- VFN-L - TU FAM Mailing lists

[VFN] Academic Job Announcements @FAM and @math-jobs.com
by VFN-L admin * Andreas Schamanek 23 Aug '05

23 Aug '05

Dear VFN-L, As open positions are casually posted through this newsletter, we would like to draw your attention to the fam-jobs website of the Financial And Actuarial Mathematics working group at TU Vienna: > Jobs, Stellenangebote, ... > ... im Bereich Finanz- und Versicherungsmathematik http://www.fam.tuwien.ac.at/jobs/ The site is associated with a newsletter where new postings are announced. If you want to post a position, simply send an email to fam(a)fam.tuwien.ac.at . On the fam-jobs homepage you can also subscribe to the newsletter. fam-jobs focuses on Austria. For international positions -- both academic and commercial -- math-jobs is a good option. Listings are free of charge for academic positions. > math-jobs.com http://www.math-jobs.com/ We hope that helps, -- -- Andreas Schamanek ------------------------------------------------------------------------ ANDREAS SCHAMANEK <Andreas.Schamanek(a)tuwien.ac.at> * Systemadministrator FAM @ TU Vienna E105, Wiedner Hauptstr. 8-10/105, A-1040 Vienna, Austria http://www.fam.tuwien.ac.at/~schamane/ * V: +43-1 58801-10555, F: -10598

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[VFN] Stellenausschreibungen an der Abteilung fuer Betriebliche Finanzierung, WU Wien
by Christian Wagner 16 Aug '05

16 Aug '05

Sehr geehrte Damen und Herren, am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität Wien, Abteilung für Betriebliche Finanzierung, o.Univ.Prof. Dr. Stefan Bogner, sind voraussichtlich ab 1. September 2005 bis 31. August 2009 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte den Ausschreibungen obiger zwei Stellen unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w24 sowie unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w25 (Bewerbungsfrist: 24. August 2005). Mit der Bitte um Kenntnisnahme und gegebenenfalls Weiterleitung an Interessenten verbleibe ich mit freundlichen Grüßen Christian Wagner -------------------------------------------------------------- Christian Wagner Institute of Finance and Financial Markets Department of Corporate Finance Vienna University of Economics and B.A. Nordbergstraße 15 A-1090 Vienna, Austria Tel: +43-1-31336-4253 Fax: +43-1-31336-736 email: christian.wagner(a)wu-wien.ac.at

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[VFN] Ausschreibung Stellen WissenschaftlicheR MitarbeiterIn
by Alexander Veverka 08 Aug '05

08 Aug '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. September 2005 bis 30. September 2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen. Nähere Informationen entnehmen Sie bitte den Ausschreibungen obiger zwei Stellen unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w22 sowie unter http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w23 (Bewerbungsfrist: 17. August 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] Ankuendigung Praktikerworkshop Kreditrisikomanagement, Obergurgl, Nov. 05
by Michael Hanke 19 Jul '05

19 Jul '05

Sehr geehrte Damen und Herren, Ende November veranstalten wir neben der bereits angekündigten wissenschaftlichen Tagung auch einen Praktikerworkshop zum Thema Kreditrisikomanagement im Universitätszentrum Obergurgl. Als keynote speaker konnten wir Prof. Stefan Pichler von der WU Wien gewinnen, der zum Thema "Der ökonomische Wert von Ratingsystemen" sprechen wird. Genauen Termin, Programm, Zielgruppe und weitere Informationen finden Sie unter http://ibf.uibk.ac.at/krmw.html Wir würden uns freuen, Sie im November in Obergurgl bei dieser Veranstaltung begrüßen zu dürfen. Beste Grüße aus Innsbruck, Matthias Bank und Michael Hanke -- Prof. Dr. Michael Hanke University of Innsbruck Department of Finance Universitaetsstrasse 15 6020 Innsbruck, Austria Phone: (+43)5125077552, Fax: (+43)5125072846

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[VFN] CCEFM/IHS Seminar
by alfred.lehar＠univie.ac.at 22 Jun '05

22 Jun '05

Workshop Martin Ruckes A Dynamic Analysis of Growth via Acquisition Firday, June 24th 3:30-5:00 pm Wiener Boerse Wallnerstrasse 8 1010 Wien The paper will be downloadable by tomorrow. ------------ This is the last seminar for this academic year. Enjoy the holidays. Alfred Lehar

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[VFN] PhD student and PostDoc positions at Financial and Actuarial Mathematics, TU Vienna
by VFN-L admin * Andreas Schamanek 15 Jun '05

15 Jun '05

The research group Financial and Actuarial Mathematics of TU Vienna is looking for a PostDoc or PhD student for the two research projects * "Mathematics and Credit Risk", granted by the WWTF, and * "Extensions of CreditRisk+" in cooperation with the Austrian Central Bank. Details are available at http://www.fam.tuwien.ac.at/jobs/20050601a.php Regards, -- -- Andreas Schamanek vfn-L-admin

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[VFN] CCEFM/IHS Seminar
by Alfred Lehar 14 Jun '05

14 Jun '05

CCEFM Workshop Roman Inderst Keeping the Board in the Dark: CEO Compensation and Entrenchment Friday, June 17th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Martin Ruckes TBA Friday, June 24th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien

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[VFN] Einladung Festveranstaltung Gutmann Center und Fakultaet f. Wirtschaftswissenschaften Uni Wien
by Gutmann Center-D.Grimm 09 Jun '05

