GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: March 27th, 2007, 4.30 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. CHRISTOPHER HENNESSY,
Haas School of Business at the University of California,
Berkeley
http://www.haas.berkeley.edu/faculty/hennessy.html
Title: UNDERSTANDING CORPORATE ANNOUNCEMENT EFFECTS
Abstract:
Empirical evidence indicates that announced changes in corporate
financing and investment policies have statistically significant effects
on stock returns. For example, share prices rise in response to
increased capital expenditures, debt-for-equity substitutions, and share
repurchases. Although these effects are currently understood at a
qualitative level, a quantitative framework is still absent. This talk
will discuss recent efforts at quantitative modeling of the information
content of corporate announcement effects. Implications for asset
pricing and credit default risk are also discussed.
About Christopher Hennessy:
Christopher Hennessy is Associate Professor and Finance Department
Chairman at the Walter A. Haas School of Business at the University of
California, Berkeley. Professor Hennessy received a Master of Public
Affairs Degree from the Woodrow Wilson School and a Ph.D. in Economics
from Princeton University. He was Senior Associate of the Barents Group
of KPMG Peat Marwick. Hennessy's research centers on the effects of
taxes and private information on corporate financing, investment, and
asset prices. His work has been recognized with two Brattle Prizes for
outstanding corporate finance paper published in the Journal of Finance.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
First Announcement
+--------------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+--------------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
Scientific Program:
Mo, Sep. 17th: Educational workshop for Ph.D. students and young postdocs
Tu, Sep. 18th: Scientific conference
We, Sep. 19th: Scientific conference
Tu, Sep. 20th: Scientific conference
Fr, Sep. 21st: Practitioner's day
Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
Prof. Tomas Björk (Stockholm School of Economics)
Prof. Freddy Delbaen (ETH Zürich)
Prof. Ernst Eberlein (Universität Freiburg)
Prof. Damir Filipovic (LMU München)
Prof. Ioannis Karatzas (Columbia University)
Prof. Dmitry Kramkov (Carnegie Mellon University)
Prof. Damien Lamberton (Université de Marne-la-Vallée)
Dr. Marek Musiela (BNP Paribas, London)
Prof. Chris Rogers (University of Cambridge)
Prof. Wolfgang Runggaldier (Università degli Studi di Padova)
Dr. Peter Schaller (Bank Austria Creditanstalt)
Dr. Eva Strasser (JP Morgan)
Prof. Martin Schweizer (ETH Zürich)
Prof. Thaleia Zariphopoulou (University of Texas)
Invited Speakers (confirmed) from the AMaMeF Steering Committee:
(See <http://150.146.2.4/amamef/> for details of the AMaMeF program)
Prof. Ole E. Barndorff-Nielsen (University of Aarhus)
Prof. Lane P. Hughston (King's College London)
Prof. Claudia Klüppelberg (TU München)
Prof. Giulia Di Nunno (University of Oslo)
Prof. Bernt Øksendal (University of Oslo)
Dr. Benedetto Piccoli (Consiglio Nazionale delle Ricerche, Rome)
Prof. Christoph Schwab (ETH Zürich)
Prof. Lukasz Stettner (Polish Academy of Sciences)
Prof. Esko Valkeila (Helsinki University of Technology)
Prof. Michèle Vanmaele (Universiteit Gent)
Prof. Constantin Varsan (Romanian Academy, Bucharest)
Organizing Committee:
Prof. Peter Grandits
Dr. Friedrich Hubalek
Dr. Reinhold Kainhofer
Dr. Johannes Leitner
Prof. Walter Schachermayer
Prof. Uwe Schmock
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
For registration details, conference fees, contributed talks, etc.,
please visit the conference web site at
<http://www.fam.tuwien.ac.at/amamef2007/>, which will be updated
continuously. We are looking forward to welcome you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
P.S.: I apologize for any cross-postings.
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Dear colleague,
the DEADLINE for submission of abstract EMNET 2007 is March 18, 2007.
We want to invite you to the third international conference on Economics
and Management of Networks(EMNet) will that will take place at the Erasmus
University Rotterdam (Rotterdam School of Management), The Netherlands,
from June 28 to June 30, 2007.
Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html.
An edited BOOK with the 20 best papers will be published at
Springer/Physica Verlag.
In addition, a SPECIAL ISSUE with selected papers of the conference
will be published in 'International Studies of Management and
Organization' (editors: George Hendrikse, Josef Windsperger)
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding their
focus on Board of Directors, member interests, member heterogeneity. (Free
sign up as member at www.ernac.net).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna , Center of Business Studies
Please send this announcement also to your colleagues!
Invitation to the VGSF Research Seminar!
This semester the seminar usually takes place on Friday from 15:30 to 17:00
in HS 7 (Bauteil III, 3rd floor) at the BWZ in Brünnerstrasse 72, 1210 Wien.
