To: vfn-l(a)fam.tuwien.ac.at
INVITATION
7th Financial Risks International Forum
BIG DATA IN FINANCE AND INSURANCE
Paris, March 20 & 21 2014
The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the
7th Financial Risks International Forum. In the current context, this year's forum will focus on
"BIG DATA IN FINANCE AND INSURANCE". Papers will address topics such as:
- Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets;
- Behavioral Scores, Real Time Updating of Scores and Rankings
- Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google;
- Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods
- Contagion and Systemic Risk, Regulation in a Large Dataset Environment, Non Regulated Web Currencies
- Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries, on the Product Design
- High Frequency Data, Market Microstructure.
The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris-Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards.
Our guest speakers for this edition are:
- Liran EINAV, Stanford University
- Joseph Joey ENGELBERG, University of California, San Diego
- Roberto RIGOBON, MIT Sloan School of Management
The forum will take place on March, Thursday 20th and Friday 21rst, 2014 at the Paris Ile-de-France Regional Chamber of Commerce and Industry / Chambre de Commerce et d'Industrie de Région Paris-Ile-de-France. CCIP, 27 avenue de Friedland, 75008 Paris.
If you would like to join us for interactive debates, please kindly register online:
http://www.financialrisksforum.com/cgi-bin/viewlink?k=67685055&r=163199678
INVITATION
We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and provides a platform for exchange in the field of asset management between academics, practitioners and the public. Both the topic and the speaker for our next event are particularly interesting. We will be discussing the risk and return characteristics of five long-established Bordeaux wines, with price histories that go back more than 100 years. Our speaker is Professor Elroy Dimson, who is well-known for his important contributions in the field of asset management, such as his work on estimating betas or his work on risk premia in the stock markets.
INVESTMENT TALK
Date: Wednesday, March 19, 2014 - 4 pm
Speaker: Prof. Elroy Dimson
Topic: "THE PRICE OF WINE"
ABSTRACT:
We examine the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing the vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest rates of appreciation for young high-quality wines that are still maturing. The findings suggest that the non-financial "psychic return" to holding wines that are substantially beyond maturity is at least 1%. Using an arithmetic repeat-sales regression, we estimate an annualized return to wine investments (net of insurance and storage costs) of 4.1%, in real GBP terms, between 1900 and 2012. Wine underperforms equities over this period, but outperforms government bonds, art, and stamps. Wine and equity returns are positively correlated.
Registration is required.
ABOUT ELROY DIMSON:
Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge Business School, chairs the Strategy Council for the Norwegian Government Pension Fund, chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London Business School. His publications include Triumph of the Optimists, Endowment Asset Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of Journal of Finance, Review of Finance and other journals.
A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on the Financial Analysts Journal board. He is on the investment committees of Guy's & St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past president of the European Finance Association, and Honorary Fellow of the CFA Society of the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award.
REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at office(a)si-researchcenter.at
LOCATION:
WU, Building LC (Library & Learning Center),
Festsaal 1 (http://gis.wu.ac.at/index.html?roomShow=LC.0.100)
Welthandelsplatz 1, 1020 Vienna
Contact and further information:
WU, Institute for Finance, Banking and Insurance
att. Martina Schlichting
Welthandelsplatz 1, Building D4, 4th Floor
1020 Vienna
Phone: +43 1 31336 6315
Mail: office(a)si-researchcenter.at, Web: www.si-researchcenter.at
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
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Date: JANUARY 21 (Tuesday), 2014, 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien
Speaker: Prof. Stephen Satchell, University of Sydney and University of Cambridge
http://sydney.edu.au/business/staff/stephens
Title: "Psychic Returns to Cultural Investments"
ABSTRACT:
This paper presents procedures for evaluating psychic returns to cultural assets. Measuring
the psychic return of art investments is an important issue in cultural economics. We focus
on the psychic returns of art relative to equity using British data from 1895 to 2011.
However, our arguments are entirely general. We take into account the substantial costs
involved in art investment and also discuss the existing estimates of the psychic returns to
art in the literature which are typically between 10 to 30 percent. Applying utility based
models and equilibrium based models, we construct new estimates of psychic returns based
on plausible portfolio weights and also trace the linkages of psychic returns of art to other
markets by an examination of trade flows.
About Stephen Satchell:
Stephen Satchell is working on a number of topics in the broad areas of econometrics,
finance, risk measurement and utility theory. He has an interest in both theoretical and
empirical problems. Many of his research problems are motivated by practical investment
issues. His current research looks at alternative methods of portfolio construction and risk
management, as well as on non-linear dynamic models. He is also active in researching the
UK mortgage and housing markets.
Stephen Satchell is the editor of the Journal of Asset Management, and he has published
extensively in various top-journals. He has strong links with Inquire (Institute for
Quantitative Investment Research), an organization that finances academic research on
quantitative investment. He is also on the management committee of LQG (London Quant
Group).
Stephen Satchell is a Fellow of Trinity College Cambridge where he has Isaac Newton's
rooms.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at