09 Jun '05

------EINLADUNG------------------ Preisverleihung des GUTMANN CENTER MASTER THESIS GRANT und EHRUNG VERDIENTER LEKTORINNEN UND LEKTOREN der Fakultät für Wirtschaftswissenschaften der Universität Wien Datum: Dienstag, 14. Juni 2005, 17.00 Uhr Ort: Universität Wien, Kleiner Festsaal, Dr. Karl-Lueger-Ring 1, 1010 Wien Anmeldung: elisabeth.reeh(a)univie.ac.at - Tel: 01/4277-37047 Die Fakultät für Wirtschaftswissenschaften der Universität Wien und das Gutmann Center for Portfolio Management an der Universität Wien laden zu einer gemeinsamen Festveranstaltung ein. Das Gutmann Center schrieb im vergangenen Jahr einen Diplomarbeitspreis aus. AbsolventInnen der Universität Wien, der Technischen Universität Wien sowie der Wirtschaftsuniversität Wien waren eingeladen, hervorragende Diplomarbeiten aus dem Bereich Finanzwirtschaft mit Bezug zum Schwerpunktthema Portfolio Management einzureichen. Es werden 3 Preise in Höhe von gesamt 5.000 Euro vergeben. Informationen zu den Preisträgern und ihren Arbeiten sind im Internet erhältlich unter www.gutmann-center.at Die mit der Autonomie der Universitäten neu entstandene Fakultät für Wirtschaftswissenschaften der Universität Wien ehrt verdiente Fachleute aus verschiedenen Bereichen der Wirtschaft. Dekan o. Univ.Prof. Dr. Udo Wagner bedankt sich für die seit vielen Jahren kontinuierlich abgehaltenen Lehrveranstaltungen an der Fakultät, die einen wichtigen Beitrag zum hohen wissenschaftlichen und praxisnahmen Niveau in der Ausbildung leisten. Informationen zur Ehrung unter: http://www.dieuniversitaet-online.at/kalender/index.php?module=PostCalendar…

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[VFN] Reminder Invitation Public Lecture on "Commodities" - June 13th - Gutmann Center
by Gutmann Center-D.Grimm 08 Jun '05

08 Jun '05

INVITATION Gutmann Center for Portfolio Management www.gutmann-center.at at the University of Vienna is pleased to invite to a GUTMANN CENTER PUBLIC LECTURE Date: June 13th (Monday), 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien - apologies for any cross-listings - Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale School of Management http://mayet.som.yale.edu/~geert/ Title: THE LONG-TERM PERFORMANCE OF COMMODITY FUTURES Abstract: We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. About Geert Rouwenhorst: K. Geert Rouwenhorst is Professor of Finance at the Yale School of Management and Deputy Director of the International Center for Finance at Yale, which he joined after receiving his PhD from the University of Rochester. He has held visiting positions at MIT and the IMF. Geert's research interests include business cycles and empirical work on the tradeoff between risk and return in developed and emerging stock markets. In his recent work he examines commodity investments, hedge fund strategies, mutual fund settlement, and the history of finance. Geert's articles have been published in academic journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, as well as in applied journals such as the Financial Analyst Journal and the Journal of Portfolio Management. His upcoming book Origins of Value (with William Goetzmann ed.) surveys key historical innovations in the field of finance. Registration: brigitte.juchelka(a)gutmann.at Further info: Gutmann Center for Portfolio Management Dorothea Grimm - +43-1-4277-38186 dorothea.grimm(a)univie.ac.at www.gutmann-center.at

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[VFN] workshop 10th of June
by Alex Stomper 06 Jun '05

06 Jun '05

Joint CCEFM&IHS Workshop Klaus Ritzberger, Who Controls Allianz? Friday, June 10th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien

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[VFN] CCEFM-IHS seminar -- Reminder
by Alfred Lehar 03 Jun '05

03 Jun '05

CCEFM Workshop Hayne Leland, Purely Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spin-Offs, and Structured Finance Friday, June 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Klaus Ritzberger, Who Controls Allianz? Friday, June 10th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien

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[VFN] Ausschreibung Professur "Versicherungswirtschaft"
by Brigitte Parnigoni 03 Jun '05

