* REMINDER * 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: June 17th, 2003 (Tuesday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Robert A. Korajczyk
Harry G. Guthmann Distinguished Professor of Finance
Kellogg School of Management
Northwestern University
http://www.kellogg.nwu.edu/faculty/korajczy/htm/
Title: "Liquidity and Portfolio Management"
Abstract:
"Liquidity, or lack of it, has played an important part in a number of
recent financial crises. Of even more relevance to most portfolio
managers if the fact that simulated portfolios almost universally
outperform actual portfolios based on the same trading rules. This
discrepancy is due, in large part, to imperfect liquidity in asset
markets. This lecture will discuss the estimation and use of liquidity
measures in portfolio management, the evidence for or against the
existence of liquidity premiums in equity markets, and the implications
for investors and listed firms."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249
--
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The Vienna Finance Newsletter <VFN-L(a)fam.tuwien.ac.at>
http://www.fam.tuwien.ac.at/mailman/listinfo/vfn-l
PLEASE NOTE THAT THE FOLLOWING RESEARCH SEMINAR WILL BEGIN AT 12.00 and
not 11.00 a.m. AS ANNOUNED IN A PREVIOUS ANNOUNCEMENT!!!
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(www.gutmann-center.at)
and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at)
announce the following
RESEARCH SEMINAR
Date: June 18th (Wednesday), 12.00-1.30 p.m.
Location: Universität Wien, Institut für BWL (BWZ)
Brünner Str. 72
1210 Wien
SEMINARRAUM 1
Speaker: Robert A. Korajczyk
Harry G. Guthmann Distinguished Professor of Finance
Kellogg School of Management
Northwestern University
http://www.kellogg.nwu.edu/faculty/korajczy/htm/
Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and
Asymptotic Principal Components."
It can be downloaded from the following URL:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621
Please find further information at: www.gutmann-center.at!
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: Tue, 10 Jun 2003 17:48:39 +0200
From: Berlin Workshop 2003 <finance(a)math.hu-berlin.de>
Subject: Mathematical Finance for Young Researchers
Dear colleagues,
we would be grateful if you could inform young members of your research
group about the upcoming
Workshop on Mathematical Finance for Young Researchers:
Modelling, Measuring, and Managing Financial Risk.
The workshop will be held on
January 8 - January 10, 2004 at Humboldt University of Berlin.
The aim of the workshop is to bring together promising Ph.D. students and
postdocs, and to give them the opportunity to discuss their research in an
informal atmosphere. Keynote lectures will be given by
David Hobson, University of Bath,
Wolfgang Schmidt, Hochschule fuer Bankwirtschaft,
Martin Schweizer, Ludwig-Maximilian-Universitaet Muenchen,
Thaleia Zariphopoulou, University of Texas at Austin.
We also invite applications for up to 15 contributed papers from young
researchers, in particular from recent PhDs. Accomodation expenses for
speakers will be covered. Very limited support for travel expenses may also
be available.
Closing date for submissions to
finance(a)math.hu-berlin.de
is September 30th, 2003.
The workshop is supported by the DFG Research Center "Mathematics for
Key Technologies" ( http://www.fzt86.de ) and the Graduiertenkolleg
"Stochastic Processes and Probabilistic Analysis".
Thank you very much for your cooperation,
the organizing committee
Peter Bank, Hans Foellmer, Ulrich Horst, Peter Imkeller, Alexander Schied
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
(www.gutmann-center.at)
and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at)
are pleased to announce the following
RESEARCH SEMINAR
Date: June 18th (Wednesday), 11.00 a.m.
Location: Universität Wien, Institut für BWL (BWZ)
Brünner Str. 72
1210 Wien
SEMINARRAUM 1
Speaker: Robert A. Korajczyk
Harry G. Guthmann Distinguished Professor of Finance
Kellogg School of Management
Northwestern University
http://www.kellogg.nwu.edu/faculty/korajczy/htm/
Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and
Asymptotic Principal Components."
It can be downloaded from the following URL:
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621
Please find further information at: www.gutmann-center.at!
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
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: June 17th, 2003 (Tuesday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Robert A. Korajczyk
Harry G. Guthmann Distinguished Professor of Finance
Kellogg School of Management
Northwestern University
http://www.kellogg.nwu.edu/faculty/korajczy/htm/
Robert A. Korajczyk is the Harry G. Guthmann Distinguished Professor of
Finance.
He is past Chair of the Finance Department and has been a member of the
Kellogg School faculty since 1982. Professor Korajczyk has also held
visiting faculty appointments at the University of Chicago and the Hong
Kong University of Science and Technology.
Professor Korajczyks research interests are in the areas of
investments, corporate finance, and international finance. He is a
recipient of the New York Stock Exchange Award for Best Paper on Equity
Trading presented at the 1993 Western Finance Association annual
meetings, and the Review of Financial Studies Best Paper Award, 1991.
He is a past or current editor of several leading journals.
He has served as a consultant to the World Bank and a number of other
organizations. He received his B.A. (1976); M.B.A. (1977); and Ph.D.
(1983) from the University of Chicago."
Title: "Liquidity and Portfolio Management"
Abstract:
"Liquidity, or lack of it, has played an important part in a number of
recent financial crises. Of even more relevance to most portfolio
managers if the fact that simulated portfolios almost universally
outperform actual portfolios based on the same trading rules. This
discrepancy is due, in large part, to imperfect liquidity in asset
markets. This lecture will discuss the estimation and use of liquidity
measures in portfolio management, the evidence for or against the
existence of liquidity premiums in equity markets, and the implications
for investors and listed firms."
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249
REMINDER * REMINDER * REMINDER * 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: June 4th, 2003 (Wednesday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
(http://www.gutmann.at)
Speaker: Russel R. Wermers,
Professor of Finance, University of Maryland
http://www.rhsmith.umd.edu/Finance/rwermers/
Russel R. Wermers is Professor of Finance at the Robert H. Smith School
of Business,University of Maryland at College Park.
Numerous publications in top-class journals such as American Economic
Review, Journal of Finance, Journal of Financial and Quantitative
Analysis. Current research interests: mutual fund performance
measurement, the impact of mutual funds on stock markets, and empirical
tests of the efficiency of stock markets.
Title: "Games Asset Managers Play"
Abstract:
What types of games do asset managers play, knowing that they are being
judged by their performance records each year? Prior research indicates
that mutual fund managers play a yearly tournament. Specifically,
mid-year losing funds increase their risk during the second half of the
year in an attempt to overtake mid-year winning funds, while mid-year
winners decrease their risk to lock in their relative position.
This talk will describe the results of a new study of mutual fund
tournaments that digs deeper into the determinants of risk-taking
behavior by managers. We show that fund managers pay attention not only
to their mid-year performance records, relative to their peers, but also
to the amount of risk that they have taken in the past. That is, fund
managers behave as if they have a risk budget, which sometimes leads
to behavior that runs counter to that predicted by prior studies. For
example, a fund manager who has taken a substantial amount of risk
during the first half of a year, and loses, tends to reduce risk during
the second half of the year.
Our results provide new insights into the sponsor-manager agency
problem, which, in turn, provides sponsors with new insights into the
risks of delegated portfolio management.
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +42-1-50220-249