- VFN-L - TU FAM Mailing lists

[VFN] March 27th - Invitation Gutmann Center Public Lecture with Christopher Hennessy, Berkeley
by Gutmann Center-D.Grimm 16 Mar '07

16 Mar '07

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

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[VFN] Conference Adv. Math. Methods for Finance, Sept. 17-22, 2007, Vienna
by Uwe Schmock 13 Mar '07

13 Mar '07

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/>

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[VFN] FINAL Deadline-March 18: ECONOMICS AND MANAGEMENT of NETWORKS (EMNet2007 - Rotterdam)
by Josef Windsperger 12 Mar '07

12 Mar '07

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!

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[VFN] DOUBLE VGSF Research Seminar on Friday March 9th by Matti Keloharju and Laurent Calvet
by Michael Halling 06 Mar '07

06 Mar '07

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

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[VFN] VGSF Research Seminar Schedule for Summer Semester 2007
by Michael Halling 01 Mar '07

01 Mar '07

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

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS (EMNet 2007) - DEADLINE extended: March 18, 2007
by Josef Windsperger 14 Feb '07

14 Feb '07

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

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[VFN] Summer School 2007
by Francesca Biagini 07 Feb '07

07 Feb '07

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/)

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[VFN] VGSF research workshop (Jan 26, 2:00pm !)
by Youchang Wu 23 Jan '07

23 Jan '07

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.

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[VFN] Reminder January 25th Public Lecture with Pedro Santa-Clara " How to Optimize Portfolios with a Large Number of Assets?"
by Gutmann Center-D.Grimm 22 Jan '07

22 Jan '07

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

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[VFN] DEADLINE: ECONOMICS and MANAGEMENT of NETWORKS-Conference: Rotterdam, February 28
by Josef Windsperger 19 Jan '07

19 Jan '07

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

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[VFN] THIS WEEK's SEMINAR IS CANCELLED!!!!
by Alexander Stomper 18 Jan '07

18 Jan '07

Contrary to previous announcements, there will not be a seminar this week. Massimo Massa asked us to cancel his seminar. He is not able to give a talk since he got ill.

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[VFN] Radon Workshop on Financial and Actuarial Mathematics for Young Researchers, Linz, Austria
by Hansjoerg Albrecher 18 Jan '07

18 Jan '07

Please spread the following information via your newsletter! Hansjörg Albrecher Dear colleagues, we would like to bring your attention to the following event: Radon Workshop on Financial and Actuarial Mathematics for Young Researchers Linz, Austria, May 30-31, 2007 This international workshop aims to bring together young researchers, in particular Ph.D. students and Postdocs, working in the field of Financial and Actuarial Mathematics to discuss recent developments in the theory of mathematical finance and insurance and its application to current issues facing the industry. The goal is to promote the exchange of ideas between young scholars in this field. Researchers in all areas of financial and actuarial mathematics are welcome to apply. The workshop is held at the Radon Institute of Computational and Applied Mathematics (RICAM) of the Austrian Academy of Sciences in Linz, Austria. Each participant is supposed to give a talk of 30 minutes length (including discussion). In addition, there will be an opening lecture by Prof. Ralf Korn (Kaiserslautern, Germany) and a closing lecture by Prof. Wim Schoutens (Leuven, Belgium). Since there is no registration fee and for all participants the hotel accomodation will be covered, the number of participants has to be limited to 35. Application for participation including an abstract (length about half a page) for the talk should be sent to fayr07(a)ricam.oeaw.ac.at The closing date for the receipt of applications is March 31, 2007. Notification of acceptance: April 16, 2007. For participants from Eastern Europe, there is a limited number of travel grants available upon application. For further information, please visit the workshop web page at http://www.ricam.oeaw.ac.at/conferences/fayr07/ or contact the organizers Dr. Hansjoerg Albrecher Radon Institute for Computational and Applied Mathematics Austrian Academy of Sciences Altenbergerstrasse 69 tel: +43-732-2468-5247 A-4040 Linz, Austria fax: +43-732-2468-5212 email: hansjoerg.albrecher(a)oeaw.ac.at web: http://www.ricam.oeaw.ac.at/people/page/albrecher and Philipp Mayer Graz University of Technology Steyrergasse 30 tel: +43-316-873-5365 A-8010 Graz, Austria fax: +43-316-873-5369 email: mayer(a)opt.math.tugraz.at web: http://www.opt.math.tugraz.at/~mayer/

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[VFN] Call for Papers Gutmann Center Symposium 2007: Credit Risk and the Management of Fixed-Income Portfolios
by Gutmann Center-D.Grimm 18 Jan '07

18 Jan '07

CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT GUTMANN CENTER SYMPOSIUM 2007: "CREDIT RISK AND THE MANAGEMENT OF FIXED-INCOME PORTFOLIOS" Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at June 1st, 2007 University of Vienna, Austria The Gutmann Center for Portfolio Management at the University of Vienna is proud to announce its fifth annual symposium to be held at the University of Vienna. Topics of this year's symposium include but are not restricted to the following aspects: - corporate bond valuation - corporate bond trading - distressed debt analysis - measuring and pricing default risk - credit derivatives and structured credit products - counterparty risk management - exchange rates, sovereign risk and emerging market debt - leveraged loan indices - project finance and default risk PAPER SUBMISSION: Papers on topics mentioned above should be submitted by email (in Acrobat PDF) not later than March 1st, 2007 to the following address: E-mail: 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, 1210 Wien (Vienna), Austria Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Mail: 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 announced by March 15th, 2007 Submission and participation are free of charge. Presenting authors are invited to apply to Gutmann Center to cover their accommodation and travel expenses.

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[VFN] VGSF Research Seminar (Jan. 12th) by Leopold Sögner
by Michael Halling 10 Jan '07

10 Jan '07

Leopold Sögner from the Vienna University of Technology is giving a VGSF research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 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 detailed plan). Please find the paper's abstract below. Best, Michael Halling ABSTRACT We provide a thorough investigation of the US corporate credit default swap (CDS) market. We take a full parametric approach with an observable, multi-factor, affine reduced-form model that accommodates jumps in the riskless, as well as default-risky discount rates. Our empirical results reveal that a multifactor formulation is imperative for fitting, both, the time-series and in particular the cross-section of CDS premia. Model implied loss given default (LGD) is well identified; it appears to be positively related to a firm's credit quality. Incorporation of jumps significantly improves the model's capability to reproduce the time-series behavior of CDS premia.

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[VFN] Invitation: January 25th - Public Lecture with Pedro Santa-Clara " How to Optimize Portfolios with a Large Number of Assets?"
by Gutmann Center-D.Grimm 08 Jan '07

08 Jan '07

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

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[VFN] Stellenausschreibung für wissenschaftliche/n MitarbeiterIn an der Donau-Universität Krems
by Willibald Gfoehler 14 Dec '06

14 Dec '06

Die Donau-Universität Krems ist Europas einzige staatliche Weiterbildungsuniversität und Österreichs führender Anbieter postgradualer Master-Studien. Mehr als 3.000 Studierende sind in über 120 Universitätslehrgängen eingeschrieben. Zur Verstärkung im Department für Wirtschafts- und Managementwissenschaften/Zentrum für Finance suchen wir ab sofort eine/n engagierte/n Wissenschaftliche/r Mitarbeiter/in 38,5 Stunden pro Woche Ihre Aufgaben: * Mitwirkung bei der Durchführung von Universitätslehrgängen * Betreuung der Studierenden * Unterstützung bei der Planung und Durchführung von Forschungsprojekten Ihr Profil: * abgeschlossenes Hochschulstudium im Bereich Wirtschaftswissenschaften, vorzugsweise mit Schwerpunkt Finanzwirtschaft/Finance * ausgewiesene Kenntnisse in der Finanzwirtschaft/Finance, insbesondere in der empirischen Kapitalmarktforschung * ausgezeichnete Englischkenntnisse * Teamfähigkeit sowie ausgeprägte kommunikative Kompetenzen Ihre Perspektive: Freuen Sie sich auf eine anspruchsvolle Tätigkeit in einem kreativen, hoch motivierten Team. Gestalten Sie mit uns die erfolgreiche Zukunft der jüngsten Universität Österreichs. Wir freuen uns auf Ihre überzeugende Bewerbung! Wenden Sie sich bitte schriftlich bis spätestens 29.12.2006 an die Personalabteilung der Donau-Universität Krems, Dr.-Karl-Dorrek-Straße 30, A-3500 Krems, astrid.adam(a)donau-uni.ac.at

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[VFN] VGSF Research Seminar on Friday, Dec. 15th from 13:00 to 14:30 (CHANGED TIME), by Denis Gromb
by Michael Halling 14 Dec '06

14 Dec '06

Denis Gromb from London Business School is giving a VGSF research seminar on "Financially Constrained Arbitrage and the Cross-section of Market Liquidity" (no paper available) on FRIDAY, Dec. 15th, from 13:00 to 14:30 at the WU Wien (Seminarraum A619 - 6th floor Red Sector, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Denis is going to be in Vienna during the entire week. Please contact Michael Halling if you would like to talk to him. Best, Michael Halling

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[VFN] Scholarships VGSF PhD Program in Finance
by VGSF-D.Grimm 13 Dec '06

13 Dec '06

VIENNA GRADUATE SCHOOL OF FINANCE (VGSF) www.vgsf.ac.at offers PhD SCHOLARSHIPS IN FINANCE INVITATION TO APPLY The Vienna Graduate School of Finance - a joint initiative of the University of Vienna, the Institute for Advanced Studies, Vienna, and the Wirtschaftsuniversität Wien - invites applications for its PhD Program in Finance. The VGSF offers a stimulating learning and research environment plus financial support to outstanding students from around the world. VGSF graduates can look forward to a rewarding career at leading academic institutions. FACULTY The VGSF faculty is very well connected in the academic finance community and complemented by leading international finance scholars. For example, 2006/07 courses will be taught by Tomas Björk, Nicolae Garleanu, Ruey Tsay, Jan Werner, and Toni Whited. In addition, international scholars are regularly invited to present their current research in the VGSF finance research seminar. PROGRAM The VGSF PhD-program in Finance is a four-year program which consists of two years of rigorous coursework and two years work on the PhD-thesis. All courses are taught in English. In addition to excellent language skills, good skills in mathematics and statistics are advantageous to successfully complete the program. APPLICATION The program is open for students from all countries with all academic specializations, provided they hold a Master degree or equivalent and have a sufficient level of formal training. Applicants should take a GRE and/or GMAT and a TOEFL test, and provide proof of basic proficiency in finance and/or economics (based on either the degree they hold or a sample of original written work). The application package must also contain a statement of purpose, as well as copies of any certificates and diplomas obtained during prior studies, along with certified translations into English. Finally, each applicant should arrange for at least two letters of reference to be sent directly to the address below. SCHOLARSHIP Successful applicants will receive financial support. Approximately 4-6 scholarships are offered for the curriculum starting in September 2007. Please send your application package no later than February 15th, 2007, to the following address: VGSF - Prof. Dr. Josef Zechner University of Vienna, Department of Finance, Brünnerstrasse 72, 1210 Vienna (Wien), Austria. FOR FURTHER DETAILS AND AN APPLICATION FORM PLEASE SEE: http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at

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[VFN] Guest Lecture: professor Gang Yi
by Youchang Wu 02 Dec '06

02 Dec '06

Department of Finance at the University of Vienna invites participation in Guest Lecture on China's Macroeconomy and Monetary Policy under Globalization Speaker: Prof. Dr. Gang Yi, assistant governor of People's Bank of China, professor of economics at Beijing University Time: Dec. 4th (Monday), 2006. 11:00-12:30 Location: Palais Coburg, Coburgbastei 4/1, Vienna (ISK wien) about Prof. Gang Yi: Gang Yi is assistant governor of People's Bank of China (the central bank of China) and professor of economics at Beijing University. Professor Yi holds a Ph.D in economics from University of Illinois. Before returning to China in 1994, he was associated professor (with tenure) at Indiana University, Indianapolis. His research focuses on macroeconomy, monetary policy and financial markets. Best regards, Youchang Wu

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[VFN] Reminder: Talk on Dec 5th with P. Bossaerts on "NEURO-FINANCE"
by Gutmann Center-D.Grimm 30 Nov '06

30 Nov '06

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: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology (Caltech) http://www.hss.caltech.edu/~pbs/ Title: NEURO-FINANCE Abstract: Finance has always treated humans as black boxes, whereby behavioral rules are either imposed by decision theory (neoclassical finance) or derived from observation of actual or hypothetical choice (behavioral finance). In contrast, neuro-finance attempts to understand behavior by examining the physiological processes in the human brain when exposed to financial risk. The talk will illustrate this with the recent discovery that the brain analyzes monetary gambles by separately encoding their expected payoff and the payoff variance (even when subjects have never heard of these concepts). As such the brain uses the same inputs as Markowitz' portfolio theory. This is in sharp contrast with economics (which includes Prospect Theory), which represents desirability of gambles through scores on a single-dimensional utility scale. About Peter Bossaerts: Peter Bossaerts is William D. Hacker Professor of Economics and Management and Professor of Finance at the California Institute of Technology (Caltech). At present, he is at the Université de Lausanne as Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD in Management (Finance) from UCLA. His current research area is experimental finance, in particular, neuro-finance. He investigates cognitive biases and their impact on asset prices, through observation of individual behavior, observation of price formation in large-scale experimental financial markets, and through analysis of brain activation while individuals face financial risk. 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

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[VFN] VGSF Research Seminar on Friday, Dec. 1st, by Peter Bossaerts
by Michael Halling 29 Nov '06

29 Nov '06

Peter Bossaerts from CalTech (California Institute of Technology) is giving a VGSF research seminar on "EQUILIBRATION UNDER COMPETITION IN SMALLS: THEORY AND EXPERIMENTAL EVIDENCE" on FRIDAY, Dec. 1st, from 15:30 to 17:00 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 detailed plan). Please find the paper's abstract below. Peter is going to be in Vienna on Monday and Tuesday (Dec. 4th and 5th). Please contact Michael Halling if you would like to talk to Peter. Best, Michael Halling Abstract Many real-world markets are competitive only in smalls, taken to mean that price taking applies only to small orders. Starting from this observation, a theory of equilibration is derived where orders are optimal merely in a local sense. Prices are assumed to adjust in the direction of the order imbalance. In the context of financial markets populated with mean-variance optimizing agents, the theory predicts that a security's price will correlate with excess demands in other securities, and the sign of this correlation is the same as that of the covariance of the final payoffs. In the short run, prices tend to a local equilibrium where the risk-aversion weighted endowment portfolio (RAWE) is mean-variance optimal. Relative to the market portfolio, RAWE overweighs securities that are held disproportionally by more risk averse agents; RAWE puts less weight on securities that are held primarily by more risk tolerant agents. Throughout equilibration, portfolio separation is violated generically, and violations are more extreme when payoff covariances are positive. For a variety of patterns of initial allocations (including identical initial holdings), the equity premium is larger at the outset than at (CAPM) equilibrium. All these implications are confirmed in experiments.