03 Jun '05

Sehr geehrte Damen und Herren, ich ersuche um Veröffentlichung der folgenden Ausschreibung einer Professur an der WU Wien über den Vienna Finacial Newsletter: Professur "Versicherungswirtschaft" An der WU Wien ist zum nächstmöglichen Zeitpunkt eine unbefristete Universitätsprofessur für "Versicherungswirtschaft", Kennzahl 40890, zu besetzen. Die Bewerberin/Der Bewerber soll im Bereich der Versicherungswirtschaft in der internationalen Forschung durch hochrangige Publikationen ausgewiesen sein. Erwünscht sind Forschungsschwerpunkte im Kernbereich des Faches, d.h. vor allem im Bereich des Risikotransfers, der Risikosteuerung und des Risikocontrolling in Versicherungsunternehmen, des Asset-Liability-Managements in Versicherungsunternehmen sowie neuerer Entwicklungen bezüglich der Rechnungslegungsstandards und der Regulierungsnormen für Versicherungsunternehmen. Der wissenschaftliche Ansatz der Bewerberin/des Bewerbers soll analytisch sein und sich an den international anerkannten Fachjournalen orientieren. Es wird von der Bewerberin/dem Bewerber erwartet, sich im Rahmen eines Forschungsinstituts "Versicherungswesen" auch mit institutionell geleiteten Forschungsfragen (z.B. auch Produkt- und Unternehmensbesteuerung) und mit anwendungsbezogenen Forschungsthemen zu befassen. Die Professur ist im Department Finanzwirtschaft und Rechnungswesen intensiv in das gemeinsame Lehr- und Forschungsprogramm aller Lehrstühle im Bereich der Finanzwirtschaft integriert. In der Lehre wird die Mitarbeit in betriebswirtschaftlichen Lehrveranstaltungen des Bakkalaureatsstudiums, insbesondere im Rahmen der Speziellen Betriebswirtschaftslehre "Finanzwirtschaft", im Masterstudium im Rahmen des Masterprogrammes "Finance and Accounting", im Rahmen fachrelevanter Weiterbildungsprogramme (z.B. MBA) und im Doktoratsprogramm der WU erwartet. Lehrveranstaltungen in den Master- und Doktoratsprogrammen sind in englischer Sprache abzuhalten. Nähere Auskünfte über die zu besetzende Professur erteilt o. Univ.Prof. Dr. Stefan Bogner (stefan.bogner(a)wu-wien.ac.at). Bewerberinnen/Bewerber mit einschlägiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den üblichen Bewerbungsunterlagen (Lebenslauf, Publikationsverzeichnis, Liste abgehaltener Lehrveranstaltungen sowie fünf wesentliche wissenschaftliche Publikationen) bis zum 30.6.2005 Posteingang) an den Rektor der Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten. Elektronische Bewerbungen können an <mailto:brigitte.parnigoni@wu-wien.ac.at>brigitte.parnigoni(a)wu-wien.ac.at geschickt werden. Da sich die WU eine Erhöhung des Frauenanteils beim wissenschaftlichen Personal zum Ziel gesetzt hat, werden Frauen nachdrücklich aufgefordert, sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. An der WU ist ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet. Mit herzlichem Dank im Voraus und freundlichen Grüßen Brigitte Parnigoni ********************************************************************* Diese e-mail (und ihre Anhänge) ist ausschließlich für die/den darin genannte/n Empfängerin/Empfänger bestimmt. Sie enthält rechtlich geschützte und vertrauliche Informationen. Die Verwendung, Verarbeitung oder Übermittlung dieser e-mail, ihrer Anhänge oder irgendwelcher Teile davon kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt. Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht die/der bestimmungsgemäße Empfängerin/Empfänger sind, informieren Sie mich bitte sofort unter der unten genannten Adresse und vernichten Sie diese Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen davon unverzüglich. Die/der Absender trägt keine Haftung insbesondere für unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein vorsätzliches Verhalten vorgeworfen werden kann. ********************************************************************* Mag.a Brigitte Parnigoni WU Wien, Personalabteilung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at

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[VFN] Invitation Lecture about Commodities - Gutmann Center-June 13th
by Gutmann Center-D. Grimm 01 Jun '05

01 Jun '05

INVITATION Gutmann Center for Portfolio Management www.gutmann-center.at at the University of Vienna is pleased to invite to a GUTMANN CENTER PUBLIC LECTURE Date: June 13th (Monday), 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. K. Geert ROUWENHORST, Yale http://mayet.som.yale.edu/~geert/ Title: THE LONG-TERM PERFORMANCE OF COMMODITY FUTURES Abstract: We construct an equally-weighted index of commodity futures monthly returns over the period between July of 1959 and December of 2004 in order to study simple properties of commodity futures as an asset class. Fully-collateralized commodity futures have historically offered the same return and Sharpe ratio as equities. While the risk premium on commodity futures is essentially the same as equities, commodity futures returns are negatively correlated with equity returns and bond returns. The negative correlation between commodity futures and the other asset classes is due, in significant part, to different behavior over the business cycle. In addition, commodity futures are positively correlated with inflation, unexpected inflation, and changes in expected inflation. About Geert Rouwenhorst: K. Geert Rouwenhorst is Professor of Finance at the Yale School of Management and Deputy Director of the International Center for Finance at Yale, which he joined after receiving his PhD from the University of Rochester. He has held visiting positions at MIT and the IMF. Geert's research interests include business cycles and empirical work on the tradeoff between risk and return in developed and emerging stock markets. In his recent work he examines commodity investments, hedge fund strategies, mutual fund settlement, and the history of finance. Geert's articles have been published in academic journals such as the Journal of Finance, the Journal of Financial Economics, and the Review of Financial Studies, as well as in applied journals such as the Financial Analyst Journal and the Journal of Portfolio Management. His upcoming book Origins of Value (with William Goetzmann ed.) surveys key historical innovations in the field of finance. Registration: brigitte.juchelka(a)gutmann.at Further info: Gutmann Center for Portfolio Management Dorothea Grimm - +43-1-4277-38186 dorothea.grimm(a)univie.ac.at www.gutmann-center.at

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[VFN] Hayne Leland - Gutmann Center Public Lecture - Monday, May 30th
by Gutmann Center-D. Grimm 25 May '05

