VFN-L March 2006

vfn-l@fam.tuwien.ac.at

5 participants
7 discussions

[VFN] PostDoc-Stellenausschreibung
by Hansjoerg Albrecher 28 Mar '06

28 Mar '06

----------------------------------- P O S T D O C P O S I T I O N AT THE JOHANN RADON INSTITUTE FOR COMPUTATIONAL AND APPLIED MATHEMATICS (RICAM) OF THE AUSTRIAN ACADEMY OF SCIENCES, AUSTRIA RICAM is a research institute which went into operation on January 1, 2003, and is building up to a total of 30 PostDoc positions in six areas: Computational Methods for Direct Field Problems Inverse Problems Mathematical Finance Symbolic Computation Analysis of Partial Differential Equations Optimization and Control The institute is housed on the campus of the Johannes Kepler University in Linz, a town of about 200.000 inhabitants located along the Danube, very close to the Austrian Alps, and half-way between Vienna and Salzburg (more information about the institute can be found at http://www.ricam.oeaw.ac.at). The "Mathematical Finance Group" is looking for a PostDoc with a strong background in risk theory or quantitative finance. Possible specialisation areas also include dependence modelling. Informal enquiries can be made to Dr. Hansjörg Albrecher at: hansjoerg.albrecher(a)oeaw.ac.at. A doctorate in mathematics or a closely related field is required. The working language is English. The position is available from June 2006 or as soon as possible thereafter. The initial contract can be for up to three years, a renewal for three more years is possible depending on achievements. Closing date for applications is May 1, 2006. Two sets of applications with personal and scientific data, copies of relevant documents and a statement about scientific interests and achievements should be sent to Prof. H. Engl Johann Radon Institute Austrian Academy of Sciences Altenbergerstraße 69 A-4040 Linz Austria Alternatively, the application material can be sent by email to annette.weihs(a)oeaw.ac.at

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[VFN] Sommer School in Munich
by Sandra Trenovatz 22 Mar '06

22 Mar '06

Date: Wed, 22 Mar 2006 10:41:32 +0100 From: "D. Filipovic" <filipo(a)mathematik.uni-muenchen.de> -------------------------------------------------------- SUMMER SCHOOL Risk Measurement and Optimal Investment June 29 - 30, 2006 Mathematical Department of the Ludwig-Maximilians Universitaet LMU, Muenchen (Germany) The summer school will take place at the Mathematical Department of the Ludwig-Maximilians Universitaet (LMU) of Muenchen on June 29 (13 - 19.30h) and on June 30 (9 - 17.30h). It consists of two mini courses on * Risk Measures and Capital Allocation (Prof. F.Delbaen) * Optimal Investment (Prof. C. Rogers) held by Prof. F. Delbaen (ETH Zurich) and Prof. C. Rogers (University of Cambridge), and a special talk on * Managing Value, Risk and Economic Capital: A Practical Approach to Asset Liability Management held by Dr. B. Kaufmann (Munich Re). The school addresses PhD students, postgraduate researchers and all practitioners from the risk management in insurance and other financial institutions. For further information, see: http://www.mathematik.uni-muenchen.de/~finsum/koll.php REGISTRATION There is a registration fee. Participants are kindly requested to follow the indications on line available at http://www.mathematik.uni-muenchen.de/~finsum/regi.html ORGANISERS Francesca Biagini, LMU Muenchen (http://www.mathematik.uni-muenchen.de/~biagini/) Damir Filipovic, LMU Muenchen. (http://www.mathematik.uni-muenchen.de/~filipo/)

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[VFN] CANCELLATION of VGSF research seminar on March, 24th
by Michael Halling 22 Mar '06

22 Mar '06

Please note that on March 24th there is not going to be a research seminar - the originally planned seminar is cancelled. The next seminar is given by Prof. Erwan Morellec (Université de Lausanne) on "Stock returns in mergers and acquisitions" on FRIDAY, March 31st, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before (starting at around 15:00) and after the seminar. If you want to meet Prof. Morellec to discuss your research projects, please let me know. I'm going to set up a schedule for him. Best, Michael Halling

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[VFN] Stellenausschreibung an WU-Wien
by Stefan Bogner 15 Mar '06

15 Mar '06

Im *Institut für Finanzierung und Finanzmärkte/ Corporate Finance* ist voraussichtlich ab 1. Mai 2006 bis 30. April 2012 die Stelle *eines Assistenten/einer Assistentin* (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt *zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für Assistent/inn/en eine maximale Befristungsdauer von 6 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 6 Jahre fehlende Zeit eingestellt werden. Weiters weisen wir daraufhin, dass die Wiederbestellung von Personen, die bereits einen Assistent/inn/enposten "Säule 2" inne hatten, aus rechtlichen Gründen nicht möglich ist. *Notwendige Kenntnisse und Qualifikationen:* EU-Bürger/in, Doktorat in Wirtschaftswissenschaften oder Wirtschaftsmathematik, gutes Englisch *Erwünschte Kenntnisse und Qualifikationen:* Erfahrung in Forschung und Lehre auf dem Gebiet der Finanzwirtschaft, insbesondere im Bereich Corporate Finance in Verbindung mit Banking und Accounting sowie Währungsmärkte und deren Mikrostruktur. Fundierte ökonometrische Kenntnisse, Programmierkenntnisse in VBA und C/C++, sehr gute Kenntnisse im Umgang mit statistischer Software insbesondere Stata sowie im Umgang mit Datenprovidern wie Reuters, Bloomberg und Datastream. *Kennzahl: 57905* *Schriftliche Bewerbungen mit Lebenslauf und Zeugnissen (Kopien) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten.* *Ende der Bewerbungsfrist: 5. April 2006* *Bitte die Kennzahl unbedingt anführen!* Nähere Informationen gibt es bei Prof. Stefan Bogner. Allgemeine Informationen zu Bewerbungen an der WU-Wien finden sich beispielsweise unter http://notes.wu-wien.ac.at/usr/zid/mb/05/mb23.nsf/Inhalt?OpenView&Start=1&C… ------------------------------------------------------------------------------- o.Univ.-Prof. Mag. Dr. Stefan Bogner Wirtschaftsuniversität Wien Institut für Finanzierung und Finanzmärkte Abteilung für Betriebliche Finanzierung UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736 E-mail: stefan.bogner(a)wu-wien.ac.at Web: http://www.wu-wien.ac.at/dcf --------------------------------------------------------------------------------

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[VFN] VGSF Research Seminar (March 17th): Klaus Ritzberger
by Michael Halling 14 Mar '06

14 Mar '06

Prof. Klaus Ritzberger is giving a VGSF research seminar on "Corporate Control and the Stock Market" on FRIDAY, March 17th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before the seminar (starting at around 15:00). Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling

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[VFN] VGSF Research Seminar on March 10th by Doyne Farmer (Santa Fe Institute)
by Michael Halling 07 Mar '06

07 Mar '06

Prof. Doyne Farmer from the Santa Fe Institute is giving a VGSF research seminar on "Financial markets as a behavioral laboratory: An empirical behavioral model for price formation" on FRIDAY, March 10th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Coffee and sweet snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before the seminar (starting at around 15:00). Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling

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[VFN] Gutmann Center Symposium on Real Assets and Portfolio Management on March 27th: Invitation and program
by Gutmann Center-D.Grimm 03 Mar '06

