VFN-L October 2004

vfn-l@fam.tuwien.ac.at

6 participants
11 discussions

[VFN] CCEFM/IHS workshop
by Alfred Lehar 31 Oct '04

31 Oct '04

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

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[VFN] 10. November, Financial Engineering & Quantitative Research: Experiences at JPMorgan
by Christopher Summer 28 Oct '04

28 Oct '04

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

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[VFN] Call for papers for CIEF'2005 (fwd)
by VFN-L admin * Andreas Schamanek 26 Oct '04

26 Oct '04

(...) > The 4th International Workshop on Computational Intelligence > in Economics and Finance (CIEF'2005) Marriott City Center, Salt Lake City, Utah, USA July 21-26, 2005 http://www.jcis.org/pages/subconference/cief/cief.aspx http://www.aiecon.org/cief2005/index.html (...)

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[VFN] Gutmann Center Public Lecture Nov.9th - Ernesto Rossi di Montelera
by Gutmann Center-D. Grimm 21 Oct '04

21 Oct '04

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

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[VFN] 19. Workshop der AWG on Banking and Finance
by Stefan Pichler 21 Oct '04

21 Oct '04

***** 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/ *******************************************

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[VFN] Invitation Corporate Governance Conference and Panel Discussion - November 11, 2004
by Randl Otto iskwien 20 Oct '04

20 Oct '04

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

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[VFN] CCEFM Workshop - Yihong Xia
by Alfred Lehar 18 Oct '04

18 Oct '04

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

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[VFN] CCEFM Workshop - Raman Uppal
by Alfred Lehar 11 Oct '04

11 Oct '04

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

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[VFN] Public Lecture Raman Uppal October 13th - reminder
by Gutmann Center-D. Grimm 11 Oct '04

11 Oct '04

* 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

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[VFN] CCEFM Workshop
by Alfred Lehar 04 Oct '04

04 Oct '04

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

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VFN-L October 2004