25 May '05

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: Date: May 30th, 2005 - 5.00 p.m.: Speaker: Prof. Dr. Hayne E. LELAND, Berkeley http://www.haas.berkeley.edu/faculty/leland.html Title: OPTIMAL PORTFOLIO IMPLEMENTATION with Transactions Costs and Taxes Abstract: Traditional portfolio theory, developed by Markowitz and others, helps to determine an "ideal" set of asset proportions. But it ignores the costs of implementation, including trading costs and taxes. How does one take these factors into account when selecting and managing a portfolio? We provide some answers to these questions. CV: Hayne Leland is Professor of Finance at the University of California, Berkeley. His research has covered topics in asset management, corporate finance, and economics. He is a founding principal of Leland Rubinstein Obrien Associates (LOR), which invented the technique of "portfolio insurance." In 1987 he was named one of Fortune Magazine's "Businessmen of the Year." In 1990 LOR pioneered and launched the first-ever Exchange-Traded Fund (ETF), the SuperTrust. Leland is a past President of the American Finance Association, and serves on the Scientific Advisory Boards of numerous academic and financial institutions, including the EuroNext and Wells Fargo Asset Management. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, 1010 Wien Registration: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information at: www.gutmann-center.at Contact: gutmann.bwl(a)univie.ac.at phone: 43-1-4277-38186

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[VFN] Gutmann Center Public Lectures S. Sundaresan and H. Leland
by Gutmann Center-D. Grimm 19 May '05

19 May '05

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following two PUBLIC LECTURES: - Apologies for any cross-listings!! - Date: May 23rd, 2005 - 5.00 p.m. Speaker: Prof. Dr. Suresh SUNDARESAN, Columbia University http://www0.gsb.columbia.edu/faculty/ssundaresan/ Title: DISINTERMEDIATION OF CREDIT RISK - OPPORTUNITIES & CHALLENGES Abstract: Over the last three decades capital markets have become the repository of credit risk of households, corporations and governments. At the level of households, residential mortgages, home equity loans, credit card loans, auto loans, and student loans have been securitized and sold to the secondary markets. At the corporate level, bank loans [including leveraged loans] are traded in secondary markets, and more bank loans are placed into collateralized loan obligations or CLOs. More recently, a growing market has developed for buying and selling protection on corporate names: Single Name Credit Default Swaps or CDS. A similar market has also developed for credit default swaps on portfolio of names. These innovations have enabled asset management firms to short a portfolio of corporate names in a way that was not possible before. Finally, there is a growing trend in which sovereign loan markets are being supplanted by sovereign bond markets. CDS markets are developing in some sovereign names as well. The presentation will survey these developments and explore the challenges and opportunities that have arisen as a consequence of these developments. Implications for asset management, regulatory oversights, and contract design will be discussed. **************************************************************** ******************** Date: May 30th, 2005 - 5.00 p.m.: Speaker: Prof. Dr. Hayne E. LELAND, Berkeley http://www.haas.berkeley.edu/faculty/leland.html Title: OPTIMAL PORTFOLIO IMPLEMENTATION with Transactions Costs and Taxes Abstract: Traditional portfolio theory, developed by Markowitz and others, helps to determine an "ideal" set of asset proportions. But it ignores the costs of implementation, including trading costs and taxes. How does one take these factors into account when selecting and managing a portfolio? We provide some answers to these questions. Location both talks: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Registration: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information at: www.gutmann-center.at Contact: gutmann.bwl(a)univie.ac.at phone: 43-1-4277-38186

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[VFN] CCEFM-IHS seminar -- DIFFERENT TIME - AGAIN
by Alfred Lehar 17 May '05

17 May '05

We had to move the seminar again. The final time is from 16:30-18:00 -------------------------------------------- CCEFM Workshop Suresh Sundaresan, Columbia University Irreversible Investment in General Equilibrium !*************** different time ************************! Friday, May 20th, 16:30-18:00 Wiener Börse, Wallnerstrasse 8, 1010 Wien !*************** different time *********************! The paper is downloadable from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Hayne Leland, Purely Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spin-Offs, and Structured Finance Friday, June 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien

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[VFN] CCEFM-IHS seminar -- DIFFERENT TIME
by Alfred Lehar 17 May '05

17 May '05

CCEFM Workshop Suresh Sundaresan, Columbia University Irreversible Investment in General Equilibrium !*************** different time ************************! Friday, May 20th, 13:00-14:30 Wiener Börse, Wallnerstrasse 8, 1010 Wien !*************** different time *********************! The paper is downloadable within the next few days from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Hayne Leland, Purely Financial Synergies and the Optimal Scope of the Firm: Implications for Mergers, Spin-Offs, and Structured Finance Friday, June 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Gutmann Center Public Lecture: Suresh Sundaresan, May 23rd
by Gutmann Center-D. Grimm 12 May '05

12 May '05

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: - Apologies for any cross-listings!! - Date: May 23rd, 2005 - 5.00 p.m. Speaker: Prof. Dr. Suresh SUNDARESAN, Columbia University Title: DISINTERMEDIATION OF CREDIT RISK - OPPORTUNITIES & CHALLENGES Abstract: Over the last three decades capital markets have become the repository of credit risk of households, corporations and governments. At the level of households, residential mortgages, home equity loans, credit card loans, auto loans, and student loans have been securitized and sold to the secondary markets. At the corporate level, bank loans [including leveraged loans] are traded in secondary markets, and more bank loans are placed into collateralized loan obligations or CLOs. More recently, a growing market has developed for buying and selling protection on corporate names: Single Name Credit Default Swaps or CDS. A similar market has also developed for credit default swaps on portfolio of names. These innovations have enabled asset management firms to short a portfolio of corporate names in a way that was not possible before. Finally, there is a growing trend in which sovereign loan markets are being supplanted by sovereign bond markets. CDS markets are developing in some sovereign names as well. The presentation will survey these developments and explore the challenges and opportunities that have arisen as a consequence of these developments. Implications for asset management, regulatory oversights, and contract design will be discussed. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Please REGISTER: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 **************************************************************** ****** PLEASE NOTE: NEXT PUBLIC LECTURE: May 30th, 2005 - 5.00 p.m.: Prof. Dr. Hayne LELAND, Berkely "OPTIMAL PORTFOLIO IMPLEMENTATION with Transactions Costs and Taxes" **************************************************************** ****** Further information at www.gutmann-center.at Contact: gutmann.bwl(a)univie.ac.at phone: 43-1-4277-38186

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[VFN] Vortrag Michael Haas Mittwoch 18. Mai 18:00 Nordbergstrasse 15 (fwd)
by Andreas Schamanek 11 May '05

11 May '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Wed, 11 May 2005 11:42:28 +0200 (CEST) From: INFORM <inform(a)fam.tuwien.ac.at> Subject: Vortrag Michael Haas Mittwoch 18. Mai 18:00 Nordbergstrasse 15 Sehr geehrte Damen und Herren, Das Seminar "Finanzmathematik" wird in diesem Semester gemeinsam mit dem Institut fuer Kreditwirtschaft der WU Wien (Univ.Prof. Dr. Stefan Pichler) durchgefuehrt. Im Rahmen des Seminars haelt Herr Michael Haas (Deutsche Bank AG) einen Vortrag mit dem Titel "Deutsche Bank: A road map to credit risk management." Nach dem Vortrag stehen Getraenke und Erfrischungen zur Staerkung fuer anschliessende Diskussionen bereit. Zeit: Mittwoch, 18.5., 18:00 - 19:30. Ort: Hoersaal D204 (Ebene 2, Gebaeudeteil "D") UZA 4 Wirtschaftsuniversitaet Wien Nordbergstrasse 15 1090 Wien. !!! ACHTUNG - NEUER ORT NORDBERGSTRASSE 15 !!! !!! Zu erreichen: U4-Station Friedensbruecke, !!! !!! Ausgang "Gussenbauerstrasse", !!! !!! Spittelauer Laende ueberqeren, !!! !!! Tepserngasse entlanggehen. !!! !!! http://www.mat.univie.ac.at/~mfulmek/documents/Lageplan.pdf !!! !!! Rolltreppen fuehren auf Ebene 2, !!! !!! Gebaeudeteil "D" ist gelb markiert. !!! Mit besten Gruessen, Markus Fulmek ---------------------------------------------------- ++++++++ Wissenschaftlicher Verein INFORM ++++++++++ Insurance, Financial and Operational Risk Management Fakultaet fuer Mathematik Universitaet Wien Nordbergstrasse 15 A-1090 Wien @: inform(a)inform.ac.at W3: http://www.inform.ac.at ----------------------------------------------------

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[VFN] CCEFM / IHS Seminar
by Alfred Lehar 11 May '05

11 May '05

CCEFM Workshop Alfred Lehar, University of Vienna Using Price Information as an Instrument of Market Discipline in Regulating Bank Risk Friday, May 13th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- The next CCEFM workshop is by Suresh Sundaresan, Columbia University Irreversible Investment in General Equilibrium Friday, May 20th, TBA, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Call for Papers - Workshop Kreditrisiko in Obergurgl, Nov. 2005
by Michael Hanke 04 May '05

04 May '05

Sehr geehrte Kollegen und -innen, ich möchte auf einen Workshop zum Thema Kreditrisikomanagement hinweisen, der von Kollegen Bank und mir am 25./26. November im Universitätszentrum Obergurgl veranstaltet wird. Den Call for Papers sowie nähere Informationen finden Sie unter http://www.uibk.ac.at/c/c4/c434/krm.html Hinweis: Vor diesem Workshop wird am 24./25.11. am gleichen Ort ein "Praktikerworkshop" stattfinden. Details dazu (Vortragende und Programm) folgen in ca. 14 Tagen. Beste Grüße aus Tirol, Michael Hanke -- 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] 2005 Summer School in Rome
by FAM-operator 03 May '05

03 May '05

---------- Forwarded message ---------- From: Uwe Schmock ---------- Forwarded message ---------- From: Rita Laura D Ecclesia <rita.decclesia(a)uniroma1.it> Subject: June 2005 Summer School in Rome Date: Tue, 3 May 2005 10:22:18 +0200 Dear friends, I am attaching a preliminary program for June Summer School in Rome. I will be grateful if you could pass the information to colleagues and students of your Department to collect participants which may be willing to attend the school or send a contributed paper. Looking forward to hearing from you soon best regards Rita [attachment removed and saved to below URL by operator] URL : http://www.fam.tuwien.ac.at/listsdata/ISSprogram05-1.pdf Type: PDF document Size: 474KB

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[VFN] Ausschreibung
by Brigitte Parnigoni 02 May '05