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[VFN] VGSF Research Seminar on Friday, Nov. 24th, by Youchang Wu
by Michael Halling 23 Nov '06

23 Nov '06

Youchang Wu from the University of Vienna is giving a VGSF research seminar on "Intermediated Investment Management" on FRIDAY, Nov. 24th, from 15:30 to 17:00 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 detailed plan). Please find the paper's abstract below. Best, Michael Halling Abstract Investment advisers perform the role of assisting clients with their investments and distributing portfolio management services. While the vast majority of clients employ advisory services, an important issue is how well advisers perform in this capacity. Our theoretical model analyzes the impacts on portfolio performance, fund flows, fund sizes and welfare from the use of advisers. An important aspect of our analysis is the extent to which conflicts of interest such as influence activity can bias the asset allocation decisions of advisers. Interestingly advisory services are utilized to a greater extent under this circumstance. We show that investment advisers help to improve social welfare, but much of the welfare gain is extracted by the portfolio manager. When influence activity is feasible, investors welfare is adversely affected by the presence of advisers.

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[VFN] Job Opening at the Department of Finance (Prof. Zechner), University of Vienna
by Gutmann Center-D.Grimm 20 Nov '06

20 Nov '06

A doctoral position ("Wissenschaftlicher MitarbeiterIn in Ausbildung") is available at the Department of Finance (Prof. Zechner). The first contract would be until July 31st 2007 but there is a significant chance that the contract can be extended. Interested candidates should apply at Personalabteilung <http://www.univie.ac.at/personalabteilung> der Universität Wien <http://www.univie.ac.at/>, Dr. Karl Lueger-Ring 1, A-1010 Wien. *Kennzahl: 37565/MB*** *Prerequisite for Employment:* Degree in Business Administration or Economics (Diplom- oder Magistergrad). Please observe the SHORT DEADLINE: November 27^th , 2006 For more information you may contact Martina Schlichting University of Vienna Department of Finance Brünner Straße 72 1210 Vienna Austria Tel.: +43 (0)1 4277-38072 Fax: +43 (0)1 4277-38074 E-Mail: martina.schlichting(a)univie.ac.at <mailto:martina.schlichting@univie.ac.at> www.univie.ac.at/finance

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[VFN] Invitation Dec. 5th: Public Lecture with Peter Bossaerts on "Neuro-Finance"
by Gutmann Center-D.Grimm 20 Nov '06

20 Nov '06

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: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology (Caltech) http://www.hss.caltech.edu/~pbs/ Title: NEURO-FINANCE Abstract: Finance has always treated humans as black boxes, whereby behavioral rules are either imposed by decision theory (neoclassical finance) or derived from observation of actual or hypothetical choice (behavioral finance). In contrast, neuro-finance attempts to understand behavior by examining the physiological processes in the human brain when exposed to financial risk. The talk will illustrate this with the recent discovery that the brain analyzes monetary gambles by separately encoding their expected payoff and the payoff variance (even when subjects have never heard of these concepts). As such the brain uses the same inputs as Markowitz' portfolio theory. This is in sharp contrast with economics (which includes Prospect Theory), which represents desirability of gambles through scores on a single-dimensional utility scale. About Peter Bossaerts: Peter Bossaerts is William D. Hacker Professor of Economics and Management and Professor of Finance at the California Institute of Technology (Caltech). At present, he is at the Université de Lausanne as Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD in Management (Finance) from UCLA. His current research area is experimental finance, in particular, neuro-finance. He investigates cognitive biases and their impact on asset prices, through observation of individual behavior, observation of price formation in large-scale experimental financial markets, and through analysis of brain activation while individuals face financial risk. 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

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[VFN] Stellenausschreibung, Bereich Finanzwirtschaft und Controlling (Inst. für Managementwissenschaften), TU-Wien
by Wolfgang Aussenegg 15 Nov '06

15 Nov '06

AUSSCHREIBUNG An der TU-Wien (Bereich Finanzwirtschaft und Controlling*, http://www.imw.tuwien.ac.at/fc/*) sind (bis *22.11.2006*) 2 Assistentenstellen ausgeschrieben. Details siehe unten: *1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20 Wochenstunden, Karenzvertretung) am Institut für Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling (http://www.imw.tuwien.ac.at/fc/), ab sofort für die Dauer der Karenz (voraussichtlich 2 Jahre) *_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl. Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges Universitätsstudium im In- oder Ausland _Sonstige Voraussetzungen:_ Kenntnisse in *Informatik, Finanzwirtschaft* _Bewerbungsfrist:_ bis 22.11.2006 Bewerbungen schriftlich an die Personalabteilung für das wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13, 1040 Wien, mit den üblichen Bewerbungsunterlagen. *1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20 Wochenstunden, Karenzvertretung) am Institut für Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling** (http://www.imw.tuwien.ac.at/fc/)**, ab sofort für die Dauer der Karenz** (voraussichtlich 2 Jahre)* _Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl. Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges Universitätsstudium im In- oder Ausland _Sonstige Voraussetzungen:_ Kenntnisse in *internationaler Rechnungslegung, Finanzwirtschaf*t _Bewerbungsfrist:_ bis 22.11.2006 Bewerbungen schriftlich an die Personalabteilung für das wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13, 1040 Wien, mit den üblichen Bewerbungsunterlagen. Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg (Email: waussen(a)pop.tuwien.ac.at) zur Verfügung. Mit freundlichen Grüßen, Wolfgang Aussenegg -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Managementwissenschaften Bereich Finanzwirtschaft und Controlling Technische Universität Wien Phone: +43-1-58801 - 33082 Fax: +43-1-58801 - 33098 E-mail: waussen(a)pop.tuwien.ac.at Web: http://info.tuwien.ac.at/E330/ Adresse: Favoritenstraße 9-11 A-1040 Wien Österreich

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[VFN] VGSF Research Seminar on Friday, Nov. 17th, by Nicole Branger
by Michael Halling 14 Nov '06

14 Nov '06

Prof. Nicole Branger from the University of Muenster is giving a VGSF research seminar on "Rational Laymen versus Over-Confident Experts: Who Survives in the Long Run?" on FRIDAY, Nov. 17th, from 15:30 to 17:00 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 detailed plan). Please find the paper's abstract below. Nicole is going to be available for meetings on Friday. If you are interested, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract In this paper we study the equilibrium in a heterogeneous economy with two groups of investors. Over-confident experts incorrectly assume that their signal for the drift of the dividend process is correlated with the true drift, but interpret the signal otherwise perfectly. Rational laymen avoid the experts' error, but their signal is noisier than that received by the experts. We investigate which of these two problems is more severe by computing long-run equilibrium consumption shares for the two groups. Our results indicate that overconfidence might be a more serious problem than limited information processing capability.

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[VFN] CONTINUOUS TIME FINANCE Workshop (fwd)
by Andreas Schamanek 07 Nov '06

07 Nov '06

---------- Forwarded message ---------- Date: Tue, 7 Nov 2006 09:50:57 -0000 From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk> Subject: CONTINUOUS TIME FINANCE Workshop Dear list, we are pleased to announce the following workshop: 1. CONTINUOUS TIME FINANCE CONTINUOUS TIME FINANCE 27-29 November 2006, Brunel University, West London, UK ( http://www.unicom.co.uk/finance ) Background Three-day workshop presented by Dr Paresh Date and Mr Luka Jalen, CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling Applications, Brunel University Whether it is mergers and acquisitions, derivative asset pricing, optimal portfolio choice or risk management, success in modern finance is unthinkable without a solid grasp of mathematics. Continuous time models now play a central role in pricing of financial assets under more challenging circumstances than can be handled with discrete time models. This course introduces models in continuous time and the advanced mathematics required for their analysis such as stochastic analysis (Brownian motion), partial differential equations and martingale measures, and shows how these can be used for asset and derivative valuation in continuous time. Given the fast pace of development of finance theory and product innovation in recent times, the course will be of great value to banking professionals who want to learn basic modeling and pricing methods in investment banking as well as to graduate students starting their doctoral studies in finance. Course Outline Day 1 o Introduction to stochastic calculus Wiener processes Linear stochastic differential equations: asset price dynamics Ito's lemma o Introduction to Splus for mathematical finance Writing functions Random number generation and generating sample paths Day 2 o Introduction to pricing and hedging of derivatives Pricing of futures contracts Hedging using futures European Option payoffs and hedging using options Black-Scholes formula Delta hedging o Pricing European options using Monte Carlo in Splus Day 3 o Stochastic interest rate models Spot rates, forward rates and arbitrage Bond prices and yield curve Short rate models, Vasicek model o Calibration of Vasicek model from real yield data using Splus Each day will include hands-on demonstrations of Splus Benefits of Attending You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the worlds leading educational institutions. The target audience Graduate students who are starting their doctoral studies in finance PhD Research Students Academics Banking professionals who want to learn basic modeling and pricing methods in investment banking. This workshop is organized by The Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA) at Brunel University and managed by UNICOM Seminars. It takes place at Brunel University campus, West London. For further details please go to www.unicom.co.uk/finance or email info(a)unicom.co.uk for a PDF flier. Alternatively you may telephone UNICOM on +44 1895 256 484 for further information. We look forward to welcoming you to the CONTINUOUS TIME FINANCE, 27-29 November 2006; please also make your colleagues aware of it. ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Uxbridge, UB8 3PH United Kingdom Email: xiaochen.sun (at) brunel.ac.uk http://optirisk.googlepages.com/ http://people.brunel.ac.uk/~mapgxcs Blog: http://mam3xs.blogspot.com Tel: (+44) (0)1895 265625 Mobile: (+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] VGSF Research Seminar on Friday, Nov. 3rd, by Dirk Hackbarth
by Michael Halling 31 Oct '06

31 Oct '06

Prof. Dirk Hackbarth from Washington University in St. Louis is giving a VGSF research seminar on "Corporate Bond Credit Spreads and Forecast Dispersion" on FRIDAY, Nov. 3rd, from 15:30 to 17:00 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 detailed plan). Please find the paper's abstract below. Dirk asked me NOT to put his paper onto our webpage. If you want to get the paper, please contact me via email and I send it to you. Dirk is going to be available for meetings on Friday. If you are interested, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract Recent research establishes a negative relation between stock returns and dispersion of analysts' earnings forecasts, arguing that, due to short-sale constraints in equity markets, asset prices more reflect the views of optimistic investors. In this article, we examine whether a similar effect prevails in corporate bond markets. After controlling for common bond-level, firm-level, and macroeconomic variables, we find evidence that bonds of firms with higher dispersion demand significantly higher credit spreads than otherwise similar bonds and that changes in dispersion reliably predict changes in credit spreads. We argue the dominating effect of dispersion is to proxy for future cash flow uncertainty due to the limited role of short-sale constraints in corporate bond markets.

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[VFN] VGSF Research Seminar by Prof. Will Goetzmann, TUESDAY Oct. 31st from 15:30 to 17:00
by Michael Halling 25 Oct '06

25 Oct '06

Prof. Will Goetzmann from Yale University is giving a VGSF research seminar on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from 15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like to meet him and to discuss your research with him, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract We estimate preferences toward risk of investors in growth and value stock indices, which represent two widely followed investment styles. We find differences in risk preferences for the two clienteles. Value investors are more averse to risk, while growth investors are more willing to accept risk. Estimated preferences also exhibit different time series patterns. Risk preferences of value investors show stronger persistence in the time series during our time period. This is consistent with investors in value stocks being a more stable clientele. We find evidence that indicates the presence of switchers-investors who move funds between the two styles. Switchers react to returns on the styles, and also react to changes in risk of the styles. Further, we construct trading strategies in the value growth index options markets and find that the strategies generate positive returns. Overall, the evidence is consistent with the hypothesis that different clienteles, characterized by differences in risk preferences and trading habits, exist. Further, trading strategies can be formed to exploit the existence of clienteles.

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[VFN] Reminder: Oct. 30th Public Lecture with Will Goetzmann "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 24 Oct '06

24 Oct '06

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: OCTOBER 30th, 2006 (Monday), 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management - International Center for Finance; Harvard Business School http://viking.som.yale.edu/ Title: LESSONS FROM HEDGE FUND REGISTRATION Abstract: In February, 2006, hedge funds operating in the U.S. were required to register with the Securities and Exchange Commission. This paper addresses the question of the relevance of the information contained in these filings. We find that hedge funds filing with the SEC had better past performance and more assets than non-filers - supporting the assertion that filing is a potential signal of quality. We also find a strong positive association between potential conflicts and past legal and regulatory problems - supporting that SEC filings provides information relevant to detecting operational risk. Finally we find that while information contained in SEC filings may be redundant to some market participants such as creditors, it may be very useful to hedge fund investors. About William N. Goetzmann: Will Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies and Director of the International Center for Finance at the Yale School of Management. He is an expert on a diverse range of investments, including stocks, hedge funds, mutual funds, real estate, and paintings. His research topics include global investing, forecasting stock markets, selecting mutual fund managers, housing as investment, and the risk and return of art. His work has been featured in the Wall Street Journal, the New York Times, Business Week, the Economist, Forbes, and Art and Auction. Professor Goetzmann has a background in arts and media management. As a documentary film-maker, he has written and co-produced programs for "Nova" and the "American Masters" series, including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann co-authored the award winning book, The West of the Imagination. 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

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[VFN] Euro Prag
by Feichtinger, Gustav 20 Oct '06

20 Oct '06

Dear colleague: I would like to invite you to participate and give us a presentation in the Stream "Dynamics and Control of Economic Processes" at the 22nd European Conference on Operational Research, which will take place in Prague, capital of the Czech Republic, from July 8-11, 2007. Perhaps you are also interested in organizing a Session in this stream (containing 3-4 papers) related to a topic of your research fields in the area of Dynamical Systems. If you are interested, please send us the name of your possible session(s), and your data. You can find information about the related areas and contacts on the conference web page: http://euro2007.vse.cz/. In this week, the Invited Streams will be inserted into the Electronical Submission system of the conference; then, your possible Invited Session could become added there, before the abstract submission of will start. With friendly regards and best wishes, Gustav Feichtinger

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[VFN] Stellenausschreibung wiss. MA, Institut fuer OR, WU Wien
by Michaela Nettekoven 19 Oct '06

19 Oct '06

Im *Institut für Quantitative BWL und Operations Research *ist voraussichtlich ab 18. Februar 2007 bis 31. August 2009 die Stelle eines wissenschaftlichen Mitarbeiters/einer wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt, zu besetzen. Wir weisen Sie darauf hin, dass der WU-Entwicklungsplan für wissenschaftliche Mitarbeiter/ wissenschaftliche Mitarbeiterinnen eine maximale Befristungsdauer von 4 Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die 4 Jahre fehlende Zeit eingestellt werden. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in, abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften und/oder Mathematik und/oder Wirtschaftsingenieurwesen bzw. gleichzuhaltende Qualifikation Erwünschte Kenntnisse und Qualifikationen: Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung, gegebenenfalls Operations Research) und Forschung des Instituts; Mitbetreuung der Telematik-Plattform "learn@wu"; Mitarbeit im organisatorisch-administrativen Bereich (insbesondere Prüfungsadministration)* Kennzahl: 69748* 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: 8. November 2006 Bitte die Kennzahl unbedingt anführen! Der Rektor: o. Univ.Prof. Dr. Christoph Badelt Link: http://www.wu-wien.ac.at/start/jobs/ausschrwisspers#w168 MfG M. Nettekoven -- ------------------------------------------------------------- Univ.-Ass. Dr. Michaela Nettekoven Wirtschaftsuniversitaet Wien Institut für Quantitative Betriebswirtschaftslehre und Operations Research UZA 4, 4. Stock, Bauteil D Nordbergstraße 15, A - 1090 Wien Tel.: +43-1-31336-4561, Fax: +43-1-31336-708 Email: michaela.nettekoven(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/or/>

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[VFN] VGSF Research Seminar by Marcin Kacperczyk (UBC) on MONDAY, Oct. 16th
by Michael Halling 13 Oct '06

13 Oct '06

Prof. Marcin Kacperczyk from UBC is giving a VGSF research seminar on "Labor Unions, Operating Leverage, and Expected Stock Returns" on MONDAY, October 16th, from 16:30 to 18:00 at the WU Wien (UZA 4, Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Marcin is going to be in Vienna on Monday. If you like to meet him and to discuss your research with him, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract We examine the effect of an important friction in the labor market, that generated by labor unions, on the cross-section of expected stock returns. We hypothesize that labor unions increase expected stock returns by increasing firms share of fixed labor costs in total labor costs and thus their operating leverage. Consistent with our hypothesis, we find that expected returns are higher for firms in more unionized industries and that the effect is stronger when unions face a more favorable bargaining environment. Furthermore, using instrumental-variables techniques we establish a causal link from unionization to expected returns. Finally, we provide evidence that unions increase expected returns through the operating leverage channel. Overall, our findings underline the importance of labor markets imperfections in understanding cross-sectional variation in expected returns.

