VFN-L April 2004

vfn-l@fam.tuwien.ac.at

2 participants
4 discussions

[VFN] Public Lecture Leonid Kogan May 17th
by Gutmann Center-D.Grimm 29 Apr '04

29 Apr '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following Public Lecture - Apologies for any cross-listings!! - Date: May 17th, 2004 (Monday), 5.00 p.m. Speaker: Prof. Dr. Leonid KOGAN Massachusetts Institute of Technology (MIT) http://web.mit.edu/lkogan2/www/ Title: "Evaluating Portfolio Policies: A Duality Approach" Abstract: The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bound is close to the expected utility achieved by the given portfolio policy, the potential utility loss of this policy is guaranteed to be small. Our algorithm can be used to evaluate portfolio policies in models with incomplete markets and position constraints. We illustrate our methodology by analyzing the static and myopic policies in markets with return predictability and constraints on short sales and borrowing. Papers at: http://www.gutmann-center.at Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but please register: 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 Alex Stomper 26 Apr '04

26 Apr '04

The paper for the next CCEFM Workshop is now downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html As announced in my last email, the seminar, titled "Liquidity Discovery and Asset Pricing", will be given by Duane Seppi from Carnegie Mellon University. Date: 30th of April, 3:30 pm Location: Wiener Börse, Wallnerstrasse, 1010 Wien

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[VFN] CCEFM Workshop
by Alex Stomper 21 Apr '04

21 Apr '04

CCEFM Workshop Duane Seppi (Carnegie Mellon University) will present a paper titled "Liquidity Discovery and Asset Pricing" Date: April 30th, 3.30-5.00 Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is not yet available. I will send a separate email to distribute a link to the paper.

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[VFN] Call for papers - Gutmann Center Symposium on Hedge Funds - Nov.29th 2004
by Gutmann Center-D.Grimm 19 Apr '04

19 Apr '04

CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT - Apologies for any cross-postings! - GUTMANN SYMPOSIUM ON HEDGE FUNDS Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at Monday, November 29th, 2004 University of Vienna, Austria The Gutmann Center for Portfolio Management at the University of Vienna is proud to announce its third annual symposium to be held at the University of Vienna. The objective of this year's symposium is to discuss new empirical and theoretical advances in research on hedge funds. We are delighted to invite interested researchers and practitioners to participate and/or to submit research papers on hedge fund related topics. We are particularly interested in research on new strategies for investment funds, analysis of alternative investments, style investing, and performance evaluation. PAPER SUBMISSION: The symposium will consist of invited speakers and submitted papers. Papers on the topics mentioned above or on other subjects related to hedge funds should be submitted by email (in Acrobat PDF) not later than July 1st to the following address: Email: gutmann.bwl(a)univie.ac.at CONTACT: Gutmann Center for Portfolio Management University of Vienna Director: Josef Zechner Administrative Director: Dorothea Grimm Bruenner Strasse 72 A-1210 Wien, Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Email: gutmann.bwl(a)univie.ac.at Homepage : http://www.gutmann-center.at All submissions will be reviewed by a committee composed of members of the Gutmann Center's Academic Advisory Board and decisions will be made by September 1st. Submission and participation are free of charge. The Gutmann Center will provide accommodation and cover reasonable travel expenses for presenting authors.

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VFN-L April 2004