02 May '05

Sehr geehrte Damne und Herren, ich ersuche um Veröffentlichung der folgenden Ausschreibung über den Vienna Finacial Newsletter: Ausschreibung einer Universitätsprofessur an der WU Wien An der Wirtschaftsuniversität Wien ist ab 1.10.2005 eine unbefristete Professur zu besetzen: Universitätsprofessor/Universitätsprofessorin für "Finanzierung", Kennzahl 39890 Die Bewerberin/Der Bewerber soll im Bereich Finanzierung insbesondere die Gebiete Risikomanagement und Financial Engineering in Forschung und Lehre wahrnehmen. Sie/Er soll in der Forschung breit ausgewiesen sein und sowohl empirische als auch formal-theoretische sowie methodisch innovative Arbeiten vorweisen können. Erwünscht sind Forschungsschwerpunkte in Finanzderivaten, insbesondere Financial Futures, und deren Märkten sowie in Fragestellungen der Corporate Finance wie beispielsweise der Bewertung von Zahlungsströmen oder der Kapitalallokation. Darüber hinaus ist eine wissenschaftliche Beschäftigung mit den Grundlagen von Risikomanagement und Financial Engineering, wie etwa mit statistischen Aspekten von Kapitalmarktrenditen, wünschenswert. Der wissenschaftliche Ansatz des Bewerbers/der Bewerberin soll die Verbindung einer entscheidungstheoretischen Perspektive auf Ebene der Individuen und Unternehmen einerseits und einer Kapitalmarkt-Orientierung andererseits herstellen. In der Lehre sind im Vertiefungsfach "Betriebliche Finanzierung" die Eingangslehrveranstaltungen zu betreuen, insbesondere auch während der Übergangszeit zu den neu einzurichtenden Bakkalaureatsprogrammen. Die Stelleninhaberin/Der Stelleninhaber soll zudem verantwortlich das neu zu entwickelnde gemeinsame Lehrangebot des Fachbereichs "Finanzwirtschaft und Rechnungswesen" für die Bakkalaureatsprogramme und die Masterstudien mittragen. Es wird erwartet, dass die Stelleninhaberin/der Stelleninhaber fähig ist, sowohl in Deutsch als auch in Englisch zu unterrichten und am englischsprachigen Lehrveranstaltungsprogramm der WU mitzuwirken Nähere Auskünfte über die zu besetzende Professur erteilt o. Univ.Prof. Dr. Stefan Bogner. Bewerberinnen/Bewerber mit einschlägiger Habilitation oder einer gleichzuhaltenden wissenschaftlichen Eignung mögen ihre Bewerbung mit den üblichen Bewerbungsunterlagen (Lebenslauf, Publikationsverzeichnis, Liste abgehaltener Lehrveranstaltungen sowie fünf wesentliche wissenschaftliche Publikationen) bis zum 25.5.2005 (Posteingang) an den Rektor der Wirtschaftsuniversität Wien, A-1090 Wien, Augasse 2-6, richten. Elektronische Bewerbungen können an <mailto:brigitte.parnigoni@wu-wien.ac.at>brigitte.parnigoni(a)wu-wien.ac.at geschickt werden. Da sich die WU eine Erhöhung des Frauenanteils beim wissenschaftlichen Personal zum Ziel gesetzt hat, werden Frauen nachdrücklich aufgefordert, sich zu bewerben. Frauen werden bei gleicher Qualifikation vorrangig aufgenommen. An der WU ist ein Arbeitskreis für Gleichbehandlungsfragen eingerichtet. Mit bestem Dank im Voraus und freundlichen Grüßen Brigitte Parnigoni ********************************************************************* Diese e-mail (und ihre Anhänge) ist ausschließlich für die/den darin genannte/n Empfängerin/Empfänger bestimmt. Sie enthält rechtlich geschützte und vertrauliche Informationen. Die Verwendung, Verarbeitung oder Übermittlung dieser e-mail, ihrer Anhänge oder irgendwelcher Teile davon kann Rechte von Betroffenen verletzen und ist deshalb strikt untersagt. Wenn Sie diese Nachricht irrtümlich erhalten oder aus anderen Gründen nicht die/der bestimmungsgemäße Empfängerin/Empfänger sind, informieren Sie mich bitte sofort unter der unten genannten Adresse und vernichten Sie diese Nachricht (einschließlich ihrer Anhänge) und allfällige Vervielfältigungen davon unverzüglich. Die/der Absender trägt keine Haftung insbesondere für unvollständige, verspätete oder verfälschte Nachrichten, sofern diesem kein vorsätzliches Verhalten vorgeworfen werden kann. ********************************************************************* Mag.a Brigitte Parnigoni WU Wien, Personalabteilung A - 1090, Augasse 2-6 Tel.: (01)313 36 4934 Fax: (01)313 36 701 mailto: brigitte.parnigoni(a)wu-wien.ac.at

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[VFN] Austrian Working Group
by Peter Steiner 27 Apr '05