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[VFN] VGSF Research Seminar in cooperation with AND AT the OeNB, Oct. 13th 2006, Prof. Xavier Freixas
by Michael Halling 11 Oct '06

11 Oct '06

Prof. Xavier Freixas from Universitat Pompeu Fabra, Barcelona, is giving a VGSF research seminar in cooperation with the "Oesterreichischen Nationalbank" (Austrian Central Bank) on "How Can Emerging Market Economies Benefit from a Corporate Bond Market?" on FRIDAY, October 13th, from 15:30 to 17:00 at the "Oesterreichische Nationalbank" (!!!), Otto-Wagner-Platz 3, 1090 Wien, Veranstaltungssaal, Erdgeschoss. Unfortunately, lastest versions of the paper or the abstract are not available. Note again the CHANGED LOCATION as this seminar takes place at the "Oesterreichische Nationalbank". Best, Michael Halling

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[VFN] Invitation October 30th Public Lecture with Will Goetzmann: "Lessons from Hedge Fund Registration"
by Gutmann Center-D.Grimm 10 Oct '06

10 Oct '06

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: OCTOBER 30th, 2006 (Monday), 4.00 pm Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management - International Center for Finance; Harvard Business School http://viking.som.yale.edu/ Title: LESSONS FROM HEDGE FUND REGISTRATION Abstract: In February, 2006, hedge funds operating in the U.S. were required to register with the Securities and Exchange Commission. This paper addresses the question of the relevance of the information contained in these filings. We find that hedge funds filing with the SEC had better past performance and more assets than non-filers - supporting the assertion that filing is a potential signal of quality. We also find a strong positive association between potential conflicts and past legal and regulatory problems - supporting that SEC filings provides information relevant to detecting operational risk. Finally we find that while information contained in SEC filings may be redundant to some market participants such as creditors, it may be very useful to hedge fund investors. About William N. Goetzmann: Will Goetzmann is the Edwin J. Beinecke Professor of Finance and Management Studies and Director of the International Center for Finance at the Yale School of Management. He is an expert on a diverse range of investments, including stocks, hedge funds, mutual funds, real estate, and paintings. His research topics include global investing, forecasting stock markets, selecting mutual fund managers, housing as investment, and the risk and return of art. His work has been featured in the Wall Street Journal, the New York Times, Business Week, the Economist, Forbes, and Art and Auction. Professor Goetzmann has a background in arts and media management. As a documentary film-maker, he has written and co-produced programs for "Nova" and the "American Masters" series, including a profile of the artist Thomas Eakins. A former director of Denver's Museum of Western Art, Professor Goetzmann co-authored the award winning book, The West of the Imagination. 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

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[VFN] EMNet2007, Erasmus University Rotterdam, CALL for Papers - REVISED version
by Windsperger Josef 08 Oct '06

08 Oct '06

Dear colleague, unfortunately, the link of the 'response form' of the call for paper 'EMNet2007' was incorrect. Below is the final revised form. CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS will be held at the Rotterdam School of Management, Erasmus University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. The purpose of the conference is to provide an international discussion forum for research in economics and management of networks. Theoretical, conceptual and empirical papers from all areas in economics and management of franchising, cooperatives, joint ventures, licensing, strategic alliances, venture capital relations, virtual networks and other hybrids, are invited. Procedures for Submitting Papers Authors who want to present a paper should submit an abstract (1 page) and return the response form (published under http://www.univie.ac.at/EMNET ) as soon as possible, but not later than February 28, 2007. Please e-mail the response form to: George W.J. Hendrikse (ghendrikse(a)rsm.nl) Rotterdam School of Management, Erasmus University Rotterdam PO Box 1738, Office T08-56 3000 DR Rotterdam, The Netherlands and Josef Windsperger (josef.windsperger(a)univie.ac.at) University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna, Austria Conference Fees: 190 EUR (including lunch, dinner and coffee breaks) Researchers from non-EU Eastern European countries, less developed countries and PhD students are requested to pay 120 EUR. Conference information can be found at the conference web page: http://www.univie.ac.at/EMNET/ Electronic conference proceedings and an edited book will be published. Important Deadlines: February 28, 2007 Abstract and response form MARCH 31, 2007 Confirmation of acceptance of the proposal MAY 15, 2007 Conference registration and payment of the conference fee MAY 31, 2007 One copy of the paper through e-mail to George Hendrikse and Josef Windsperger JUNE 15, 2007 Final program available ( http://www.univie.ac.at/EMNET ) Organizing Committee George Hendrikse (chairman), RSM, Erasmus University Rotterdam Josef Windsperger, University of Vienna Tao Jiang, RSM Li Feng, RSM Bart Dietz, RSM Decia Jansen, RSM Scientific Committee Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida, USA Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain Paolo F. Azevedo, National Distance University, Madrid, Spain Eric Brousseau, Université de Paris X, Nanterre, France Jenny Buchan, University of New South Wales, Sydney, Australia Gerard Cliquet, Université de Rennes 1, France Rajiv P. Dant, University of South Florida, Tampa, USA Thomas Ehrmann, Universität Münster, Germany Lorelle Frazer, Griffith University, Meadowbrook, Australia Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université Lumiere-Lyon 2, France Anna Grandori, Bocconi Univeristy, Milan, Italy John Hagedoorrn, Universiteit Maastricht, Maastricht, NL George Hendrikse, Erasmus University Rotterdam, NL Liesbeth Kneppers, University of Groningen, NL Claude Menard, Centre ATOM, Université de Paris 1, France Tahir M. Nisar, University of Southhampton, Southhampton, UK Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1 (Sorbonne), France Aric Rindfleisch, University of Wisconsin-Madison, USA Vivian L.S. Silva, University of Sao Paolo, Brazil Brian Silverman, Rotman School of Management, University of Toronto, Toronto, USA Bernard L. Simonin, Tufts University, Medford, USA Andrew Terry, University of New South Wales, Australia Mika Tuunanen, University of Kuopio, Finland Windsperger Josef, University of Vienna, Austria) -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] EMNet2007,Erasmus University Rotterdam,CALL for Papers
by Windsperger Josef 08 Oct '06

08 Oct '06

CALL FOR PAPERS - EMNet 2007, Erasmus University Rotterdam The third international conference on ECONOMICS AND MANAGEMENT OF NETWORKS will be held at the Rotterdam School of Management, Erasmus University Rotterdam, from June 28 to June 30, 2007, in Rotterdam, The Netherlands. The purpose of the conference is to provide an international discussion forum for research in economics and management of networks. Theoretical, conceptual and empirical papers from all areas in economics and management of franchising, cooperatives, joint ventures, licensing, strategic alliances, venture capital relations, virtual networks and other hybrids, are invited. FRANCHISING COOPERATIVES JOINT VENTURES STRATEGIC ALLIANCES LICENCING VENTURE CAPITAL RELATIONS VIRTUAL NETWORKS OTHER NETWORK FORMS Relevant topics that are related to these network forms include those listed below: Theoretical Views on Networks Governance Organization Design and Decision Rights Economics & Law and Regulation Knowledge Management Issues Strategic Management Ownership and Incentives Organizational Behavior Industry Studies International Management IT and Networks Comparative Institutional Analysis Marketing and Distribution Channel International Market Entry Entrepreneurship and Innovation Competition between Network Forms Procedures for Submitting Papers Authors who want to present a paper should submit an abstract (1 page) and return the response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> as soon as possible, but not later than February 28, 2007. Please e-mail the response form <http://www.univie.ac.at/EMNET/2005/registration_form.htm> to: George W.J. Hendrikse (ghendrikse(a)rsm.nl) Rotterdam School of Management, Erasmus University Rotterdam PO Box 1738, Office T08-56 3000 DR Rotterdam, The Netherlands and Josef Windsperger (josef.windsperger(a)univie.ac.at) University of Vienna Center for Business Studies Brünner Str. 72 A-1210 Vienna, Austria Conference Fees: 190 EUR (including lunch, dinner and coffee breaks) Researchers from non-EU Eastern European countries, less developed countries and PhD students are requested to pay 120 EUR. Conference information can be found at the conference web page: www.univie.ac.at/EMNET/ <http://www.univie.ac.at/EMNET> Electronic conference proceedings and an edited book will be published. Important Deadlines: February 28, 2007 Abstract and response form MARCH 31, 2007 Confirmation of acceptance of the proposal MAY 15, 2007 Conference registration and payment of the conference fee MAY 31, 2007 One copy of the paper through e-mail to George Hendrikse and Josef Windsperger JUNE 15, 2007 Final program available (www.univie.ac.at/EMNET <http://www.univie.ac.at/EMNET>) Organizing Committee George Hendrikse (chairman), RSM, Erasmus University Rotterdam Josef Windsperger, University of Vienna Tao Jiang, RSM Li Feng, RSM Bart Dietz, RSM Decia Jansen, RSM Scientific Committee Ilan Alon, Rollins College, Crummer Graduate School of Business, Florida, USA Carlos Fdez. De Arroyabe, ESIC, Madrid, Spain Benito Arrunada, Universitat Pompeu Fabra, Barcelona, Spain Paolo F. Azevedo, National Distance University, Madrid, Spain Eric Brousseau, Université de Paris X, Nanterre, France Jenny Buchan, University of New South Wales, Sydney, Australia Gerard Cliquet, Université de Rennes 1, France Rajiv P. Dant, University of South Florida, Tampa, USA Thomas Ehrmann, Universität Münster, Germany Lorelle Frazer, Griffith University, Meadowbrook, Australia Pierre Garrouste, Centre ATOM, Université de Paris 1 and Université Lumiere-Lyon 2, France Anna Grandori, Bocconi Univeristy, Milan, Italy John Hagedoorrn, Universiteit Maastricht, Maastricht, NL George Hendrikse, Erasmus University Rotterdam, NL Liesbeth Kneppers, University of Groningen, NL Claude Menard, Centre ATOM, Université de Paris 1, France Tahir M. Nisar, University of Southhampton, Southhampton, UK Emmanuel Raynaud, INRA SADAPT & Centre ATOM, Université de Paris 1 (Sorbonne), France Aric Rindfleisch, University of Wisconsin-Madison, USA Vivian L.S. Silva, University of Sao Paolo, Brazil Brian Silverman, Rotman School of Management, University of Toronto, Toronto, USA Bernard L. Simonin, Tufts University, Medford, USA Andrew Terry, University of New South Wales, Australia Mika Tuunanen, University of Kuopio, Finland Windsperger Josef, University of Vienna, Austria) -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] EXTRA VGSF Research Seminar on MONDAY (!!!) Oct. 9th from 16:30 to 18:00
by Michael Halling 06 Oct '06

06 Oct '06

Prof. Ashley Wang from UC Irvine is giving a VGSF research seminar on "Asset Pricing and Mispricing" on MONDAY, October 9th, from 16:30 to 18:00 at the WU Wien (Seminarraum A. 619, UZA 4, 6. Stock, Block A, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Ashley is going to be in Vienna on Monday. If you like to meet her and to discuss your research with her, please contact Michael Halling (michael.halling(a)univie.ac.at). Best, Michael Halling Abstract In this paper we develop models for stock returns when stock prices are subject to stochastic mispricing errors. We show that expected rates of return depend not only on the fundamental risk that is captured by a standard asset pricing model, but also on the type and degree of asset mispricing, even when the mispricing is zero on average. Empirically, the mispricing induced return bias, proxied either by Kalman filter estimates or by volatility and variance ratio of residual returns, are shown to be significantly associated with realized risk adjusted returns.

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[VFN] VGSF Research Seminar: Friday Oct. 6th by Peter Swan
by Michael Halling 03 Oct '06

03 Oct '06

Prof. Peter Swan from the University of New South Wales is giving a VGSF research seminar on "OPTIMAL PORTFOLIO BALANCING UNDER CONVENTIONAL PREFERENCES AND TRANSACTION COSTS EXPLAINS THE EQUITY PREMIUM PUZZLE" on FRIDAY, October 6th, from 15:30 to 17:00 at the WU Wien (UZA 4, Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). Please find the paper's abstract below. Peter is going to be in Vienna on Friday. If you like to meet him and to discuss your research with him, please contact Alex Stomper (stomper(a)ihs.ac.at). Best, Michael Halling Abstract Adding a motivation for trading due to endowment differences to the standard assumptions of asset pricing, we investigate the impact of a variety of impediments to trade including transactions costs and illiquidity due to small participant numbers. We calibrate to observed activity levels, returns, transaction costs and volatility in equity and bond markets to show that equity investors benefit from the ability to trade freely, and thus require a high return of 6 to 8% pa for bearing even modest transactional charges of 0.5%. Our findings are consistent with most empirical facts and explain a number of anomalies in addition to the equity premium puzzle.

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[VFN] Workshop Risikomanagement - Final Call for Papers
by mhanke＠wu-wien.ac.at 02 Oct '06

02 Oct '06

Am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum Thema Risikomanagement statt. Papers können noch bis spätestens 11. Oktober eingereicht werden. Den CFP und weitere Informationen finden Sie unter http://www.uibk.ac.at/congress/krm/krm.html Beste Grüße aus Tirol, Michael Hanke

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[VFN] Next semester's VGSF Research Seminar
by Michael Halling 21 Sep '06

21 Sep '06

The preliminary schedule of the VGSF Research Seminar for the coming semester can be found on the VGSF website (www.vgsf.ac.at-->Activities and Events-->Research Seminars). This semester's seminars are going to take place at the WU Wien (UZA 4, Nordbergstrasse 15, 1090 Wien, Room D204, 2. Obergeschoß, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed plan). The only exception is Xavier Freixas's seminar which is co-organized and hosted by the Austrian Central Bank. The seminar is going to take place, as usual, on Fridays from 15:30 to 17:00. Due to visitors' time constraints, however, individual seminars might take place on different days (and different seminar rooms at the WU Wien). These seminars are appropriately highlighted on the webpage. Seminar speakers are going to include Peter Swan, Ashley Wang, Xavier Freixas, Marcin Kacperczyk, Will Goetzman, Dirk Hackbarth, Erik Theissen, Nicole Branger, Peter Bossaerts and Denis Gromb. If you have further questions regarding the seminar, please contact michael.halling(a)univie.ac.at. Kind Regards, Michael Halling

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[VFN] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 13 Sep '06

13 Sep '06

Sehr geehrte Damen und Herren, ich darf Sie auf folgende Veranstaltung aufmerksam machen: 21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 24. / 25. November 2006 ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT Last CALL for PAPERS http://www.uni-klu.ac.at/fgk/assets/images/AWG/AWG-21_CfP.pdf Bitte REGISTRIEREN Sie Ihre Teilnahme unter http://www.uni-klu.ac.at/fgk/html/Anmeldeformular.html Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem 25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at eingereicht werden. Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen. Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of (Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance - Financial Innovations - Financial Markets Research - International Banking and Finance - Investment Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk Management - Security Analysis.

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[VFN] Workshop on Optimisation & Stochastic Programming
by Xiaochen Sun 03 Aug '06

03 Aug '06

(Apologies for any cross-listings!) Business Applications of Optimisation, Stochastic Programming & Portfolio Planning: *Introduction to Optimisation and its Applications: Linear & Integer Programming - Embedded DSS using SCRIPTING and COM Objects, 16 - 17 October, CARISMA, Brunel University, West London *Decision Making under Uncertainty: Stochastic Programming, 18 - 19 October, CARISMA, Brunel University, West London *Financial Planning Using Integer Quadratic Programming, 20 October, CARISMA, Brunel University, West London Dear Colleague We are pleased to announce the above workshops, which are organised by CARISMA, Brunel University, OptiRisk Systems and UNICOM Seminars. The workshop series is specially designed to provide insight into the discipline of optimisation for a wide range of individuals such as OR professionals, quantitative analysts, risk analysts, DSS application developers, consultants, and academic researchers. The courses will take you through all the steps of an optimisation project using powerful optimisation tools such as AMPL Modelling System, CPLEX, FortMP, FortSP and SPInE. They are most comprehensive and cover the latest developments in the field, with plenty of hands-on examples, which help you develop stochastic programming applications for your sector, be it financial planning, portfolio selection, supply chain, or energy systems planning. Guest Presentation: *Scenario Generation - Hidden Markov Model Enza Messina, University of Milan, Italy *Sloving Integer Stochastic Programming Suvrajeet Sen, University of Arizona, USA For further details please go to www.unicom.co.uk/optimise, either download brochure or email mapgxcs(a)brunel.ac.uk for a PDF filer. We look forward to welcoming you to the workshops; please also make your colleagues aware of it. Thank you. Best regards CARISMA ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~ Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Middlesex Uxbridge, UB8 3PH United Kingdom * xiaochen.sun(a)brunel.ac.uk http://people.brunel.ac.uk/~mapgxcs http://mam3xs.blogspot.com/ ((+44) (0)1895 265625 ((+44) (0)7841873292 ~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~

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[VFN] Workshop Risikomanagement
by Michael Hanke 01 Aug '06

01 Aug '06

Sehr geehrte Damen und Herren, am 17./18. 11. 2006 findet im Universitätszentrum Obergurgl ein Workshop zum Thema Risikomanagement statt. Organisiert wird der Workshop vom Institut für Banken und Finanzen der Universität Innsbruck. Als Keynote Speaker konnte Frau Prof. Uhrig-Homburg von der Universität Karlsruhe gewonnen werden. Nähere Informationen und einen Call for Papers finden Sie unter http://www.uibk.ac.at/congress/krm/ Wir würden uns freuen, Sie im November in Obergurgl begrüßen zu dürfen. Mit besten Grüßen aus Tirol, Matthias Bank & Michael Hanke -- Univ.Prof. Dr. Michael Hanke University of Innsbruck Department of Banking and Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: +43 512 5077552, Fax: +43 512 5072846

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[VFN] [ccfz] Credit Risk Summit (New York , 20 Oct 2006) (fwd)
by Walter Schachermayer by way of Andreas Schamanek 27 Jul '06

27 Jul '06

---------- Forwarded message ---------- Date: Mon, 24 Jul 2006 16:15:37 +0200 (CEST) From: Walter Schachermayer ---------- Forwarded message ---------- Date: Thu, 20 Jul 2006 17:22:28 -0400 From: creditrisk <creditrisk(a)finance-concepts.com> Subject: [ccfz] Credit Risk Summit (New York , 20 Oct 2006) FINANCE CONCEPTS and STANDARD & POORS are pleased to announce a forthcoming CREDIT RISK SUMMIT conference The state of the art in credit and correlation modelling New York, October 20th 2006 Download brochure: http://www.finance-concepts.com/training/CreditRisk2006.pdf This event will bring together world experts in the field of credit risk modelling with the aim of presenting the state of the art in quantitative approaches to credit risk and credit derivatives, aimed at investors, market participants and quantitative analysts involved with credit risk. * Speakers: DAMIANO BRIGO, Banca IMI RAMA CONT, Ecole Polytechnique SANJIV DAS, Santa Clara University ARNAUD DE SERVIGNY, Standard & Poors CRAIG FRIEDMAN, Standard & Poors IBRAHIMA KOBAR, IXIS Asset Management DAVID LI, Barclays Capital ALEX LIPTON, Merrill Lynch SVEN SANDOW, Standard & Poors PHILIPP SCHÖNBUCHER, ETH Zürich JAKOB SIDENIUS, JP Morgan STAN URYASEV, University of Florida NICOLAS VICTOIR, JP Morgan Topics covered: * Credit derivatives: pricing and risk management of credit default swaps, single tranche CDOs * Next generation credit products: options on CDO tranches, forward starting tranche swaps, CMCDS * Recent advances in modelling and measurement of default risk * Structured credit products: structuring of synthetic CDOs, actively managed CDOs * Credit rating methodologies for single tranche CDOs and structured credit derivatives * Correlation book management * Cash CDOs: structuring and management * INFORMATION AND REGISTRATION: For information on registration please download the conference brochure on http://www.finance-concepts.com In order to enhance the interaction between participants and speakers, the number of participants is limited and request for registration will be treated in the order of their arrival. We therefore kindly request interested participants to send in their registration as soon as possible but no later than the REGISTRATION DEADLINE: September 30th 2006. For more information please visit our web site http://www.finance-concepts.com or contact us by email: creditrisk(a)finance-concepts.com Finance Concepts Your partner in risk management PARIS - NEW YORK http://finance-concepts.com/ Tel: +33 1 53761146 E-mail: creditrisk(a)finance-concepts.com Fax: +33 1 45016510 _______________________________________________ ccfz mailing list ccfz(a)math.ethz.ch https://mailman.math.ethz.ch/mailman/listinfo/ccfz

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS (EMNet 2007), Conference, Erasmus University Rotterdam, June 2007
by Windsperger Josef 09 Jul '06

09 Jul '06

First Announcement 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. EMNet conferences serve to promote communication and awareness among researchers in economics and management and provide a forum to present current research and to discuss issues of common interest, such as relevant developments in organizational economics and management. The content of EMNet conferences include all forms of networks, such as franchising, joint ventures, virtual organizations, strategic alliances, cooperative networks, clusters, venture capital relations and other forms of hybrids. The call for papers will be sent out in September. Conference information can be found at: http://www.univie.ac.at/EMNET. The latest book from the EMNet-Conference in Budapest on 'ECONOMICS and MANAGEMENT of NETWORKS: Franchising, Strategic Alliances and Cooperatives' (ed. by G. Cliquet, G. Hendrikse, M. Tuunanen, J. Windsperger) will be published in September 2006 (see further information on the web page: http://www.univie.ac.at/EMNET/2005/index2005.htm) Best regards, Josef Windsperger University of Vienna Center of Business Studies Josef.windsperger(a)univie.ac.at -- Josef Windsperger, PhD Associate Professor of Organization and Management (ao. Univ.-Prof.) University of Vienna, Center for Business Studies Bruenner Str. 72; A-1210 Vienna, Austria Phone: +431 4277 38180; Fax: +431 4277 38174 Email: josef.windsperger(a)univie.ac.at URL: http://www.univie.ac.at/im

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[VFN] VGSF Research Seminar by Li Jin (Harvard Business School) on Friday, June 30th
by Michael Halling 24 Jun '06

24 Jun '06

Prof. Li Jin from the Harvard Business School is giving a VGSF research seminar on "Managerial Career Concern and Mutual Fund Short-termism" on FRIDAY, June 30th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Li is going to be in Vienna for the entire week. If you like to meet him and to discuss your research with him, please contact me. Best, Michael Halling Abstract Mutual fund investors reward short run performance with large inflows. Fund managers facing strong performance-related flows are shown to focus more on short horizon investments. Further tests of causality suggest that fund managers short investment horizons are caused by their investors short horizons, but not the other way around.

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[VFN] Reminder Invitation June 29th: Public Lecture with Prof. Ananth Madhavan "Transaction Cost Modeling as a Source of Alpha"
by Gutmann Center-D.Grimm 23 Jun '06

23 Jun '06

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: June 29th, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI) Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA Abstract The impact of realized transaction costs on portfolio performance is now well recognized. Less well understood, however, is the effect of transaction cost on performance in the pre-trade dimension. Intuitively, transaction costs affects performance through the choice of bets the manager undertakes (breadth), the frequency of bets (turnover), and the size of those bets (order size). We show that transaction cost modeling is a source of alpha, increasing skill and breadth. Specifically, accurate transaction cost models allow managers to make better decisions regarding which securities should or should not be traded, and the optimal size of the trade. Further, improved forecasts of costs are critical to determining optimal portfolio turnover. Greater turnover allows for more active bets, increasing breadth, but magnifies the impact of trading costs. Balancing these considerations appropriately yields an optimal turnover level. Transaction cost models thus help reduce not only realized costs, but also improve performance on an ex ante basis. The analysis provides insights into the determinants of optimal fund capacity. We show that capacity problems are manifested gradually in the form of higher expected costs, reduced breadth, and lower turnover. Capacity is an elastic concept that is surprisingly responsive to even relatively modest gains in transaction cost control or forecasting ability. This suggests that fund managers can influence their capacity through investments in better execution research and technology. About Ananth Madhavan: Ananth Madhavan is the Global Head of Trading Research at BGI. He leads BGI's global trading research team with a focus on execution research and trading strategies across different asset classes worldwide. Prof. Madhavan also works closely with the global trading team and BGI’s alpha research and product groups to design and implement trading strategies capturing liquidity-driven market opportunities. Before joining BGI in 2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and a member of the firm’s management and executive committees. Previously, he was the Charles B. Thorton Professor of Finance at the Marshall School of Business at the University of Southern California, and Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. Ananth Madhavan is the author of numerous publications in leading academic and practitioner journals. He received his PhD in Economics from Cornell University and BA from the University of Delhi, India. 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

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[VFN] 21. Austrian Working Group on Banking and Finance
by Alexander Brauneis 21 Jun '06

21 Jun '06

Sehr geehrte Damen und Herren, ich darf Sie auf folgende Veranstaltung aufmerksam machen: 21. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 24. / 25. November 2006 ALPEN-ADRIA-UNIVERSITÄT KLAGENFURT First CALL for PAPERS http://www.uni-klu.ac.at/fgk/assets/images/DP/AWG-21_CallPaper.pdf Der Workshop findet am Freitag, dem 24. November 2006, Nachmittag, und am Samstag, dem 25. November 2006, Vormittag, an der ALPEN-ADRIA-UNIVERSITÄT KLAGENFURTstatt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 29. Oktober 2006 bei o.Univ.-Prof. Mag. Dr. Wolfgang Nadvornik Institut für Finanzmanagement, Universitätsstraße 65-67, A 9020 Klagenfurt Tel.: +43(0)463 2700-4002 Fax: +43(0)463 2700-4092 E-Mail: barbara.wernig(a)uni-klu.ac.at eingereicht werden. Um den angestrebten Workshopcharakter der Veranstaltung zu fördern, können papers auch durch einen discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 15. Oktober 2006 einzureichen. Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungsarbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenarbeit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universitäten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte: Arbitrage Pricing - Business Valuation - Capital Market Theory - Capital Requirements of (Auswahl) Financial Intermediaries - Commercial Banking - Contingent Claims Analysis - Corporate Finance - Financial Innovations - Financial Markets Research - International Banking and Finance - Investment Banking - Options and Futures - Performance Measurement - Portfolio Management - Risk Management - Security Analysis.

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[VFN] VGSF Research Seminar by Branco Urosevic on Friday, June 23rd
by Michael Halling 21 Jun '06

21 Jun '06

Prof. Branco Urosevic from the Faculty of Economics, Belgrade (Serbia), and the Department of Economics and Business, Universitat Pompeu Fabra, Barcelona (Spain) is giving a VGSF research seminar on "Ownership Dynamics with Multiple Insiders: The case of REITs" on FRIDAY, June 23rd, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract We study ownership dynamics of multiple strategic risk-averse insiders facing a moral hazard problem. We show that, when insiders cannot commit, ex-ante, to an ownership policy, the aggregate insider stake gradually declines towards the competitive allocation. Moreover, both the speed of decline and the long-term equilibrium aggregate insider ownership level are greater for companies with a higher number of insiders, ceteris paribus. We, then, test the model on data from the U.S. Real Estate Investment Trusts (REITs) industry and find that the predictions of the model are supported by the data.

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[VFN] Extra-VGSF Research Seminar by Philipp Schönbucher on Monday 19th
by Michael Halling 14 Jun '06

14 Jun '06

Prof. Philipp Schönbucher from the ETH Zurich is giving an Extra-VGSF research seminar on "Portfolio Losses and the Term Structure of Loss Transition Rates: A new methodology for the pricing of portfolio credit derivatives" on Monday, June 19th, from 18:00 to 19:30 at the Vienna University of Business Administration and Economics (WU Wien, Nordbergstrasse 15, 1090 Wien), SR A619, UZA 4. Please find the paper's abstract below. Best, Michael Halling Abstract In this paper, we present a model for the joint stochastic evolution of the cumulative loss process of a credit portfolio and of its probability distribution. At any given time, the loss distribution of the portfolio is represented using forward transition rates, i.e. the transition rates of a hypothetical time-inhomogeneous Markov chain which reproduces the desired transition probability distribution. This approach allows a straightforward calibration of the model (e.g. to a full initial term- and strike structure of synthetic CDOs including the correlation smile) and it is shown that (except for regularity restrictions) every arbitrage-free loss distribution admits such a representation with forward transition rates. To capture the stochastic evolution of the loss distribution, the transition rates are then equipped with stochastic dynamics of their own, and martingale / drift restrictions on these dynamics are derived which ensure absence of arbitrage in the model. Furthermore, we analyze the dynamics of spreads and STCDO-prices that are implied by the model and show that the input parameters can be viewed as spread move parameters and correlation move parameters. We also show how every dynamic model for correlated individual defaults can be cast into this framework.

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[VFN] Invitation June 29th Public Lecture with Prof. Ananth Madhavan "Transaction Cost Modeling as a Source of Alpha"
by Gutmann Center-D.Grimm 12 Jun '06

12 Jun '06

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: June 29th, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Ananth MADHAVAN, Barclays Global Investors (BGI) Title: TRANSACTION COST MODELING AS A SOURCE OF ALPHA The impact of realized transaction costs on portfolio performance is now well recognized. Less well understood, however, is the effect of transaction cost on performance in the pre-trade dimension. Intuitively, transaction costs affect performance through the choice of bets the manager undertakes (breadth), the frequency of bets (turnover), and the size of those bets (order size). We show that transaction cost modeling is a source of alpha (superior performance).Specifically, accurate transaction cost models allow managers to make better decisions regarding which securities should or should not be traded, and the optimal size of the trade. About Ananth Madhavan: Ananth Madhavan is the Global Head of Trading Research at BGI. He leads BGI's global trading research team with a focus on execution research and trading strategies across different asset classes worldwide. Prof. Madhavan also works closely with the global trading team and BGI’s alpha research and product groups to design and implement trading strategies capturing liquidity-driven market opportunities. Before joining BGI in 2003, Prof. Madhavan was Managing Director of Research of ITG, Inc. and a member of the firm’s management and executive committees. Previously, he was the Charles B. Thorton Professor of Finance at the Marshall School of Business at the University of Southern California, and Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. Ananth Madhavan is the author of numerous publications in leading academic and practitioner journals. He received his PhD in Economics from Cornell University and BA from the University of Delhi, India. 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

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[VFN] TRIPLE VGSF Research Seminar - David Feldman, Kai Li and Martijn Cremers
by Michael Halling 07 Jun '06

07 Jun '06

Next week the VGSF is organizing THREE seminars - one on MONDAY, June 12th, and two on TUESDAY, June 13th. Prof. David Feldman from the University of New South Wales is going to talk about "The CAPM Relation for Inefficient Portfolios" on Monday, June 12th, from 15:30 to 17:00 at the BWZ, Seminar Room 1, Bruennerstr. 72,1210 Wien. On TUESDAY, June 13th, two seminars by Kai Li, University of British Columbia, and Martijn Cremers, University of Yale, are scheduled. Kai is going to talk about "Corporate Boards and the Leverage and Debt Maturity Choices". The paper presented by Martijn has to be still announced. This double seminar takes place from 16:00 to 19:00 in Lecture Room 2 at the Institute for Advanced Studies (Stumpergasse 56, 1060 Wien). Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract of "The CAPM Relation for Inefficient Portfolios" ********************************************************** Following empirical evidence that - contrary to CAPM predictions - found little relation between expected rates of return and betas, the relation has been investigated extensively. Roll and Ross (1994) (RR) and Kandel and Stambaugh (1995) are seminal works. In this context, within a Markowitz world (finite number of nonredundant risky securities with finite first two moments), we generally and simply write the theoretical CAPM relation for inefficient (non-frontier) portfolios (CAPMI). We demonstrate that the CAPMI is a well-specified alternative for the widely implemented misspecified CAPM for use with inefficient portfolios. We identify three sources for this misspecification: i) the omission of an addend in the pricing relation, ii) the use of an incorrect risk premiums/beta coefficients (due to of the existence of infinitely many "zero beta" portfolios at all expected returns), and iii) the use of unadjusted betas. We suggest the use of incomplete information equilibria to overcome unobservability of moments of returns. Our results are robust to regressions that produce positive explanatory beta power, including extensions such as multiperiod, multifactor, and the conditioning on time and various attributes. Abstract of "Corporate Boards and the Leverage and Debt Maturity Choices" ************************************************************************** Debt, and in particular, short-term debt have the potential to discipline managers. We examine the role of the board in making financing decisions that provide this discipline. Specifically, given a firm's characteristics, we predict that stronger boards will force the firm to hold more debt and more shortterm debt, and that the effect of the board on the use of short-term debt is likely to be stronger among low-growth firms than among high-growth firms. Employing a rich dataset of board characteristics and controlling for other aspects of a firm's corporate governance, we find support for these hypotheses. Moreover, the degree to which director tenure on the board exceeds the CEO tenure is the most important driver of board strength in our study. This simple measure of the relative power and true independence of directors relative to the CEO is a robust and promising measure of internal governance.

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[VFN] REMINDER: VGSF Research Seminar by Prof. Josef Zechner on June 2nd
by Michael Halling 02 Jun '06

02 Jun '06

Prof. Josef Zechner from the University of Vienna is giving a VGSF research seminar on "Human Capital, Bankruptcy, and Capital Structure" on Friday, June 2nd, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract This paper identifies a previously overlooked friction, human capital risk, which can explain an important puzzle in corporate finance why firms maintain such low levels of debt, given the apparently modest costs of bankruptcy. We derive the optimal compensation contract when employees are averse to their own human capital risk, but equity holders are not averse to this risk, and show that, in the absence of other frictions, all firms will be unlevered. In the presence of corporate taxes, optimal debt levels are consistent with the levels observed, implying that human capital risk is of the same order of importance as taxes in the capital structure decision. Because these costs are impossible to measure directly, existing empirical studies that attempt to measure the costs of bankruptcy grossly underestimate them.

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[VFN] PostDoc position at Vienna Graduate School of Finance
by VGSF-D.Grimm 24 May '06

24 May '06

POSTDOCTORAL POSITION at VIENNA GRADUATE SCHOOL OF FINANCE (VGSF) The Vienna Graduate School of Finance (VGSF – www.vgsf.ac.at) offers the first PhD Program in Finance in Austria and aims to become an internationally leading PhD program and research center. The VGSF is a cooperation between three leading academic institutions in Austria: Institute for Advanced Studies Vienna (IHS – www.ihs.ac.at), University of Vienna (www.univie.ac.at), and Vienna University of Economics and Business Administration (WU – www.wu-wien.ac.at). The VGSF is funded by the Austrian Science Fund (FWF – www.fwf.ac.at). The VGSF offers a Postdoctoral Position (full time) Job Description: The main focus of this position will be on research. It furthermore involves coordinating a first/second year “Finance Paper Reading” course and some general administrative tasks. Job Qualification: Candidates must have a doctoral degree in finance, financial economics or equivalent. Solid training and experience in econometrics or statistical modelling. Experience with one or more of the following packages: R, GAUSS, EVIEWS, STATA. Evidence of research capability at a level that can lead to publications in international peer-reviewed journals. The language of the PhD program in Finance is English. Therefore excellent English skills are required, German language skills are desirable but not obligatory. Start Date: As soon as possible, but no later than September 2006 Term: up to 2 years with possible extension Salary: Euro 40.300 gross per annum Application Deadline: June 25th, 2006 Candidates should mail or preferably e-mail their curriculum vitae, letters of recommendation, a one page statement of purpose in which they explain their interest in the position as well as their area of research, and a copy of one research paper to: Vienna Graduate School of Finance (VGSF) o.Univ.-Prof. Mag. Dr. Stefan Bogner c/o Wirtschaftsuniversität Wien Institut für Finanzierung und Finanzmärkte Abteilung für Betriebliche Finanzierung UZA 4, 6. Stock Kern B Nordbergstraße 15 - 1090 Wien (Vienna), Austria Tel: ++43 1 31336 4242 Fax: ++43 1 31336 736 E-mail: stefan.bogner(a)wu-wien.ac.at Further details about the VGSF are available at: http://www.vgsf.ac.at.

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[VFN] Reminder: May 31st - Gutmann Center Public Lecture with Theo VERMAELEN: "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 24 May '06

24 May '06

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: May 31st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria) Speaker: Prof. Dr. THEO VERMAELEN http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/ Title: "BEATING THE MARKET WITH BUYBACKS" When firms announce plans to repurchase shares in the market, they often state that their shares are undervalued. In spite of this claim stock prices only increase slightly around the announcement. We show that, on average, the market is wrong, and managers are right: stock prices significantly under-react to buyback announcements. Of course, not every buyback is driven by undervaluation. In order to distinguish companies that repurchase shares because they are cheap from those that repurchase shares for other reasons, we develop an undervaluation index. The index measures the probability that the repurchase is driven by undervaluation. A portfolio strategy that invests in high undervaluation index stocks beats the Fama-French 3 factor model benchmark by 45 %, after 3 years. The strategy is stable over time in the sense that a buyback portfolio that consists of the 50 companies with the highest undervaluation index during the previous year, always beats the benchmark over the next 3 and 4 years. About Theo Vermaelen: Theo Vermaelen is the Schroders Professor of International Finance and Asset Management at INSEAD. He received his Ph.D. and MBA at the University of Chicago. Professor Vermaelen has published more than 10 articles on share repurchases in leading academic journals such as the Journal of Finance and the Journal of Financial Economics and is also the author of “Share Repurchases” published by NOW publishers. In addition he has extensive practical experience implementing the strategies suggested by his research as a portfolio manager of the KBC equity buyback fund, until 2004. He is planning to launch a new fund in the fall of this year. 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

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[VFN] Special VGSF Research Seminar by Damir Filipovic on Monday, May 29th
by Michael Halling 23 May '06

23 May '06

Prof. Damir Filipovic from the University of Munich (Mathematics Institute) is giving a special VGSF research seminar on "Optimal Capital and Risk Transfer for Group Diversification" on Monday, May 29th, 17.00, in Seminarraum A 619, Wirtschaftsuniversität Wien, UZA4, 6. Stock, Nordbergstraße 15, 1090 Wien. Best, Michael Halling

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[VFN] VGSF Research Seminar by Wolfgang Bühler on Wednesday 24th, 2006
by Michael Halling 23 May '06

23 May '06

Prof. Wolfgang Bühler from the University of Mannheim is giving a VGSF research seminar on "Credit Risk, Liquidity Risk, and Optimal Capital Structure under Incomplete Accounting Information" on WEDNESDAY, May 24th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Best, Michael Halling Abstract In a structural model for credit risk we endogenize inability to pay as a second independent reason for default besides overindebtedness. Inability to pay is triggered by rational behavior of incompletely informed outsiders. The firm needs to raise additional cash via secondary equity offerings in order to service its coupon payments. Underpricing of secondary equity offerings is explained as necessary for these offerings to be successful. In addition to Duffie/Lando (2001) we find that the liquidity risk has a strong impact on the current firm value and the optimal leverage. Credit spreads of debt in the primary market depend on the degree of liquidity risk. They can be lower or higher than in case without liquidity risk. Our results have a number of additional, interesting consequences. Contrary to Duffie/Lando (2001) incomplete information of outside investors has an impact on the default probability of the firm and therefore on the optimal capital structure which is determined in the primary market. The debt-equity ratio is typically lower than in the Duffie/Lando (2001) model that operates under complete information in the primary market and can result in lower credit spreads.

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[VFN] VGSF research seminar by Lorenzo Garlappi on Friday, May 19th
by Michael Halling 17 May '06

17 May '06

Prof. Lorenzo Garlappi from the University of Texas at Austin is giving a VGSF research seminar on "Default Risk, Shareholder Advantage, and Stock Returns" on FRIDAY, May 19th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Lorenzo is going to be available for discussions on Friday before and after the seminar, and on the following Monday (22.5.) and Tuesday (23.5.). If you would like to meet him, please let me know. Best, Michael Halling Abstract In this paper, we study the relationship between default probability and stock returns. Using the market-based measure of Expected Default Frequency (EDF) constructed by Moody's KMV, we first demonstrate that higher default probabilities are not necessarily associated with higher expected stock returns, a finding that complements the existing empirical evidence. We then show that the puzzling and complex relationship between stock returns and default probability is consistent with the implications of existing structural models that account for possible negotiated benefits for equity-holders upon default. Adapting the setting of the Fan and Sundaresan (2000) model that explicitly considers the bargaining game between equity-holders and debt-holders in financial distress, we are able to obtain a theoretical relationship between expected returns and default probability that resembles the empirically observed pattern. Our analysis indicates that, depending on the level of shareholder advantage, the relationship between default probability and equity return may be either upward sloping (low shareholder advantage) or humped and downward sloping (high shareholder advantage). Moreover, we show that distressed firms in which shareholders have a stronger advantage in renegotiation exhibit lower expected returns, and that their default probabilities do not adequately represent the risk of default born by equity. We test these implications using several proxies for shareholder advantage and find strong support in the data.

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[VFN] Workshop on Financial Modeling with Jump Processes (fwd)
by Walter Schachermayer by way of Andreas Schamanek 16 May '06

16 May '06

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Mon, 15 May 2006 22:14:00 +0200 (CEST) From: Rama CONT <Rama.Cont(a)polytechnique.fr> Subject: Workshop on Financial Modeling with Jump Processes Dear colleague, On behalf of the Scientific Committee and the Local Organizing Committee, we are pleased to announce the forthcoming Workshop on Financial Modeling with Jump Processes, Ecole Polytechnique (Palaiseau, France), September 6-8, 2006 http://www.fiquam.polytechnique.fr/AMAMEF/ We invite contributions dealing with models based on jump processes and their applications in finance dealing in particular, but not exclusively, with the following issues: Multidimensional models with jumps: dependence modeling, Lévy copulas, numerical methods for multidimensional models. Simulation and estimation: efficient simulation of multivariate models, econometrics of jump processes, realized volatility/ bi-power variation. Partial integro-differential equations (PIDEs) and computational methods Inverse problems: theory and algorithms for inverse problems related to option pricing models with jumps. New modeling approaches: Markov processes with jumps, models for electricity prices, interest rate models with jumps and their efficient analytical and numerical treatment * DEADLINE for submission of abstracts: JUNE 15, 2006 * DEADLINE for registration: AUGUST 1, 2006. For more information please visit the conference website: http://www.fiquam.polytechnique.fr/AMAMEF/ THIS WORKSHOP IS SUPPORTED BY: European Programme on "Advanced mathematical methods for finance" Centre de Mathematiques Appliquees, Ecole Polytechnique Chaire des Risques Financiers, Ecole Polytechnique Seminar on Applied Mathematics, ETH Zurich Europlace Institute of Finance

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[VFN] VGSF research seminar by Andrei Simonov on Friday, May 12th
by Michael Halling 10 May '06

10 May '06

Prof. Andrei Simonov from the Stockholm School of Economics is giving a VGSF research seminar on "Shareholder Homogeneity and Firm Value: The Disciplining Role of Non-Controlling Shareholders" on FRIDAY, May 12th, from 15:30 to 17:00 at the Institute for Advanced Studies (Institut für Höhere Studien, Stumpergasse 56, 1060 Wien), Lecture Room (HS) 2. Please find the paper's abstract below. Coffee and snacks are going to be available in the cafeteria of IHS, which is located next to the lecture room, before and after the seminar. Information regarding the further schedule of the VGSF research seminar can be found at www.vgsf.ac.at! Andrei is going to be available for discussions on Thursday and Friday. If you would like to meet him, please let me know. Best, Michael Halling Abstract We study how the shareholding structure of a firm affects its stock price and profitability. We argue that the degree of shareholder homogeneity affects firm value. Homogeneous shareholders act as a disciplining device on managers, inducing them to be more transparent and to engage less in value destroying activities. This leads to higher firm profitability, higher stock price and lower volatility. Shareholder homogeneity represents an alternative and indirect source of corporate governance based on the stock market. We test this hypothesis by using a dataset containing information on all the shareholders for each firm in Sweden from 1995 to 2001. We construct two proxies for shareholder homogeneity: the first is based on the age cohort of the shareholders, and the second on their degree of college interaction. For each firm, we measure the degree of homogeneity of all shareholders. Using this proxy, we show that greater homogeneity increases firm profitability and returns, and reduces analysts forecasting errors and dispersion, and stock volatility.

