Research and specializing on the development of equity-specific
models and products as well as on equity-credit related topics
Johannes Sommer, Associate with JPMorgan London, working in Investment
Banking Advisory, specializing on M&A, equity and debt transactions for
listed real estate companies
--
|dr christopher summer ||wu wien, institut fuer kreditwirtschaft
|tel +43 1 31336 5006 ||www.wu-wien.ac.at/usr/kredit/csummer
|fax +43 1 3100580 ||christopher.summer(a)wu-wien.ac.at
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to invite to the following
PUBLIC LECTURE:
- Apologies for any cross-postings!! -
Date: November 9th 2004, 4.30 p.m. -
Speaker: Ernesto Rossi di Montelera, Observatoire de la
Finance http://www.obsfin.ch/
Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR
UNCONCERNED?"
Abstract:
Why should we talk about ethics in the context of financial
activities, a field that would appear to be highly and
exclusively technical ? Anyway, we must face the fact that the
topic of ethics is more and more widely addressed (but also
feared) in the economic and financial communities. It looks as
if ethics were simultaneously perceived as an obstacle to the
competition for profit but also as a profitable sales
proposition ! Do we have in fact a clear idea of what ethics are
and what is the meaning of the word ? It certainly has something
to do with the idea of trust and of shared rules (and values) as
a necessary condition for a smooth establishment and functioning
of financial relations. So the question arises : are ethics a
cost that should be born in the superior interest of the civil
society, or a condition for better performances ? Should one
expect from "ethical funds" a better return or a better
conscience ? The obvious need for trust leads to the question of
Common Good, a notion of respectable antiquity, but very
difficult to define and to implement. Basical questions should
than be raised : how do we take into consideration the
complexity of any reality ? How can we define its various levels
and bring them to bear in our decisions ? What help can we find
in certain traditional doctrines, as for instance the doctrine
of virtues (of which maybe the virtue of liberalitas is a good
example in our case) ? Are we not sometime (or too often) the
victims of utopian illusions, as in the case of the quest for a
risk-free (zero risk !) society ? What could we say of such
trends as "responsible investment" or "microfinance" ? The
primary problem of ethics is not the definition of the correct
behaviours or the drafting of codes of deontology, but the
search for the ends and means to be discovered in the reality of
things, in the nature of man and in the meaning of his actions :
before the questions about how things should be comes the
question of what things are and to what ends we should direct
them. In our case the primary question could be, for instance :
what is money ?
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna, Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information about the Gutmann Center:
Mag. Dorothea Grimm
Gutmann Center for Portfolio Management
University of Vienna
phone: +43-1-4277-38186
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
***** LAST CALL FOR PAPERS *****
Der 19. Workshop der Austrian Working Group on Banking and Finance
findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien
statt.
Angesprochen sind sowohl Forscher/inn/en an allen österreichischen
Universitäten und verwandten Institutionen als auch Praktiker/innen, die
wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem
kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge
wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert
gelegt.
Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended
Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner
(stefan.bogner(a)wu-wien.ac.at)
oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden.
Mit freundlichen Grüßen Stefan Pichler
*******************************************
Univ.-Prof. Mag. Dr. Stefan Pichler
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4691
Fax: ++43 1 3100580
E-mail: <mailto:stefan.pichler@wu-wien.ac.at>
stefan.pichler(a)wu-wien.ac.at
Web: <http://www.wu-wien.ac.at/wwwu/institute/ikw/>
http://www.wu-wien.ac.at/wwwu/institute/ikw/
*******************************************
BSI Gamma, ISK Wien and Universität Wien invite to a
CONFERENCE and PANEL DISCUSSION on
CORPORATE GOVERNANCE
November 11, 2004
Palais Coburg
-----------------------------------------------------
Programme:
13.15 Welcome
Prof. Josef Zechner, Prof. Rene Stulz
13.30 - 15.00 Session 1
Predicting Firms' Corporate Governance Choices: Evidence from Korea
Bernard Black, Hasung Jang, Woochan Kim
Discussant: Rene Stulz
Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board
Eli Talmor, Reddi Kotha
Discussant: Thomas Dangl
15.30 - 17.00 Session 2
The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers
Arturo Bris, Christos Cabolis
Discussant: Klaus Gugler
Corporate Governance and Earnings Management: International Evidence
Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy
Discussant: Alex Stomper
17.30 - 19.15 Session 3
The Corporate Governance Role of the Media: Clinical Evidence from Russia
Luigi Zingales, Alexander Dyck
Discussant: Ernst Maug
PANEL DISCUSSION: Can corporate insiders be tamed?
Alexander Dyck, Harvard Business School
Michael Eberhartinger, Austrian Corporate Governance Committee
Ernst Maug, University of Berlin
Stefan Zapotocky, CEO Vienna Stock Exchange
19.15 Cocktails
-----------------------------------------------------
Please reply by October 29, 2004 to gamma.foundation(a)bsi.ch or isk(a)iskwien.at
-----------------------------------------------------
Further information:
Dr. Otto Randl
Institut für strategische Kapitalmarktforschung
Coburgbastei 4/1
1010 Wien
T: +43-1-51818-900
T: +43-1-51818-920
E: otto.randl(a)iskwien.at
CCEFM Workshop
Yihong Xia, University of Pennsylvania, Wharton School
(Gutmann Center Research Fellow)
"Persistence, Predictability, and Portfolio Planning"
Friday, October 22nd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Rick Green, Carnegie Mellon University
(sponsored by Gutmann Center for Portfolio Management)
TBA
Wednesday (!), Nov 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
"How inefficient are simple asset-allocation strategies?"
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Yihong Xia, University of Pennsylvania
(Gutmann Center Research Fellow)
TBA
Friday, October 22th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following PUBLIC LECTURE:
Date: October 13th, 2004 (Wednesday), 4.00 p.m.
Speaker: Prof. Dr. Raman UPPAL
London Business School
http://faculty.london.edu/ruppal/
Title:
"PORTFOLIO SELECTION WITH PARAMETER AND MODEL UNCERTAINTY"
Abstract:
In this paper, we extend the mean-variance portfolio model where
expected returns are obtained using maximum likelihood
estimation to explicitly account for uncertainty about estimated
expected returns. In contrast to the Bayesian approach to
estimation error, where there is only a single prior and the
investor is neutral to uncertainty, we allow for multiple priors
and aversion to uncertainty. The multi-prior model has several
attractive features: One, just like the Bayesian model, the
multi-prior model is firmly grounded in decision theory; Two, it
is flexible enough to allow for uncertainty about expected
returns estimated jointly for all assets or different levels of
uncertainty about expected returns for different subsets of the
assets; Three, we show how in several special cases of the
multi-prior model one can obtain closed-form expressions for the
optimal portfolio, which can be interpreted as a shrinkage of
the mean-variance portfolio towards either he risk-free asset or
the minimum variance portfolio. We illustrate how to implement
the multi-prior model using both international and domestic
data. Our analysis suggests that allowing for parameter
uncertainty reduces the fluctuation of portfolio weights over
time and, for the data set considered, improves substantially
the out-of sample performance.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
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
CCEFM Workshop
Russ Wermers (University of Maryland), Eugene Kandel (Hebrew University)
(Gutmann Center International Research Grant 2002)
"Evaluating Asset Managers by Decomposing Their Active Decisions"
Friday, October 8th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------
The next CCEFM workshop is by
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
Title: TBA
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien