INVITATION
(apologies for duplicated mails!)
We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and provides a platform for exchange in the field of asset management between academics, practitioners and the public. Both the topic and the speaker for our next event are particularly interesting. We will be discussing the risk and return characteristics of five long-established Bordeaux wines, with price histories that go back more than 100 years. Our speaker is Professor Elroy Dimson, who is well-known for his important contributions in the field of asset management, such as his work on estimating betas or his work on risk premia in the stock markets.
INVESTMENT TALK
Date: Wednesday, March 19, 2014 - 4 pm
Speaker: PROF. ELROY DIMSON
Topic: "THE PRICE OF WINE"
ABSTRACT:
We examine the impact of aging on wine prices and the performance of wine as a long-term investment using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest appreciation rates for young high-quality wines that are still maturing. Our results also suggest that owners of famous wines receive non-pecuniary benefits-especially for old bottles-even though this "psychic" dividend is probably small relative to financial returns. Using an arithmetic repeat-sales regression, we estimate an annualized real financial return to wine investments (net of insurance and storage costs) of 4.1% between 1900 and 2012. Wine returns are lower than equity returns but positively correlated with them, yet wine does outperform government bonds, art, and stamps. We note that the historical returns on wine documented here may have exceeded ex ante expectations.
ABOUT ELROY DIMSON:
Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge Business School, chairs the Strategy Council for the Norwegian Government Pension Fund, chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London Business School. His publications include Triumph of the Optimists, Endowment Asset Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of Journal of Finance, Review of Finance and other journals.
A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on the Financial Analysts Journal board. He is on the investment committees of Guy's & St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past president of the European Finance Association, and Honorary Fellow of the CFA Society of the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award.
REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at office(a)si-researchcenter.at
LOCATION:
WU, Building LC (Library & Learning Center),
Festsaal 1 (http://gis.wu.ac.at/index.html?roomShow=LC.0.100)
Welthandelsplatz 1, 1020 Vienna
Contact and further information:
WU, Institute for Finance, Banking and Insurance
att. Martina Schlichting
Welthandelsplatz 1, Building D4, 4th Floor
1020 Vienna
Phone: +43 1 31336 6315
Mail: office(a)si-researchcenter.at, Web: www.si-researchcenter.at
INVITATION
7th Financial Risks International Forum
BIG DATA IN FINANCE AND INSURANCE
Paris, March 20 & 21 2014
The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the
7th Financial Risks International Forum. In the current context, this year's forum will focus on
"BIG DATA IN FINANCE AND INSURANCE". Papers will address topics such as:
- Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets;
- Behavioral Scores, Real Time Updating of Scores and Rankings
- Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google;
- Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods
- Contagion and Systemic Risk, Regulation in a Large Dataset Environment, Non Regulated Web Currencies
- Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries, on the Product Design
- High Frequency Data, Market Microstructure.
The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris-Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards.
Our guest speakers for this edition are:
- Liran EINAV, Stanford University
- Joseph Joey ENGELBERG, University of California, San Diego
- Roberto RIGOBON, MIT Sloan School of Management
The forum will take place on March, Thursday 20th and Friday 21rst, 2014 at the Paris Ile-de-France Regional Chamber of Commerce and Industry / Chambre de Commerce et d'Industrie de Région Paris-Ile-de-France. CCIP, 27 avenue de Friedland, 75008 Paris.
Click here for the most recent agenda:
http://risk2014.institutlouisbachelier.org
If you would like to join us for interactive debates, please kindly register online:
http://www.financialrisksforum.com/cgi-bin/risk2014/risk-inscrire?e=2014
Im INSTITUTE FOR FINANCE, BANKING AND INSURANCE ist voraussichtlich ab 1. April 2014 bis 31. März 2020 eine Stelle für einen Universitätsassistenten/eine Universitätsassistentin prae doc (Teaching and Research Associate) (Angestellte/r gemäß Kollektivvertrag für die Arbeitnehmer/innen der Universitäten, monatliches Mindestentgelt: 1.961,85 € brutto, Anrechnung von tätigkeitsbezogenen Vordienstzeiten möglich) Beschäftigungsausmaß: 75% (30 Std./Woche) zu besetzen.
AUFGABENGEBIET:
Unterstützung und Mitarbeit in der Lehre und Forschung im Bereich Finance, Risk Management oder Insurance
NOTWENDIGE KENNTNISSE UND QUALIFIKATIONEN:
Wirtschaftswissenschaftliches Studium mit Schwerpunkt in Finanzwirtschaft bzw. einer benachbarten Wissenschaftsdisziplin oder Abschluss des Studienzweiges
Wirtschaftsmathematik, Statistik oder Physik; Voraussetzungen für die Aufnahme bzw. Absolvierung eines wirtschaftswissenschaftlichen Doktoratsstudiums (prae doc)
ERWÜNSCHTE KENNTNISSE UND QUALIFIKATIONEN:
Starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen in Corporate Finance, Corporate Risk Management, Insurance oder Fair Value Accounting und Kapitalmarktregulierung mit dem Ziel der Promotion; sehr gute Kenntnisse im Bereich quantitativer und analytischer Methoden in den Wirtschaftswissenschaften; sehr gute Englischkenntnisse, Teamfähigkeit und Selbständigkeit
Kennzahl: 2005
Ende der Bewerbungsfrist: 12. März 2014
http://www.wu.ac.at/jobs
Daniela Fuchs
_______________________________________________________
Office FAS (D4)
Department of Finance, Accounting and Statistics
WU Wirtschaftsuniversität Wien
Vienna University of Economics and Business
Welthandelsplatz 1, Building D4, Entrance A, 4th floor, 1020 Vienna, Austria
[T] +43 1 31336/4691
[F] +43 1 31336/904691
[E] daniela.fuchs(a)wu.ac.at<mailto:daniela.fuchs@wu.ac.at>
www.wu.ac.at/finance<http://www.wu.ac.at/finance>
To: vfn-l(a)fam.tuwien.ac.at
INVITATION
7th Financial Risks International Forum
BIG DATA IN FINANCE AND INSURANCE
Paris, March 20 & 21 2014
The Louis Bachelier "Finance and Sustainable Growth" Laboratory is pleased to invite you to the
7th Financial Risks International Forum. In the current context, this year's forum will focus on
"BIG DATA IN FINANCE AND INSURANCE". Papers will address topics such as:
- Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear Principal Component Analysis, Construction of Indexes from Large Data Sets;
- Behavioral Scores, Real Time Updating of Scores and Rankings
- Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and Fund Managers Behavior, of Risk Appetite Indicators Given on Google;
- Analysis of Markets with Highly Differentiated Products: Pricing the Quality Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods
- Contagion and Systemic Risk, Regulation in a Large Dataset Environment, Non Regulated Web Currencies
- Effect of Big Data on the Organization of the Markets (Web Market Monitoring), on the Role of Intermediaries, on the Product Design
- High Frequency Data, Market Microstructure.
The aim of this event is to showcase the very best of international research, selected by our international scientific committee, chaired by Marie BRIERE - Amundi, Paris-Dauphine University and Université Libre de Bruxelles -. Panel sessions will be led by industry professionals, with workshops that encourage dialog among researchers and working financial professionals. The scientific committee's rigorous requirements, combined with the outstanding quality of the papers, ensure an event meets the highest level of international standards.
Our guest speakers for this edition are:
- Liran EINAV, Stanford University
- Joseph Joey ENGELBERG, University of California, San Diego
- Roberto RIGOBON, MIT Sloan School of Management
The forum will take place on March, Thursday 20th and Friday 21rst, 2014 at the Paris Ile-de-France Regional Chamber of Commerce and Industry / Chambre de Commerce et d'Industrie de Région Paris-Ile-de-France. CCIP, 27 avenue de Friedland, 75008 Paris.
If you would like to join us for interactive debates, please kindly register online:
http://www.financialrisksforum.com/cgi-bin/viewlink?k=67685055&r=163199678
INVITATION
We are pleased to invite you to our next Investment Talk, organized by the Spängler IQAM Research Center. The Center is a joint initiative of TU Vienna (Vienna University of Technology) and WU Vienna University of Economics and Business supported by Spängler IQAM Invest and provides a platform for exchange in the field of asset management between academics, practitioners and the public. Both the topic and the speaker for our next event are particularly interesting. We will be discussing the risk and return characteristics of five long-established Bordeaux wines, with price histories that go back more than 100 years. Our speaker is Professor Elroy Dimson, who is well-known for his important contributions in the field of asset management, such as his work on estimating betas or his work on risk premia in the stock markets.
INVESTMENT TALK
Date: Wednesday, March 19, 2014 - 4 pm
Speaker: Prof. Elroy Dimson
Topic: "THE PRICE OF WINE"
ABSTRACT:
We examine the impact of aging on wine prices and the performance of wine as a long-term investment, using a unique historical database for five long-established Bordeaux wines that we construct from auction and dealer prices. We estimate the life-cycle price patterns with a regression model that avoids multicollinearity between age, vintage year, and time by replacing the vintage effects with annual data on production yields and weather quality. In line with the predictions of an illustrative model, we observe the highest rates of appreciation for young high-quality wines that are still maturing. The findings suggest that the non-financial "psychic return" to holding wines that are substantially beyond maturity is at least 1%. Using an arithmetic repeat-sales regression, we estimate an annualized return to wine investments (net of insurance and storage costs) of 4.1%, in real GBP terms, between 1900 and 2012. Wine underperforms equities over this period, but outperforms government bonds, art, and stamps. Wine and equity returns are positively correlated.
Registration is required.
ABOUT ELROY DIMSON:
Elroy Dimson co-directs the Centre for Endowment Asset Management at Cambridge Judge Business School, chairs the Strategy Council for the Norwegian Government Pension Fund, chairs the Policy Committee for FTSE Group, and is Emeritus Professor of Finance at London Business School. His publications include Triumph of the Optimists, Endowment Asset Management, and the Global Investment Returns Yearbook. He has been an Associate Editor of Journal of Finance, Review of Finance and other journals.
A co-designer of the FTSE 100 index, Elroy chairs FTSE's advisory board and serves on the Financial Analysts Journal board. He is on the investment committees of Guy's & St Thomas' Charity and the Foundation for Social Entrepreneurs. He is past president of the European Finance Association, and Honorary Fellow of the CFA Society of the UK (FSIP) and of the Institute of Actuaries. He recently received the CFA Institute's James Vertin award, the Moskowitz prize, and the Bernstein Fabozzi/Jacobs Levy award.
REGISTRATION IS REQUIRED. We kindly ask to register before March 10th at office(a)si-researchcenter.at
LOCATION:
WU, Building LC (Library & Learning Center),
Festsaal 1 (http://gis.wu.ac.at/index.html?roomShow=LC.0.100)
Welthandelsplatz 1, 1020 Vienna
Contact and further information:
WU, Institute for Finance, Banking and Insurance
att. Martina Schlichting
Welthandelsplatz 1, Building D4, 4th Floor
1020 Vienna
Phone: +43 1 31336 6315
Mail: office(a)si-researchcenter.at, Web: www.si-researchcenter.at
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
*************************************************************************
Date: JANUARY 21 (Tuesday), 2014, 4:00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien
Speaker: Prof. Stephen Satchell, University of Sydney and University of Cambridge
http://sydney.edu.au/business/staff/stephens
Title: "Psychic Returns to Cultural Investments"
ABSTRACT:
This paper presents procedures for evaluating psychic returns to cultural assets. Measuring
the psychic return of art investments is an important issue in cultural economics. We focus
on the psychic returns of art relative to equity using British data from 1895 to 2011.
However, our arguments are entirely general. We take into account the substantial costs
involved in art investment and also discuss the existing estimates of the psychic returns to
art in the literature which are typically between 10 to 30 percent. Applying utility based
models and equilibrium based models, we construct new estimates of psychic returns based
on plausible portfolio weights and also trace the linkages of psychic returns of art to other
markets by an examination of trade flows.
About Stephen Satchell:
Stephen Satchell is working on a number of topics in the broad areas of econometrics,
finance, risk measurement and utility theory. He has an interest in both theoretical and
empirical problems. Many of his research problems are motivated by practical investment
issues. His current research looks at alternative methods of portfolio construction and risk
management, as well as on non-linear dynamic models. He is also active in researching the
UK mortgage and housing markets.
Stephen Satchell is the editor of the Journal of Asset Management, and he has published
extensively in various top-journals. He has strong links with Inquire (Institute for
Quantitative Investment Research), an organization that finances academic research on
quantitative investment. He is also on the management committee of LQG (London Quant
Group).
Stephen Satchell is a Fellow of Trinity College Cambridge where he has Isaac Newton's
rooms.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at
---------- Forwarded message ----------
Date: Thu, 28 Nov 2013 00:13:56 +0100 (CET)
From: Institut Louis Bachelier <risk(a)institutlouisbachelier.org>
To: "vfn-l(a)fam.tuwien.ac.at" <vfn-l(a)fam.tuwien.ac.at>
Subject: CALL FOR PAPERS - 7th Financial Risks International Forum (2014
session) - Deadline: December 6, 2013
To vfn-l(a)fam.tuwien.ac.at
CALL FOR PAPERS
7th Financial Risks International Forum
-----------------------------------------
BIG DATA IN FINANCE AND INSURANCE
Paris, March 20 & 21, 2014
The Financial Risks International Forum on "Big Data in Finance and Insurance"
is an International Research Forum for academics and professionals organized by
The Louis Bachelier "Finance and Sustainable Growth" Laboratory.
We invite academics, professionals and regulators to submit papers for this
meeting which will take place in Paris on March 20 & 21, 2014.
The aim of this conference is to highlight the methodological, organizational
and regulatory challenges posed by the availability of large data sets in
Finance. The sets of available data increased for different reasons such as the
possibility to collect data on individual contracts, to enlarge the set of
observed individual variables, to consider differentiated financial products or
to increase the observation frequency. A non limitative list of topics of
interest is given below:
- Large Scale Linear and Nonlinear Factor Models, Granularity, Nonlinear
Principal Component Analysis, Construction of Indexes from Large Data Sets;
- Social Networks, Behavioral Scores, Real Time Updating of Scores and Rankings
(Driving Behavior Monitoring from Onboard Sensor's Data, Academic Research
Ranking, etc.);
- Analysis of Retail Contracts, of Balance Sheets Histories, of Investors and
Fund Managers Behavior, of Risk Appetite Indicators Given on Google;
- Contagion and Systemic Risk: How to Structure Large Networks?;
- Regulation in a Large Dataset Environment: Quick Detection of Anomalies,
Control of the Available Information, Technological Risks, Non Regulated Web
Currencies;
- Microprudential Foundations of Macroprudential Regulation;
- Analysis of Markets with Highly Differentiated Products: Pricing the Quality
Characteristics, Hedonic Price Indexes, Application to Markets of Physical Goods
(Real Estate Markets, Art Markets, Commodity Markets, etc.);
- Effect of Big Data on the Organization of the Markets (Web Market Monitoring),
on the Role of Intermediaries (Crowdfunding), on the Product Design (Effect of
an On-Board GPS on the Design and Market of Car Insurance Contracts, etc.);
- High Frequency Data (Asymmetric Information vs Asymmetric Treatment of
Information), Market Microstructure;
- IO Implications of Big Data (Economic Challenges posed by Big Data Access).
PAPER SUBMISSION:
A complete paper in PDF format must be submitted electronically by December 6,
2013 using the submission form.
Click below to submit your paper:
http://www.financialrisksforum.com/risk2014/submit_work.phtml
The results of the selection procedure will be set by mid-January 2014.
For any inquiry: risk(a)institutlouisbachelier.org
EXPENSES:
The Institut Louis Bachelier may cover part of travel and accommodation expenses
for the authors of selected papers (upon request and only for speakers).
Please ignore the first AWG announcement, as the links do not work
properly. Sorry for any inconvenience!
Program and invitation for participation
28th Workshop of the
Austrian Working Group on Banking and Finance
22 and 23 November 2013
Vienna University of Technology
We kindly invite all researchers and practitioners interested in the
field of Banking and Finance to participate in the 28th Workshop of the
Austrian Working Group on Banking and Finance (AWG). The program can be
downloaded from our web site:
http://www.imw.tuwien.ac.at/fc/awg_2013/
Registration
Participation is free. Participants (depart from presenters and a few
people that already indicated their participation) are kindly asked to
register via e-mail to Wolfgang Aussenegg until Tuesday, 19.11.2013:
waussen(a)pop.tuwien.ac.at
Conference Dinner
The conference dinner (sponsored by BWG) takes place at the restaurant
“Gußhaus” (Gußhausstraße 23, 1040 Vienna), starting at 19:30 on Friday,
22.11.2013. We also kindly ask all participants (including presenters)
intending to join us for the conference dinner to register via Doodle
until 19.11.2013. Link to the online survey:
http://doodle.com/5byyzabxs5hrud3e
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Bereich Finanzwirtschaft und Controlling
Technische Universität Wien
(DVR-Nummer 0005886)
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://www.imw.tuwien.ac.at/fc/
Adresse: Theresianumgasse 27
A-1040 Wien
Österreich
*Program and invitation for participation*
*28^th Workshop of the*
*Austrian Working Group on Banking and Finance*
*22 and 23 November 2013*
*Vienna University of Technology*
*http://www.imw.tuwien.ac.at/fc/awg_2013/*
**
We kindly invite all researchers and practitioners interested in the
field of Banking and Finance to participate in the 28th Workshop of the
Austrian Working Group on Banking and Finance (AWG). The program can be
downloaded from our web site:
(*http://www.imw.tuwien.ac.at/fc/awg_2013/*)*.*
*Registration*
Participation is free. Participants (depart from presenters and a few
people that already indicated their participation) are kindly asked to
*register via e-mail* to Wolfgang Aussenegg (*waussen(a)pop.tuwien.ac.at*
<mailto:waussen@pop.tuwien.ac.at>) until Tuesday, 19.11.2013.
*Conference Dinner*
The conference dinner (sponsored by BWG) takes place at the restaurant
"Gußhaus" (Gußhausstraße 23, 1040 Vienna), starting at 19:30 on Friday,
22.11.2013. We also kindly ask all participants (including presenters)
intending to join us for the conference dinner to *register via Doodle*
until 19.11.2013 (link to the online survey:
*http://doodle.com/5byyzabxs5hrud3e*).
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Bereich Finanzwirtschaft und Controlling
Technische Universität Wien
(DVR-Nummer 0005886)
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://www.imw.tuwien.ac.at/fc/
Adresse: Theresianumgasse 27
A-1040 Wien
Österreich
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
(apologies for duplicated mails!)
*************************************************************************
Date: OCTOBER 29 (Tuesday), 2013, 4:00 pm
Location: NOTE! Other than stated in an earlier invitation the public lecture takes
place at Bank Gutmann, Schwarzenbergplatz 16, A-1010 Wien
Speaker: Prof. Suleyman Basak, London Business School and CEPR
http://faculty.london.edu/sbasak/
Title: "The Financialization of Commodities "
ABSTRACT:
A sharp increase in the popularity of commodity investing in the past decade has triggered
an unprecedented inflow of institutional funds into commodity futures markets. Such
financialization of commodities coincided with significant booms and busts in commodity
markets, raising concerns of policymakers. In this talk, I explore the effects of
financialization in a model that features institutional investors alongside traditional futures
markets participants. The institutional investors care about their performance relative to a
commodity index. We find that if a commodity futures is included in the index, supply and
demand shocks specific to that commodity spill over to all other commodity futures markets.
In contrast, supply and demand shocks to a nonindex commodity affect just that commodity
market alone. Moreover, prices and volatilities of all commodity futures go up, but more so
for the index futures than for nonindex ones. Furthermore, financialization - the presence of
institutional investors - leads to an increase in correlations amongst commodity futures as
well as in equity-commodity correlations. Consistent with empirical evidence, the increases
in the correlations between index commodities exceed those for nonindex ones. We perform
a simple calibration and find that financialization accounts for 11% to 17% of commodity
futures prices and the rest is attributable to fundamentals.
About Suleyman Basak:
Dr. Basak is Professor of Finance at London Business School and a Research Fellow to the
Center of Economic Policy Research. He was an Assistant Professor of Finance at the
Wharton School of the University of Pennsylvania, was a visitor at the Graduate School of
Business at the University of Chicago, and acted as a consultant to Goldman, Sachs & Co.
He received his Ph.D. in Financial Economics from Carnegie Mellon University. Dr. Basak´s
research focuses on asset pricing, asset allocation, risk management, market imperfections,
international finance and financial innovation. His work has addressed issues related to
portfolio insurance, VaR-based risk management, benchmarking, credit risk, tax arbitrage,
incentive problems plaguing institutional asset management, and mispricing, arbitrageurs
and monopoly power in financial markets. His research is the recipient of several awards
including the American Association of Individual Investors Award for the Best Paper on
Investments, and the Alexander Henderson Award for Excellence in Economic Theory.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-5238
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management WU (Wirtschaftsuniversität Wien)
Department of Finance, Accounting and Statistics
Sabina Krickl
www.gutmann-center.at