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[VFN] Invitation May 31st: Gutmann Center Public Lecture with Theo Vermaelen "Beating the Market with Buybacks"
by Gutmann Center-D.Grimm 08 May '06

08 May '06

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: May 31st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (Austria) Speaker: Prof. Dr. THEO VERMAELEN http://www.insead.edu/facultyresearch/faculty/profiles/tvermaelen/ Title: "BEATING THE MARKET WITH BUYBACKS" When firms announce plans to repurchase shares in the market, they often state that their shares are undervalued. In spite of this claim stock prices only increase slightly around the announcement. We show that, on average, the market is wrong, and managers are right: stock prices significantly under-react to buyback announcements. Of course, not every buyback is driven by undervaluation. In order to distinguish companies that repurchase shares because they are cheap from those that repurchase shares for other reasons, we develop an undervaluation index. The index measures the probability that the repurchase is driven by undervaluation. A portfolio strategy that invests in high undervaluation index stocks beats the Fama-French 3 factor model benchmark by 45 %, after 3 years. The strategy is stable over time in the sense that a buyback portfolio that consists of the 50 companies with the highest undervaluation index during the previous year, always beats the benchmark over the next 3 and 4 years. About Theo Vermaelen: Theo Vermaelen is the Schroders Professor of International Finance and Asset Management at INSEAD. He received his Ph.D. and MBA at the University of Chicago. Professor Vermaelen has published more than 10 articles on share repurchases in leading academic journals such as the Journal of Finance and the Journal of Financial Economics and is also the author of “Share Repurchases” published by NOW publishers. In addition he has extensive practical experience implementing the strategies suggested by his research as a portfolio manager of the KBC equity buyback fund, until 2004. He is planning to launch a new fund in the fall of this year. 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

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[VFN] Second CfP for Special Sessions of CIEF'2006
by VFN-L admin * Andreas Schamanek 07 May '06

07 May '06

------------ Forwarded message ----------------- Date: Fri, 5 May 2006 19:12:12 +0200 (MEST) From: cobol(a)cc.kuas.edu.tw Subject: Second Call for Paper for Special Sessions of CIEF'2006 * My apology if multiple copies of this message reach you. Special sessions of CIEF'2006 Second Call For Paper The 5th International Conference on Computational Intelligence in Economics and Finance October 8-11, 2006 Kaohsiung City, Taiwan Submission deadline has been extended to June 1, 2006 http://www.jcis.org, www.aiecon.org Dear colleagues, We would like to invite you to submit your manuscript to the special sessions of CIEF'06. This conference features emerging the related quantitative and experimental methods and integrations of economic and financial studies with computational methods (e.g. numerical methods, econometrics, artificial neural networks, genetic algorithm, particle swarm optimization, fuzzy logics, etc.). All other aspects of theory and research on computational method related to economics and finance issue are welcome. CIEF'2006 will have organized 13 special sessions shown as follow: Topics Special Session Chairs Behavioral Economics and Finance Dr. Len-Kuo Hu, lkhu(a)nccu.edu.tw Dr. Yu-Hsiu Lin, yushiu(a)cc.kuas.edu.tw Experimental Economics Dr. Sun-Chong Wang, scwang(a)phys.sinica.edu.tw Econophysics Dr. Taisei Kaizoji, kaizoji(a)icu.ac.jp Dr. Yuji Aruka, aruka(a)tamacc.chuo-u.ac.jp Volatility Forecasting in Financial Market Dr. Prof. Dietmar Maringer dmaring(a)essex.ac.uk Financial engineering Dr. San-Lin Chung, chungs(a)management.ntu.edu.tw New Econometrics in stock market Dr. Chou, Ray-Yeutien, rchou(a)econ.sinica.edu.tw 02-27822791-321 Agent-based computational finance Dr. Takao Terano, terano(a)dis.titech.ac.jp Dr. Takashi Yamada, tyamada(a)trn.dis.titech.ac.jp Industrial Organization Dr. William F. Lawless, lawlessw(a)mail.paine.edu Electronic Finance (e-Finance) Dr. Kun-huang Huarng khhuarng(a)fcu.edu.tw Dr. Feng-Jyh Li fjlin(a)fcu.edu.tw Computable General Equilibrium (CGE) Modeling Dr. Shih-Mo Lin shihmo(a)cycu.edu.tw Financial Engineering and Economic Agent Models Dr. Serge Hayward shayward(a)escdijon.com Intelligent Decision Support System in Stock Market Dr. An-Pin Chen, apc(a)iim.nctu.edu.tw Mu-Yen Chen, chenmy(a)cc.ncue.edu.tw Fuzzy Decision and Management Dr. Yaw-Chu Chen, ycchen(a)mcu.edu.tw Innovation and Applications in SoftComputing Dr. Tzung-Pei Hong, tphong(a)nuk.edu.tw Dr. Wen-Yang Lin, wylin(a)nuk.edu.tw For submission details, please see CFP on the JCIS website (http://www.jcis.org/page/subconference/cief/special.html) and feel free to disseminate them to other colleagues. New important dates: Full paper (4 pages limited) submission due: 2006.6.1 Paper acceptance notification date: 2006.7.1 Final (Camera-ready) paper submission due: 2006.7.15 Paper submission: Please email to related special session chairs. Best regards, Shu-Heng Chen and Ping-Chen Lin Professor Dr. Shu-Heng Chen Conference Chair of CIEF'2006 AI-ECON Research Center Department of Economics National Chengchi University, Taipei, Taiwan 116 Tel: +886-2-2938-7308 Fax: +886-2-2937-0290 E-mail: chchen(a)nccu.edu.tw http://www.aiecon.org/ Associate Professor Dr. Ping-Chen Lin Program Chair of CIEF'2006 Institute of Finance and Information National Kaohsiung University of Applied Sciences 415 Chien Kung Road,Kaohsiung 807, Taiwan,R.O.C. Tel: +886-7-3814526 ext 6309 Celluar Phone: +886-935846043 Fax: +886-7-3831544 E-mail: lety(a)cc.kuas.edu.tw

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[VFN] VGSF Research Seminar on May 5th, 2006
by Michael Halling 03 May '06

03 May '06

Prof. Dimitri Vayanos from LSE is going to present the paper "A Search-Based Theory of the On-the-Run Phenomenon" in the VGSF research seminar on May 5th. Dimitri will be at the BWZ on Friday morning and at the IHS around the seminar. If you would like to meet him please let me know. Best, Michael Halling

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[VFN] VGSF Research Seminar on April 28th
by Michael Halling 25 Apr '06

25 Apr '06

Prof. Pierre Mella-Barral from HEC Paris is going to present the paper "Which way to Grow? Merging, Allying, or Buying Assets" in the research seminar on April 28th. Pierre will be at the BWZ on Thursday afternoon and at the IHS on Friday before the seminar. If you would like to meet him please let me know. Please accept my apologies for the outdated VGSF seminar website that still shows Ananth Madhavan scheduled for this week's seminar. However, he had to cancel his visit. Best, Michael Halling

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[VFN] Stellenausschreibung Wissenschaftliche Mitarbeiterin/Wissenschaftlicher Mitarbeiter
by Christopher Casey 10 Apr '06

10 Apr '06

Sehr geehrte Damen und Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl, ist voraussichtlich ab 1. Mai 2006 bis 30. September 2008 die Stelle eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte dem entsprechenden Ausschreibungstext: http://www.wu-wien.ac.at/home/jobs/ausschrwisspers (Bewerbungsfrist: 26. April 2006). Für eine Weiterleitung an InteressentInnen bzw. Bekanntmachung über Ihre Liste wäre ich Ihnen dankbar. Mit vielen freundlichen Grüßen Christopher Casey -------------------------------------------------------------------- ao.Univ.-Prof. Dr. Christopher Casey Institut fuer Finanzierung und Finanzmaerkte Abteilung für Investmentbanking und Katallaktik Wirtschaftsuniversität Wien Althanstrasse 39-45, 1090 Wien, Oesterreich Tel.: 0043-1-31336-4167 Fax: 0043-1-31336-761 Email: Christopher.Casey(a)wu-wien.ac.at http://ifm.wu-wien.ac.at/ --------------------------------------------------------------------

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[VFN] VGSF Research Seminar on Friday, April 7th
by Michael Halling 05 Apr '06

05 Apr '06

Prof. Liam Brunt from the University of Lausanne is going to present the paper "Do Banks Generate Financial Market Integration?" in the research seminar on April 7th. We are very happy that Prof. Brunt is able to come to Vienna on short notice, as Prof. Bruno Solnik who was originally scheduled for this week had to cancel his visit due to private reasons. Prof. Brunt is going to be in Vienna from Thursday early afternoon to Saturday afternoon. If you would like to meet him, please contact me via email. Best, Michael Halling

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[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 23 Mar '06

23 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 16 Mar '06

16 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] New Directions in Financial Modelling, Demonstrations of specialist financial software systems
by Xiaochen Sun 22 Feb '06

22 Feb '06

New Directions in Financial Modelling <http://www.unicom.co.uk/finance> Seminar and Workshop Series, 22 May 2006 - 25 May 2006, London, UK 22 May: Pre-Seminar Workshop Financial Innovation & New Structured Products in the Equity World 23-24 May: Two-day, multi-speaker seminar, with the following themes: * Day One: Recent Developments in Financial Modelling * Day Two: Recent Developments in Portfolio Planning 25 May: Demonstrations of specialist financial software systems This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions: Hermes Centre of Excellence, University of Cyprus Department of Statistics and Decision Support Systems, University of Vienna The Centre for Financial Research, Judge Business School, Cambridge. The Centre for Quantitative Finance, Imperial College The Risk Management and Financial Engineering (RMFE) Lab, University of Florida The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include: CARISMA University of Vienna The Centre for Financial Research, Judge Business School, Cambridge The Centre for Quantitative Finance, Imperial College APT Insightful Speakers for 23-24 May confirmed to date include: Nicos Christofides The Centre for Quantitative Finance, Imperial College (confirmed) Michael Dempster The Centre for Financial Research, Judge Business School, Cambridge (confirmed) Gerd Infanger Stanford University (confirmed) Dilip Madan Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed) Gautam Mitra CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed) Georg Pflug Department of Statistics and Decision Support Systems, University of Vienna (confirmed) Stan Uryasev The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed) Stavros Zenios Hermes Centre of Excellence, University of Cyprus (confirmed) Daniel Di Bartolomeo Northfield Systems (confirmed) Norbert Jobst Standard & Poor's (confirmed) Zari Rachev FinAnalytica (confirmed) Andrew Robinson APT (confirmed) Benefits of Attending You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions. The target audience is Academics PhD Research Students Project leaders and Quants from Financial Institutions For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer. We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues With regards Michael Sun Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Middlesex Uxbridge, UB8 3PH United Kingdom * xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk> http://mam3xs.blogspot.com/ *(+44) (0)1895 265625 *(+44) (0)7841873292

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[VFN] Ausschreibung Stellen WissenschaftlicheR MitarbeiterIn
by Christopher Casey 16 Feb '06

16 Feb '06

Sehr verehrte Damen, sehr geehrte Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September 2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei Stellen unter: http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48 (Bewerbungsfrist: 1. März 2006). Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung an InteressentInnen verbleibe ich mit freundlichen Grüßen Christopher Casey -------------------------------------------------------------------- ao.Univ.-Prof. Dr. Christopher Casey Institut fuer Finanzierung und Finanzmaerkte Abteilung für Investmentbanking und Katallaktik Wirtschaftsuniversität Wien Althanstrasse 39-45, 1090 Wien, Oesterreich Tel.: 0043-1-31336-4167 Fax: 0043-1-31336-761 Email: Christopher.Casey(a)wu-wien.ac.at http://ifm.wu-wien.ac.at/ --------------------------------------------------------------------

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[VFN] Reminder: February 21st Gutmann Center Public Lecture: Vasant Naik "Quantitative Investing in Global Interest Rate and Currency Markets"
by Gutmann Center-D.Grimm 16 Feb '06

16 Feb '06

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: February 21st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS The talk will outline our ongoing research into applications of quantitative approaches for investment decision making in global fixed-income and currency markets. We will consider tactical market-timing type decisions as well as strategies aimed at exploiting risk premia over a long horizon. About Vasant Naik: Vasant Naik is the head of the Quantitative Market Strategies Group of the Fixed Income Research division of Lehman Brothers in London. He has been with Lehman Brothers for 7 years. He is responsible for a team that is engaged in building quantitative models useful for investment decision-making in global fixed income markets. As such, the group conducts research projects characterizing risk and return in global bond, currency and volatility markets. Vasant’s group also works on questions of optimal portfolio construction, portfolio risk modeling and investment process design. This research is made available to clients of Lehman Brothers which include the largest institutional investors around the globe. Quantitative research is one of the dimensions along which Lehman Brothers excels in the financial industry. Prior to joining Lehman Brothers, Vasant was a faculty member at the University of British Columbia in Canada for 10 years. In his academic research, he has developed models of equity returns, the yield curve, derivatives valuation and hedging and real options. Also, he taught under-graduate, graduate and doctoral students in different areas of Finance. Vasant graduated from Indian Institute of Management Bangalore in 1983 and from University of California, Berkeley in 1988 with a doctorate in 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

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[VFN] VGSF Research Seminar of Vasant Naik
by Michael Halling 16 Feb '06

16 Feb '06

Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research seminar on "Global Savings - Investment Imbalances: A Look Through the Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ, Lecture Room (HS) 3. There is going to be the possibility to talk to Vasant on Tuesday. If you would like to discuss your research projects and ideas with him, please contact michael.halling(a)univie.ac.at. Best, Michael Halling

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[VFN] Invitation March 27th : Gutmann Center Symposium on Real Assets and Portfolio Management
by Gutmann Center-D.Grimm 02 Feb '06