27 Apr '05

to whom it may concern Ich bitte um Verteilung des First Call for Papers der Austrian Working Group on Banking & Finance. Besten Dank im voraus MfG - stp 20. WORKSHOP AUSTRIAN WORKING GROUP ON BANKING & FINANCE 18. / 19. November 2005 KARL-FRANZENS-UNIVERSITÄT GRAZ First CALL for PAPERS Der Workshop findet am Freitag, dem 18. November 2005, Nachmittag, und am Samstag, dem 19. November 2005, Vormittag, an der KARL-FRANZENS-UNIVERSITÄT GRAZ statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. Papers oder Extended Abstracts (ca. 2 Seiten) können bis spätestens 21. Oktober 2005 bei o.Univ.-Prof. Dr. Peter Steiner Institut für Banken und Finanzierung, Universitätsstraße 15/F2, A 8010 Graz Tel.: +43(0)316 380-7300 Fax: +43(0)316 380-9580 E-Mail: bafin(a)uni-graz.at oder bei o.Univ.-Prof. Dr. Edwin O. Fischer Institut für Industrie und Fertigungswirtschaft, Universitätsstraße 15/G2, A 8010 Graz Tel.: +43(0)316 380-3510 Fax: +43(0)316 380-9555 E-Mail: vera.pospisil(a)uni-graz.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 7. Oktober 2005 einzureichen. AUSTRIAN WORKING GROUP ON BANKING AND FINANCE Ziele: Schaffen eines österreichweiten Diskussionsforums für theoretische und empirische Forschungs- arbeiten auf dem Gebiet des Bankwesens und der Finanzwirtschaft. Förderung der Zusammenar- beit innerhalb der Hochschulen und der Zusammenarbeit mit der Praxis. Teilnehmer: Angesprochen sind sowohl der wissenschaftliche Nachwuchs an allen österreichischen Universi- täten und verwandten Institutionen der Forschung als auch Praktiker in Kreditinstituten und Finanzabteilungen von Unternehmen. Schwerpunkte (Auswahl): Arbitrage Pricing - Capital Market Theory - Capital Requirements of 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] CCEFM/IHS Seminar
by Alfred Lehar 26 Apr '05

26 Apr '05

CCEFM Workshop Viral Acharya, London Business School Cash-in-the-Market Pricing and Optimal Bank Bailout Policy Friday, April 29th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- The next CCEFM workshop is by Alfred Lehar, University of Vienna Using Price Information as an Instrument of Market Discipline in Regulating Bank Risk Friday, May 13th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM-IHS Seminar
by Alfred Lehar 19 Apr '05

19 Apr '05

CCEFM Workshop Youchang Wu, University of Vienna Security Characteristics and Expected Returns: Evidence from the Chinese Stock Market (paper) Friday, April 22th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm --------------------- The next CCEFM workshop is by Viral Acharya, TBA Friday, April 29th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM-IHS Seminar
by Alfred Lehar 12 Apr '05

12 Apr '05

CCEFM Workshop Suleyman Basak, London Business School On the Role of Arbitrageurs in Rational Markets Friday, April 15th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm --------------------- The next CCEFM workshop is by Youchang Wu, University of Vienna Security Characteristics and Expected Returns: Evidence from the Chinese Stock Market Friday, April 22th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM-IHS seminar
by Alfred Lehar 06 Apr '05

06 Apr '05

CCEFM Workshop Jun Liu, UCLA Private Information, Diversication, and Asset Pricing Friday, April 8th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/vgsf/activities/workshops.htm --------------------- The next CCEFM workshop is by Suleyman Basak, London Business School On the Role of Arbitrageurs in Rational Markets Friday, April 15th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Dr. Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] SCOR-Preis fuer Aktuarwissenschaften 2005 (fwd)
by VFN-L admin * Andreas Schamanek 31 Mar '05

31 Mar '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Thu, 31 Mar 2005 11:50:12 +0200 From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de> Subject: SCOR-Preis für Aktuarwissenschaften 2005 Sehr geehrte Kolleginnen und Kollegen, zum nunmehr neunten Mal stiftet das Rückversicherungsunternehmen SCOR Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den Top Ten unter den internationalen Rückversicherern zählt, in Zusammenarbeit mit der Universität Ulm drei Preise zur Förderung von Nachwuchswissenschaftlern deutschsprachiger Universitäten, deren Arbeiten einen Bezug zu aktuarwissenschaftlichen Fragestellungen aufweisen. Die Ausschreibung ist bewusst breit und interdisziplinär angelegt und erlaubt auch die Einreichung von Dissertationen und Diplomarbeiten. Im Namen der Jury und von SCOR Deutschland möchte ich Sie herzlich bitten, die beiliegende Ausschreibung an geeignete Interessenten weiterzugeben. Mit freundlichen Grüßen Hans-Joachim Zwiesler [attachment removed and saved to below URL by admin] URL : http://www.fam.tuwien.ac.at/listsdata/20050331T1331.pdf Type: PDF document, version 1.4 Size: 23438

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[VFN] CCEFM-IHS seminar
by Alfred Lehar 30 Mar '05

30 Mar '05

CCEFM Workshop The next CCEFM workshop is by Thomas Steinberger Defined Benefit Plans: Risk Sharing, Default and Regulation Friday, April 1st, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien --------------------- The next CCEFM workshop is by Jun Liu TBA Friday, April 8th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Gutmann Center Public Lecture April 13th Suleyman Basak
by Gutmann Center-D. Grimm 30 Mar '05

30 Mar '05

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: - Apologies for any cross-listings!! - Date: April 13th, 2005 - 5.00 p.m. Speaker: Prof. Dr. Suleyman BASAK London Business School http://faculty.london.edu/sbasak/ Title: "IMPLICIT INCENTIVES AND BENCHMARKING IN MONEY MANAGEMENT" Abstract: Money managers are rewarded for increasing the value of assets under management, and predominantly so in the mutual fund industry. This gives the manager an implicit incentive to exploit the well-documented positive fund-flows to relative-performance relationship by manipulating her risk exposure. In a dynamic asset allocation framework, this presentation will argue that as the year-end approaches, the ensuing convexities in the manager's objective induce her to closely mimic the index, relative to which her performance is evaluated, when the fund's year-to-date return is sufficiently high. As her relative performance falls behind, she chooses to deviate from the index by either increasing or decreasing the volatility of her portfolio. The maximum deviation is achieved at a critical level of underperformance. It may be optimal for the manager to reach such deviation via selling the risky asset despite its positive risk premium. Costs of misaligned incentives to investors resulting from the manager's policy are economically significant. The presentation then will demonstrate how a simple risk management practice that accounts for benchmarking can ameliorate the adverse effects of managerial incentives. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Please REGISTER: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at web: www.gutmann-center.at