03 Mar '06

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2006: "REAL ASSETS AND PORTFOLIO MANAGEMENT" - apologies for any cross-postings!! - March 27th, 2006, 9.00 am – 6.00 pm University of Vienna - "Kleiner Festsaal" Dr. Karl-Lueger-Platz 1, 1010 Wien Real estate, a major driver of both the overall economy and of individual wealth, has become an increasingly important asset class for portfolio managers. Other real assets such as private equity and venture capital have also generated a lot of interest recently as additional opportunities to optimize asset allocation. However, for most investors, these alternative investment opportunities remain rather opaque. Internationally recognized experts will present their analyses of these asset classes at our symposium from both an academic and practitioner’s perspective. NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED PLEASE REGISTER VIA E-MAIL NOT LATER THAN MARCH 14th: gutmann.bwl(a)univie.ac.at PROGRAM 08.15-09.00 REGISTRATION 09.00-09.10 WELCOME AND PRESENTATION OF THE GUTMANN CENTER PHD-SCHOLARSHIP 2005/2006 Josef Zechner, University of Vienna and Gutmann Center Rudolf Stahl, CEO Bank Gutmann AG Recipient: Jin Yu, Vienna Graduate School of Finance (VGSF) 09.10-10.40 SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS Chair: Engelbert Dockner, University of Vienna 09.10-09.40 “Efficient Portfolios when Housing is a Hedge against Rent Risk” Speaker: Loriana Pelizzon, Università Ca' Foscari di Venezia Discussant: Walter Torous, UCLA 09.40-10.10 “Illiquidity and Pricing Biases in the Real Estate Market” Speaker: Kerry D. Vandell, University of Wisconsin-Madison Discussant: Charles Himmelberg, Goldman Sachs 10.10-10.40 “Hot and Cold Housing Markets: International Evidence” Speaker: Javier Suarez, CEMFI Discussant: Robert Korajczyk, Northwestern University 10.40-11.00 - Coffee Break - 11.00-12.30 SESSION II: REAL ASSETS AND PORTFOLIO CHOICE Chair: Tomas Björk, Stockholm School of Economics 11.00-11.30 “Comovement After Joining an Index: Spillovers of Nonfundamental Effects” Speaker: Dong Wook Lee, University of Kentucky Discussant: Youchang Wu, University of Vienna 11.30-12.00 “Better Regulation and Underwriter Reputation have done nothing for IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on the London Stock Exchange” Speaker: Elroy Dimson, London Business School Discussant: Neal Stoughton, University of Calgary 12.00-12.30 “Beautiful Asset: Art as Investment” Speaker: Michael Moses, New York University Discussant: Klaus Spremann, University St. Gallen 12.30-13.30 - Lunch Buffet - 13.30-14.15 KEY-NOTE-ADDRESS “Homeownership as a Constraint on Asset Allocation” Speaker: Eduardo Schwartz, UCLA 14.15-14.45 - Coffee Break - 14.45-16.15 SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL Chair: Elroy Dimson, London Business School 14.45-15.15 “Determinants of Venture Capital Performance: Europe and the United States” Speaker: Ulrich Hege, HEC Discussant: Michael Halling, University of Vienna 15.15-15.45 “Risk-Adjusted Returns of Private Equity Investments” Speaker: Alexander Groh, TU Darmstadt Discussant: Engelbert Dockner, University of Vienna 15.45-16.15 “The Performance of Private Equity Funds” Speaker: Ludovic Phalippou, University of Amsterdam, Discussant: Stefan Pichler, Vienna University of Economics and Business Administration 16.15-16.30 - Coffee Break - 16.30-17.30 SESSION IV: EXPECTED RETURNS IN REAL ESTATE Chair: Klaus Spremann, University St. Gallen 16.30-17.00 “Expected Returns and the Expected Growth in Rents of Commercial Real Estate” Speaker: Walter Torous, UCLA Discussant: Alex Stomper, Institute for Advanced Studies, Vienna 17.00-17.30 “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions” Speaker: Charles P. Himmelberg, Goldman Sachs Discussant: Javier Suarez, CEMFI CONCLUDING REMARKS Josef Zechner, University of Vienna and Gutmann Center - Refreshments – The Gutmann Center Symposium 2006 is organized in cooperation with: DIE PRESSE – www.diepresse.com CONTACT AND FURTHER INFORMATION: Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 E-mail: gutmann.bwl(a)univie.ac.at Homepage: www.gutmann-center.at

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VFN-L March 2006