02 Feb '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" 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. KEY-NOTE ADDRESS “Homeownership as a Constraint on Asset Allocation” Eduardo Schwartz, UCLA SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS - “Efficient Portfolios when Housing is a Hedge against Rent Risk” Loriana Pelizzon, Università Ca' Foscari di Venezia - “Illiquidity and Pricing Biases in the Real Estate Market” Kerry D. Vandell, University of Wisconsin-Madison - “Hot and Cold Housing Markets: International Evidence” Javier Suarez, CEMFI SESSION II: REAL ASSETS AND PORTFOLIO CHOICE - “Comovement After Joining an Index: Spillovers of Nonfundamental Effects” Dong Wook Lee, University of Kentucky - “Better Regulation and Underwriter Reputation have done nothing for IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on the London Stock Exchange” Elroy Dimson, London Business School - “Beautiful Asset: Art as Investment” Michael Moses, New York University SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL - “Determinants of Venture Capital Performance: Europe and the United States” Ulrich Hege, HEC - “Risk-Adjusted Returns of Private Equity Investments” Alexander Groh, Technische Universität Darmstadt - “The Performance of Private Equity Funds” Ludovic Phalippou, University of Amsterdam, SESSION IV: EXPECTED RETURNS IN REAL ESTATE - “Expected Returns and the Expected Growth in Rents of Commercial Real Estate” Walter Torous, UCLA - “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions” Charles P. Himmelberg, Goldmann Sachs Sessions will be chaired and discussed by members of the Academic Advisory Board: - Elroy Dimson, London Business School - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna The participation is free, but all participants are required to REGISTER: mail: gutmann.bwl(a)univie.ac.at Detailed program is available at www.gutmann-center.at ! Contact: Gutmann Center for Portfolio Management University of Vienna 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

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[VFN] Invitation February 21st Gutmann Center Public Lecture with Vasant Naik "Quantitative Investing in Global Interest Rate and Currency Markets"
by Gutmann Center-D.Grimm 30 Jan '06

30 Jan '06

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: February 21st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS The talk will outline our ongoing research into applications of quantitative approaches for investment decision making in global fixed-income and currency markets. We will consider tactical market-timing type decisions as well as strategies aimed at exploiting risk premia over a long horizon. About Vasant Naik: Vasant Naik is the head of the Quantitative Market Strategies Group of the Fixed Income Research division of Lehman Brothers in London. He has been with Lehman Brothers for 7 years. He is responsible for a team that is engaged in building quantitative models useful for investment decision-making in global fixed income markets. As such, the group conducts research projects characterizing risk and return in global bond, currency and volatility markets. Vasant’s group also works on questions of optimal portfolio construction, portfolio risk modeling and investment process design. This research is made available to clients of Lehman Brothers which include the largest institutional investors around the globe. Quantitative research is one of the dimensions along which Lehman Brothers excels in the financial industry. Prior to joining Lehman Brothers, Vasant was a faculty member at the University of British Columbia in Canada for 10 years. In his academic research, he has developed models of equity returns, the yield curve, derivatives valuation and hedging and real options. Also, he taught under-graduate, graduate and doctoral students in different areas of Finance. Vasant graduated from Indian Institute of Management Bangalore in 1983 and from University of California, Berkeley in 1988 with a doctorate in 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

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[VFN] VGSF Research Seminar
by Michael Halling 20 Jan '06

20 Jan '06

There are two VGSF research seminars in January (and an important announcement regarding Lubos Pastor's seminar): (A) on Friday, Jan. 20th, Engelbert Dockner is going to present the paper "Leaders, Followers, and Risk Dynamics in Industry Equilibrium"; this seminar is going to take place in lecture room 3 at the standard time. (B) on Friday, Jan. 27th, Lubos Pastor from the University of Chicago is going to present his paper "Technological Revolutions and Stock Prices". The seminar takes place in lecture room 11 BUT THE TIME HAS CHANGED: the seminar is going to be from 11:00 to 12:30!!! By the way, Lubos is going to be in Vienna for the entire week. If you want to meet him, please let me know. See you at the seminar, Michael Halling

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[VFN] Scholarships for PhD at Vienna Graduate School of Finance
by VGSF-D.Grimm 21 Dec '05

21 Dec '05

The VIENNA GRADUATE SCHOOL OF FINANCE www.vgsf.ac.at OFFERS 6 SCHOLARSHIPS FOR ITS PhD PROGRAM IN FINANCE INVITATION TO APPLY The Vienna Graduate School of Finance – a joint initiative of the University of Vienna, the Institute for Advanced Studies, Vienna, and the Vienna University of Economics and Business Administration – invites applications for its doctoral program. Upon admission, applicants can expect to obtain a top-quality education for an academic career or a highly specialized position in business or international institutions. HIGHEST ACADEMIC CREDENTIALS The Vienna Graduate School of Finance draws on the academic resources of three established academic institutions, with a faculty specializing in various fields of finance, including asset pricing, corporate finance, financial institutions, risk management, and market microstructure. Well-established within the research community, the local faculty not only focuses on questions of fundamental theoretical and empirical importance in finance, but also on policy-oriented issues and practical applications. DISTINGUISHED INTERNATIONAL FACULTY Leading scholars in the field are regularly invited to teach advanced courses on a topic with either important practical applications or high potential for future research. For example, in the last three years courses have been taught by Kerry Back (St. Louis), David Bates (Iowa), Tomas Björk (Stockholm), Tim Bollerslev (Durham), Michael Brennan (UCLA), Zsuzsanna Fluck (Michigan State), David Lando (Copenhagen), Antonio Mele (LSE), Mojmir Mrak (Ljubljana), Stefan Reichelstein (Stanford), Neal Stoughton (UC Irwine), Suresh Sundaresan (Columbia), Russ Wermers (Maryland), Jan Werner (Minnesota), and Stanley Zin (Carnegie Mellon). PROGRAM The program consists of two years of intensive course work, followed by thesis writing. All courses are taught in English. In addition to good language skills, good skills in mathematics and statistics are advantageous to successfully complete the program. APPLICATION The program is open for students from all countries with all academic specializations, provided they hold a Master degree or equivalent and have a sufficient level of formal training. Applicants should take a GRE and/or GMAT and a TOEFL test, and provide proof of basic proficiency in finance and/or economics (based on either the degree they hold or a sample of original written work). The application package should also contain a statement of purpose, as well as copies of any certificates and diplomas obtained during prior studies, along with certified translations into English. Finally, each applicant should arrange for at least two letters of reference to be sent directly to the address stated below. SCHOLARSHIP Successful applicants will receive generous financial support. Approximately 6 applicants will be admitted to the program. Please send your application package not later than ------FEBRUARY 15th, 2006----- to the following address: VGSF - Prof. Josef Zechner University of Vienna Department of Finance Brünnerstrasse 72 1210 Vienna (Wien), Austria. FURTHER INFORMATION AND APPLICATON DETAILS: --------------- http://www.vgsf.ac.at--------------------------

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[VFN] Reminder: Invitation Dec. 19th - Gutmann Center Public Lecture with Darrel Duffie:" Measuring and Pricing Corporate Default Risk: Where are we now?"
by Gutmann Center-D.Grimm 15 Dec '05

15 Dec '05

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: December 19th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Darrell DUFFIE, Stanford http://www.stanford.edu/~duffie/ Title: MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW? Abstract: Some of the fog surrounding the measurement and pricing of corporate credit risk seems to be lifting, as the empirical evidence builds. There are nevertheless some important puzzles to be explained, and we remain in severe need of better models, especially for the pricing and risk management of correlated credit risk products (for which the market-standard copula models have significant inadequacies). Investors are compensated for bearing corporate default risk with market premia (credit yield spreads or credit derivative prices) that appear to be large relative to expected losses, and highly variable across time. There is evidence of significant clustering of defaults across corporate issuers, above and beyond that suggested by the correlation of observable risk factors such as equity returns, volatility, leverage, interest rates, and broad macroeconomic business-cycle variables. This is a clue to the surprisingly high prices of tranched credit products that are exposed only to those portfolio default losses that are above extremely high thresholds relative to historical losses. Drawing from a number of new collaborative research projects, this talk will present some recent evidence, suggest some new modelling approaches, and speculate on the underlying economic causes of these puzzles, which may include unobservable common risk factors, sluggish movement of capital across market segments, and agency in the asset management business. About Darrell Duffie: Darrell Duffie is the James I. Miller Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford. Duffie, recently a Director of The Board of The American Finance Association, is a Fellow of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of Moody's Academic Research Committee, and the 2003 IAFE/Sunguard Financial Engineer of the Year. He is currently on the editorial boards of Econometrica and The Journal of Financial Economics, among other journals. 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

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[VFN] Chair in Financial Mathematics at London School of Economics
by VFN-L admin * Andreas Schamanek 12 Dec '05

12 Dec '05

Dear VFN-L, Josef Hofbauer from the Department of Mathematics of University College London informed us of a vacant Chair in Financial Mathematics. Details are to be found at http://www.maths.lse.ac.uk/Chair_in_Financial_Mathematics.html Regards, -- -- Andreas Schamanek

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[VFN] Invitation Dec. 19th - Gutmann Center Public Lecture with Darrel Duffie:" Measuring and Pricing Corporate Default Risk: Where are we now?"
by Gutmann Center-D.Grimm 05 Dec '05

05 Dec '05

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: December 19th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Darrell DUFFIE, Stanford http://www.stanford.edu/~duffie/ Title: MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW? Abstract: Some of the fog surrounding the measurement and pricing of corporate credit risk seems to be lifting, as the empirical evidence builds. There are nevertheless some important puzzles to be explained, and we remain in severe need of better models, especially for the pricing and risk management of correlated credit risk products (for which the market-standard copula models have significant inadequacies). Investors are compensated for bearing corporate default risk with market premia (credit yield spreads or credit derivative prices) that appear to be large relative to expected losses, and highly variable across time. There is evidence of significant clustering of defaults across corporate issuers, above and beyond that suggested by the correlation of observable risk factors such as equity returns, volatility, leverage, interest rates, and broad macroeconomic business-cycle variables. This is a clue to the surprisingly high prices of tranched credit products that are exposed only to those portfolio default losses that are above extremely high thresholds relative to historical losses. Drawing from a number of new collaborative research projects, this talk will present some recent evidence, suggest some new modelling approaches, and speculate on the underlying economic causes of these puzzles, which may include unobservable common risk factors, sluggish movement of capital across market segments, and agency in the asset management business. About Darrell Duffie: Darrell Duffie is the James I. Miller Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford. Duffie, recently a Director of The Board of The American Finance Association, is a Fellow of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of Moody's Academic Research Committee, and the 2003 IAFE/Sunguard Financial Engineer of the Year. He is currently on the editorial boards of Econometrica and The Journal of Financial Economics, among other journals. 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

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[VFN] VGSF Research Seminar
by Michael Halling 02 Dec '05

02 Dec '05

This is a reminder for the VGSF Research Seminar that is going to take place today, Friday Dec. 2nd, from 15:30 to 17:00 at the BWZ in Floridsdorf (University of Vienna, a detailed plan can be found at http://www.univie.ac.at/Wirtschaftswissenschaften/ ) in lecture room 3 (HS 3). Prof. Burcin Yurtoglu from the University of Vienna is going to give a talk on "The Effects of Ownership Concentration and Identity on Investment Performance: An International Comparison". For further information regarding Prof. Yurtoglu look at http://homepage.univie.ac.at/besim.yurtoglu/ For further information and upcoming visitors, please refer to http://www.vgsf.ac.at. Best, Michael Halling

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[VFN] Ausschreibung Stellen WissenschaftlicheR MitarbeiterIn
by Alexander Veverka 02 Dec '05

02 Dec '05

Sehr verehrte Damen, sehr geehrte Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr. Otto Loistl, sind voraussichtlich ab 1. Jänner 2006 bis 30. September 2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei Stellen unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48 (Bewerbungsfrist: 21. Dezember 2005). Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls Weiterleitung an InteressentInnen verbleibe ich mit freundlichen Grüßen Alexander Veverka ---------------------------------------------------------------------------------------- Dr. Alexander Veverka, Assistant Professor Institute for Finance and Financial Markets Chair for Investmentbanking and Catallactics Vienna University of Economics and Business Administration Althanstrasse 39-45, 1090 Vienna, Austria, Europe Phn: +43 1 31336 4183 Fax: +43 1 31336 761 email: alexander.veverka(a)wu-wien.ac.at ----------------------------------------------------------------------------------------

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[VFN] Reminder: Talk Terrance Odean "INVESTOR BEHAVIOR AND MARKET EFFICIENCY", Dec. 5th
by Gutmann Center-D.Grimm 30 Nov '05

30 Nov '05

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: December 5th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Terrance ODEAN (www.odean.org) Haas School of Business at the University of California, Berkeley Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY" Abstract: Professor Terrance Odean will present his research on how psychological biases and decision heuristics affect the trading of individual investors and the impact of this trading on investor welfare and market efficiency. Analyzing the trading records of hundreds of thousands of individual and institutional investors, Professor Odean finds that individual investors tend to trade too frequently, hold onto their losing investments, and buy stocks that are in the news. Psychological motivations for these behaviors are overconfidence, a desire to avoid feeling regret, and the limits of human attention. Investors, especially those who have experienced recent success, are likely to be overconfident about their abilities. Overconfidence leads to excessive trading and lower returns. The stocks that individual investors buy tend to subsequently under-perform those they sell. Active investors tend to under-perform buy-and-hold investors. Men, who tend to be more overconfident than women, trade 45% more actively than women thereby hurting their net returns. And investors who switch to online trading tend to trade more actively, more speculatively, and less successfully after going online. And investors tend to buy stocks that are in the news, irrespective of whether the news is good or bad. These trading behaviors lead to substantial reductions in portfolio returns for individual investors. Furthermore, the trading of individual investors forecasts future asset returns. About Terrance Odean: Terrance Odean (www.odean.org) is Professor of Finance at the Haas School of Business, University of California, Berkeley. He is director of UC Berkeley’s Experimental Social Science Laboratory, associate editor of The Review of Financial Studies, and a member of the Russell Sage Behavioral Economics Roundtable. Professor Odean is an internationally highly respected scholar in the field of behavioral finance. His research focuses on the implications of overconfidence on investment behavior. It has been cited in The Wall Street Journal, The New York Times, The L.A. Times, The Washington Post, The International Herald Tribune, Time, Newsweek, U.S. News and World Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg Personal, Worth, Kipplinger's Personal Finance, and several other publications. Professor Odean earned a B.A. in Statistics at the University of California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School of Business in 1997. He held a position at the Graduate School of Management, University of California Davies and returned to the Haas School in 2001. 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 - A-1210 Wien phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] Aussschreibung: wissenschaftlicher Mitarbeiter
by Paul Schneider 22 Nov '05

22 Nov '05

Im *Institut für Finanzierung und Finanzmärkte, Abteilung Betriebliche Finanzierung*, ist voraussichtlich ab 15. Dezember 2005 bis 14. Dezember 2009 die Stelle *eines wissenschaftlichen Mitarbeiters/ einer wissenschaftlichen Mitarbeiterin* (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), *vollbeschäftigt *zu besetzen. *Notwendige Kenntnisse und Qualifikationen:* EU-Bürger/in, abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften *Erwünschte Kenntnisse und Qualifikationen:* Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an entscheidungsorientierter, analytischer finanzwirtschaftlicher Forschung Weitere Infos auf http://www.wu-wien.ac.at/aktuell/mblatt/pdf/MB07_05.pdf

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[VFN] VGSF Research Seminar
by Michael Halling 18 Nov '05

