INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: May 26th (Thursday), 2011 - 4:00 pm
LOCATION: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. MARK GRINBLATT, Anderson School at UCLA
http://www.anderson.ucla.edu/x1927.xml
TITLE: "INVESTMENT, VALUATION, AND PARAMETER UNCERTAINTY"
ABSTRACT
Financial decisions hinge on the values of key parameters like expected returns,
volatilities, and discount rates. In any practical setting, these parameters have to be
estimated. This talk will show that the standard estimation procedures, like estimating
unbiased values of the expected return, volatility, or discount rate, almost always lead
to inappropriate financial decisions. The talk will analyze simple finance problems to
illustrate proper estimation of unknown parameters. The insights gained from this real
world application of finance turns finance intuition on its head. For example,
multi-period investments with negative risk premia can be profitable, there can be
infinite demand for risky securities by risk averse investors, settings exist where risk
averse investors should not diversify, and demand for mutual funds with negative alphas
may be rational. We also expect to observe smile effects in option-implied volatilities,
even in settings that use the Black-Scholes assumptions about the return generating
process of the underlying asset.
ABOUT MARK GRINBLATT
Mark Grinblatt is the J. Clayburn LaForce Professor of Finance at the UCLA Anderson School
of Management, where he has been on the faculty since 1981. He received his Ph.D, M.
Phil., and M.A. from Yale University, and his undergraduate degree from the University of
Michigan.
He served as a visiting professor at the Wharton School, as a visiting fellow at Yale
University, and worked as a vice president for Salomon Brothers, Inc. He is a former
president of the Western Finance Association and a founding member of the Foundation for
the Advancement of Research in Financial Economics. He currently serves on the board of
directors of the National Bureau of Economic Research and of Citi (formerly Salomon)
Swapco, Inc., as an advisory or associate editor of four journals, and as Senior Associate
Dean and Director of the UCLA Anderson Ph.D. Program.
Professor Grinblatt has authored numerous scholarly papers in finance and economics, as
well as a corporate finance textbook and an edited book volume. His research, which
appears in most of the major journals in finance and economics, focuses on asset pricing,
rational expectations equilibria, performance evaluation, stock market anomalies,
corporate finance, derivatives valuation, and investor behavior.
Please REGISTER:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management, WU (Wirtschaftsuniversität Wien) Department of
Finance, Accounting and Statistics, Mag. Dorothea GRIMM, Heiligenstädter Str. 46-48, 1190
Wien -
www.gutmann-center.at