The detailed seminar schedule and the papers can be found on the
VGSF-website (www.vgsf.ac.at --> Activities --> Research Seminar).
On March 9th there will be TWO (!!!) VGSF research seminars from 14:00 (!!!)
to 17:00:
(A) Prof. Matti Keloharju (Helsinki School of Economics): Sensation Seeking,
Overconfidence, and Trading Activity
ABSTRACT: This study analyzes the role that two psychological
attributessensation seeking and overconfidenceplay in the tendency of
investors to trade stocks. Equity trading data are combined with data from
an investors tax filings, driving record, and psychological profile. We use
the data to construct measures of overconfidence and sensation seeking
tendencies. Controlling for a host of variables, including wealth, income,
age, number of stocks owned, marital status, and occupation, we find that
overconfident investors and those investors most
prone to sensation seeking trade more frequently.
(B) Prof. Laurent Calvet (HEC Paris): Down or Out: Assessing the Welfare
Costs of Household Investment Mistakes
ABSTRACT: This paper investigates the efficiency of household investment
decisions in a unique dataset containing the disaggregated wealth and income
of the entire population of Sweden. The analysis focuses on two main sources
of inefficiency in the financial portfolio: underdiversification of risky
assets (down) and nonparticipation in risky asset markets (out). We find
that while a few households are very poorly diversified, the cost of
diversification mistakes is quite modest for most of the population. For
instance, a majority of participating Swedish households are sufficiently
diversified internationally to outperform the Sharpe ratio of their domestic
stock market. We document that households with greater financial
sophistication tend to invest more efficiently but also more aggressively,
so the welfare cost of portfolio inefficiency tends to be greater for these
households. The welfare cost of nonparticipation is smaller by almost one
half when we take account of the fact that nonparticipants would be unlikely
to invest efficiently if they participated in risky asset markets.
Both professors will be available for individual meetings on Friday before
the seminars. If you would like to meet them, please contact Michael
Halling.
Best,
Michael Halling
The SS 2007 schedule of the VGSF Research Seminar is available on the VGSF
website (www.vgsf.ac.at --> Activities & Events --> Research Seminars). This
semester the seminar is going to take place at the BWZ
(Betriebswirtschaftliches Zentrum der Universität Wien) in Brünnerstrasse
72, 1210 Wien. The seminar's regular lecture room is HS 7 (a detailed map
can be found on the seminar webpage).
If you have further questions, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Hope to see you there,
Michael
Deadline for Submission of Abstract EMNET 2007: March 18, 2007
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html. A book with the 20
best papers will be published at Springer/Physica Verlag.
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding
their focus on Board of Directors, member interests, member
heterogeneity. (Free sign up as member at www.ernac.net
<http://www.ernac.net/>).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna, Center of Business Studies
SUMMER SCHOOL
Quantitative Risk Management
July 5 - 6, 2007
Mathematics Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematics Department of the
Ludwig-Maximilians Universitaet (LMU) of Muenchen on July 5 (13 - 19 h)
and on July 6 (9 - 18 h), 2007. It consists of two mini courses on
* Quantitative Modelling of Operational Risk
* Credit Derivatives and Dynamic Credit Risk Models
held by Prof. P. Embrechts from ETH (Zurich) and Prof. R. Frey
(University of Leipzig). Dr Gerhard Stahl (Federal Financial Supervisory
Authority, Bonn) will also give a special lecture on "Application of
statistical methods in risk management".
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/sschool07.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/regi07.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Professor Pedro Santa-Clara from UCLA is giving a seminar on "Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options" on Friday, January 26th, 2.00-3.30 pm, at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a map). Please find below the paper's abstract.
Best regards,
Youchang Wu
Abstract:
We use a novel pricing model to imply times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. Ex-ante risk differs from realized risk (e.g., the volatility measured from the time series of returns) to the extent that investors at times perceive as probable crashes that end up not happening. We find that both components of risk vary substantially over time, are quite persistent, and correlate with each other and with the stock index. Using a simple general equilibrium model with a CRRA representative investor, we translate the ex-ante risk into an ex-ante risk premium. We find that the average premium that compensates the investor for the ex-ante risks implicit in option prices is 11.8 percent, much higher than the 7.1 percent premium required to compensate the same investor for realized risks. Moreover, the ex-ante equity premium that we uncover is highly volatile, with values between 0.3 and 54.9 percent. The component of the premium that corresponds to jump risk varies between zero and 45.4 percent. Ex-ante risks implicit in option prices justify a higher and more variable equity risk premium than the realized risk would warrant.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Dear colleague,
We wish you a very successful and happy new year. In addition, We want to
invite you to submit your abstract for EMNET 2007 in Rotterdam by February
28 (see http://www.univie.ac.at/EMNET/2007/index2007.html ).
We are looking forward to seeing you in Rotterdam.
Best regards,
George Hendrikse, RSM Erasmus University
Josef Windsperger, University of Vienna