18 Nov '05

This is a reminder for the VGSF Research Seminar that is going to take place tomorrow, Friday Nov. 18th, from 15:30 to 17:00 at the BWZ in Floridsdorf (University of Vienna, a detailed plan can be found at http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS 3). Prof. Hans Degryse from CentER-Tilburg University is going to give a talk on "SMEs and Bank Lending Relationships: The Impact of Mergers". For further information regarding Prof. Degryse look at http://www.tilburguniversity.nl/faculties/feb/finance/people/degryse/ For further information and upcoming visitors, please refer to www.vgsf.ac.at. If you would like to discuss your research with Prof. Degryse, please contact michael.halling(a)univie.ac.at. Best, Michael Halling

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[VFN] Invitation: Terrance Odean in Gutmann Center Public Lecture Dec. 5th
by Gutmann Center-D.Grimm 18 Nov '05

18 Nov '05

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: December 5th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Terrance ODEAN (www.odean.org) Haas School of Business at the University of California, Berkeley Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY" Abstract: Professor Terrance Odean will present his research on how psychological biases and decision heuristics affect the trading of individual investors and the impact of this trading on investor welfare and market efficiency. Analyzing the trading records of hundreds of thousands of individual and institutional investors, Professor Odean finds that individual investors tend to trade too frequently, hold onto their losing investments, and buy stocks that are in the news. Psychological motivations for these behaviors are overconfidence, a desire to avoid feeling regret, and the limits of human attention. Investors, especially those who have experienced recent success, are likely to be overconfident about their abilities. Overconfidence leads to excessive trading and lower returns. The stocks that individual investors buy tend to subsequently under-perform those they sell. Active investors tend to under-perform buy-and-hold investors. Men, who tend to be more overconfident than women, trade 45% more actively than women thereby hurting their net returns. And investors who switch to online trading tend to trade more actively, more speculatively, and less successfully after going online. And investors tend to buy stocks that are in the news, irrespective of whether the news is good or bad. These trading behaviors lead to substantial reductions in portfolio returns for individual investors. Furthermore, the trading of individual investors forecasts future asset returns. About Terrance Odean: Terrance Odean (www.odean.org) is Professor of Finance at the Haas School of Business, University of California, Berkeley. He is director of UC Berkeley’s Experimental Social Science Laboratory, associate editor of The Review of Financial Studies, and a member of the Russell Sage Behavioral Economics Roundtable. Professor Odean is an internationally highly respected scholar in the field of behavioral finance. His research focuses on the implications of overconfidence on investment behavior. It has been cited in The Wall Street Journal, The New York Times, The L.A. Times, The Washington Post, The International Herald Tribune, Time, Newsweek, U.S. News and World Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg Personal, Worth, Kipplinger's Personal Finance, and several other publications. Professor Odean earned a B.A. in Statistics at the University of California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School of Business in 1997. He held a position at the Graduate School of Management, University of California Davies and returned to the Haas School in 2001. 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 - A-1210 Wien phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] Ankündigung: Workshop Kreditrisikomanagement
by mhanke＠wu-wien.ac.at 07 Nov '05

07 Nov '05

Das Institut für Betriebliche Finanzwirtschaft der Universität Innsbruck (ab 1.1.2006: Institut für Banken und Finanzen) veranstaltet am 25./26.11. im Universitätszentrum Obergurgl einen Workshop zum Thema Kreditrisikomanagement. Die Liste der Vortragenden inkludiert unter anderem Prof. Wolfgang Bühler (Mannheim) und Prof. Stefan Pichler (WU Wien). Das Programm und organisatorische Informationen finden Sie unter http://uibk.ac.at/congress/krm/krm.html Anmeldungen sind noch möglich, Details dazu finden Sie ebenfalls auf der Website. Beste Grüße, Michael Hanke -- Univ.Prof. Dr. Michael Hanke Institut für Betriebliche Finanzwirtschaft Universität Innsbruck Universitätsstr. 15 6020 Innsbruck Tel.: (43)512 507-7552, Fax: -2846 e-mail: Michael.Hanke(a)uibk.ac.at

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[VFN] CARISMA Financial Engineering Workshops
by Xiaochen Sun 04 Nov '05

04 Nov '05

RE: CARISMA FINANCIAL ENGINEERING WORKSHOPS <http://www.unicom.co.uk/events/event_details.asp?productid=1473&catid=1&sub…> EXTREME VALUE THEORY AND COPULAS <http://www.unicom.co.uk/events/event_details.asp?productid=1456&catid=1&sub…> , 29 November 2005, London Presenters: Paul Embrechts, Johanna Neslehova, Rosario Dell'Aquila, RiskLab, ETH Zurich; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome; Annalisa Di Clemente, University of Rome; FINANCIAL INNOVATION AND NEW STRUCTURED PRODUCTS IN THE EQUITY WORLD <http://www.unicom.co.uk/events/event_details.asp?productid=1457&catid=1&sub…> , 30 November 2005, London Presenter: Dilip Madan, Robert H. Smith School of Business, University of Maryland / Consultant to Morgan Stanley PRACTICAL FINANCIAL OPTIMISATION: DECISION MAKING FOR FINANCIAL ENGINEERS <http://www.unicom.co.uk/events/event_details.asp?productid=1458&catid=1&sub…> ,1 December 2005, London Presenters: Stavros Zenios, Wharton School of Business /University of Cyprus; Gautam Mitra, CARISMA, Brunel University HIDDEN MARKOV MODELS, KALMAN FILTERS, ROBUST REGRESSION <http://www.unicom.co.uk/events/event_details.asp?productid=1468&catid=1&sub…> , 2 December 2005, London Presenters: Paresh Date, Rogemar Mamon, Keming Yu, CARISMA, Brunel University; We are pleased to announce the above workshops. The objective of the four one-day events is to bring together practitioners, academics working in the area of risk management, financial engineering, quantitative finance and optimisation. They will provide an opportunity for participants engaged at the forefront of this area to discuss problems and challenges and suggest fruitful directions for future research, which focus on the emerging requirements of the finance industry. The speaker panel includes world leaders such as Dilip Madan, Robert H. Smith School of Business, University of Maryland/ Consultant to Morgan Stanley; Paul Embrechts and colleagues, RiskLab, ETH, Zurich; Gautam Mitra, CARISMA, Brunel University; Stavros Zenios, Wharton School of Business/University of Cyprus; Claudio Romano, Credit Risk Analyst, Capitalia Bank Holding, Rome. All the speakers have achieved distinction through their research contributions and also possess wide experience of real world applications of highly sophisticated quantitative models. You will learn about the latest developments in the field from acknowledged research leaders, gathered together in London. By networking and listening to the presentations, you will gain valuable knowledge and practical techniques to apply your own area of practice or research. You will gain first hand experience of the innovative thinking and best practices currently being developed in some of the world's leading educational institutions. For further details please go to www.carisma.brunel.ac.uk/FE.html <http://www.carisma.brunel.ac.uk/FE.html> or www.unicom.co.uk/finance , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer. The events are organised by the Centre for the Analysis of Risk and Optimisation Modelling Applications (CARISMA) at Brunel University, and managed by UNICOM Seminars. We will appreciate if could put the poster on your bulleting board and make your colleagues aware of these events. We look forward to welcoming you and your colleagues to the workshops; please contact me if you require further information. Best regards Michael Sun xiaochen.sun(a)brunel.ac.uk or michael(a)unicom.co.uk CARISMA, www.carisma.brunel.ac.uk <http://www.carisma.brunel.ac.uk> UNICOM Seminars, www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> Michael(Xiaochen) Sun CARISMA, www.carisma.brunel.ac.uk Centre for the Analysis of Risk and Optimisation Modelling Application; School of Computing, Information Systems and Mathematics Brunel University Middlesex Uxbridge, UB8 3PH United Kingdom * xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk> http://mam3xs.blogspot.com/ *(+44) (0)1895 265625 *(+44) (0)7841873292

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[VFN] VGSF Research Seminar 4.11.2005 - Prof. ESPEN ECKBO - "The Toehold Puzzle"
by Michael Halling 03 Nov '05

03 Nov '05

This is a reminder for the VGSF Research Seminar that is going to take place tomorrow, Friday Nov. 4th, from 15:30 to 17:00 at the BWZ in Floridsdorf (University of Vienna, a detailed plan can be found at http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 3 (HS 3). Prof. Espen Eckbo from Dartmouth College is going to give a talk on "The Toehold Puzzle". For further information regarding Prof. Eckbo who is a leading scholar in the area of corporate finance and especially in corporate governance related issues look at http://mba.tuck.dartmouth.edu/pages/faculty/espen.eckbo/ For further information and upcoming visitors, please refer to www.vgsf.ac.at. Best, Michael Halling

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[VFN] Reminder VGSF Research Seminar
by Michael Halling 28 Oct '05

28 Oct '05

This is a reminder for the VGSF Research Seminar that is going to take place tomorrow, Friday Oct. 28th, from 15:30 to 17:00 at the BWZ in Floridsdorf (University of Vienna, a detailed plan can be found at http://www.univie.ac.at/Wirtschaftswissenschaften/) in lecture room 8 (HS 8). Prof. Alois Geyer from the Vienna University of Economics and Business Administration is going to give a talk on "Life-Cycle Asset Allocation". For further information, please refer to www.vgsf.ac.at. Note further that the schedule up to Christmas (in fact, up to Dec. 21st) has been finalized. Best, Michael Halling

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[VFN] VGSF Research Seminar
by Michael Halling 12 Oct '05

12 Oct '05

Please take note of the following information regarding the VGSF Research Seminar: (A) There is NO research seminar on Oct. 14th. (B) The next research seminar takes place on Oct. 21st in HS 3 at the BWZ and is given by Alexander STOMPER (from the University of Vienna) on "How Leverage affects Pricing: Theory and Evidence". With apologies for cross-postings and kind regards, Michael Halling

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[VFN] VGSF Research Seminar
by Michael Halling 03 Oct '05

03 Oct '05

This week there are going to be three interesting research seminars: (1.) Bing Liang (from the University of Massachusetts Amherst, http://www.isenberg.umass.edu/finopmgt/Faculty/Profiles/Bing_Liang/) is going to give a research seminar on the paper "Do Market Timing Hedge Funds Time the Market?" on Thursday Oct. 6th from 11:00 to 12:30 in HS 6. (2.) Per Strömberg (from SIFR, http://www.sifr.org/) gives a research seminar on "What are firms? Evolution from Birth to Public Companies" on Friday Oct. 7th from 14:00 to 15:30 in HS 12 at the BWZ. (3.) Nicolae Garleanu (from Wharton, University of Pennsylvania, http://www.wharton.upenn.edu/faculty/garleanu.html) is giving a research seminar on a paper called "Demand based option pricing" on Friday Oct. 7th from 15:45 to 17:15 in HS 12 at the BWZ. Information regarding the research seminar can be found on http://www.vgsf.ac.at/ (then follow the link to activities and events). If you any questions or suggestions regarding the research seminar, don't hesitate to contact Michael Halling (michael.halling(a)univie.ac.at). Furthermore, please accept my apologies for any cross-postings or duplicate pieces of information. Best, Michael Halling

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[VFN] Stellenausschreibung am Institut fuer Kreditwirtschaft, WU Wien
by Rainer Jankowitsch 21 Sep '05

21 Sep '05

Sehr geehrte Damen und Herren, am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien, Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. November 2005 bis 30. Februar 2008 die Stelle eines drittmittelfinanzierten wissenschaftlichen Mitarbeiters / einer drittmittelfinanzierten wissenschaftlichen Mitarbeiterin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt, zu besetzen. Notwendige Kenntnisse und Qualifikation: Abgeschlossenes Diplomstudium Erwünschte Kenntnisse und Qualifikation: Fundierte Programmierkenntnisse und Fähigkeiten im Umgang mit Datenbanken Fundierte Kenntnisse in Finanzwirtschaft besonders im Bereich Kreditrisiko Fundiertes Wissen in Mathematik und Statistik Bewerbungsfrist: 10. Oktober 2005 Schriftliche Bewerbung mit Lebenslauf und Zeugnissen bitte an das Institut für Kreditwirtschaft, WU Wien, UZA 4, Nordbergstrasse 15, 1090 Wien. Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung an Interessenten verbleibe ich mit freundlichen Grüßen Rainer Jankowitsch -- *************************************************** Univ.-Ass. Mag. Dr. Rainer Jankowitsch Wirtschaftsuniversität Wien Institut für Kreditwirtschaft UZA 4, 6. Stock Kern B Nordbergstrasse 15 A-1090 Wien Tel: ++ 43 1 31336 4340 Fax: ++ 43 1 310 05 80 E-mail: rainer.jankowitsch(a)wu-wien.ac.at Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/ ****************************************************

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[VFN] Call for Papers Gutmann Center Symposium on Real Assets and Portfolio Management March 27th 2006
by Gutmann Center-D.Grimm 15 Sep '05

15 Sep '05

CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT (apologies for any cross-postings!!) GUTMANN CENTER SYMPOSIUM ON "REAL ASSETS AND PORTFOLIO MANAGEMENT" Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at March 27th, 2006 University of Vienna, Austria The Gutmann Center for Portfolio Management at the University of Vienna is proud to announce its fourth annual symposium to be held at the University of Vienna. The focus of this year’s symposium is on “real assets” such as real estate, commodities, etc. In particular we invite empirical and theoretical research on: (i) the risk-return characteristics of real assets, (ii) return prediction in real asset markets, (iii) alternative instruments and investment vehicles in real asset markets, (iv) asset pricing and real assets (v) asset allocation and real assets. PAPER SUBMISSION: Papers on topics mentioned above should be submitted by email (in Acrobat PDF) not later than October 31st, 2005 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 Mail: 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 announced by January 15th, 2006. Submission and participation are free of charge. Presenting authors are invited to apply to Gutmann Center to cover their accommodation and travel expenses.

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[VFN] Stellenausschreibung am Inst. fuer Kreditwirtschaft der WU-WIEN (fwd)
by VFN-L admin * Andreas Schamanek 25 Aug '05

25 Aug '05

---------- Forwarded message ---------- Date: Thu, 25 Aug 2005 12:08:17 +0200 From: Manuel Lingo <manuel.lingo(a)wu-wien.ac.at> Subject: Stellenausschreibung am Inst. fuer Kreditwirtschaft der WU-WIEN Sehr geehrte Damen und Herren, am Institut für Kreditwirtschaft, der Wirtschaftsuniversität Wien, Univ. Prof. Dr. Stefan Pichler, ist voraussichtlich ab 1. Oktober 2005 bis 30. September 2011 die Stelle eines Assistenten/ einer Assistentin (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), vollbeschäftigt, zu besetzen. Nähere Informationen entnehmen Sie bitte dem Ausschreibungstext: http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w31 (Ende der Bewerbungsfrist: 14. September 2005) Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung an Interessenten verbleibe ich mit freundlichen Grüßen Manuel Lingo Institut für Kreditwirtschaft WU-WIEN Tel: +43 (0) 1 313 36 4686 Fax: +43 (0) 1 310 05 80 manuel.lingo(a)wu-wien.ac.at

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