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[VFN] CCEFM-IHS seminar
by Alfred Lehar 15 Mar '05

15 Mar '05

CCEFM Workshop Doron Avramov, University of Maryland Investing in Mutual Funds when Returns are Predictable Friday, March 18th, 3.30-5.00 pm !****** different location *******! HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien !****** different location *******! The paper is downloadable from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Thomas Steinberger, Defined Benefit Plans: Risk Sharing, Default and Regulation Friday, April 1st, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM-IHS seminar
by Alfred Lehar 04 Mar '05

04 Mar '05

CCEFM Workshop Christine Parlour, Carnegie Mellon University "Credit Risk Transfer" Friday, March 11th, 3.30-5.00 pm, !****** different location *******! HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien !****** different location *******! The paper will be downloadable within the next few days from: http://www.vgsf.ac.at/ --------------------- The next CCEFM workshop is by Doron Avramov, University of Maryland Title: TBA Friday, March 18th, 3.30-5.00 pm, Location: TBA ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Stellenausschreibung: WU-Wien Finanzwirtschaft (fwd)
by VFN-L admin * Andreas Schamanek 22 Feb '05

22 Feb '05

---------- Forwarded message ---------- Date: Wed, 16 Feb 2005 11:15:27 +0100 From: christine.neumeyer(a)univie.ac.at To: vfn-l(a)fam.tuwien.ac.at Subject: Stellenausschreibung Anbei übermitteln wir Ihnen ein Infoblatt über eine Stellenausschreibung am Institut für Finanzwirtschaft der Universität Wien. [attachment converted to plain text by vfn-l-admin, see below] mfG Christine Neumeyer University of Vienna Department of Finance Bruenner Strasse 72 1210 Vienna Austria Tel: + 43 (01) 4277-38262 Fax: + 43 (01) 4277-38264 E-Mail: christine.neumeyer(a)univie.ac.at www.univie.ac.at/bwl/fidi GESUCHT: Assistentin / Assistent in Ausbildung Der Lehrstuhl für Finanzdienstleistungen und Öffentliche Wirtschaft des Institutes für Finanzwirtschaft der Fakultät für Wirtschaftswissenschaften stellt mit ehestmöglichem Datum eine/n Assistent/in ein. Voraussetzungen: Abgeschlossenes Studium der Wirtschaftswissenschaften (Diplom- oder Magistergrad) Beschaeftigungsausmaß: 100 % Gewünschte Zusatzqualifikationen: Kenntnisse in der Regulierungstheorie- und praxis sowie die Bereitschaft, eine Dissertation zu einem Thema im Bereich der Regulierung von Kapitalmärkten und Finanzinstituten oder Infrastrukturunternehmen zu verfassen. Beschäftigungsdauer: 4 Jahre Gehalt: ca. 1800,- Bewerbung bis spät. 8. März 2005 an: Bewerbungsformulare ( http://www.univie.ac.at/Personalabteilung ) mit unterschriebenem Lebenslauf an: Universität Wien - Zentrale Verwalung, Personalabteilung / 1010 Wien, Dr. Karl Lueger Ring 1, bitte KENNZAHL 37551/BM unbedingt anführen. ***

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS, EMNet 2005, Budapest, September 15-17 (fwd)
by VFN-L admin * Andreas Schamanek 16 Feb '05

16 Feb '05

---------- Forwarded message ---------- Date: Wed, 16 Feb 2005 08:58:58 +0100 From: Windsperger Josef <josef.windsperger(a)univie.ac.at> Subject: ECONOMICS and MANAGEMENT of NETWORKS, EMNet 2005, Budapest, September 15-17 Dear colleague, as organizing chair of the international conference on Economics and Management of Networks (EMNet 2005) in Budapest, September 15 - 17, 2005, I want to invite you to submit a paper for presentation. You will find the call for papers and the registration form under http://www.univie.ac.at/EMNET <http://www.univie.ac.at/EMNET>. Best regards, Josef Windsperger University of Vienna Center for Business Studies -- 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] Workshop on the Interface between Quantitative Finance and Insurance (fwd)
by Andreas Schamanek 16 Feb '05

16 Feb '05

---------- Forwarded message ---------- From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at> ---------- Forwarded message ---------- Date: Tue, 8 Feb 2005 08:06:37 -0500 From: IAA Secretariat AAI <secretariat(a)actuaries.org> To: AFIR Members List / Liste des membres d'AFIR <afir(a)lists.actuaries.org> Subject: Workshop on the Interface between Quantitative Finance and Insurance / Atelier sur l'interface entre la finance quantitative et l'assurance Workshop on the Interface between Quantitative Finance and Insurance A satellite workshop of the Quantitative Finance Programme of the Isaac Newton Institute and a 2005 Regional Seminar of the AFIR Section of the International Actuarial Association Edinburgh, 4 - 8 April 2005 Workshop Summary The Workshop starts with Registration (between 9.30 and 10.30am) on Monday 4 April and finishes on Friday 8 April at around 4pm. It is possible to register for the first two days only. This workshop aims to discuss leading-edge research on the interface between insurance, pensions and quantitative finance. The meeting will concentrate on two closely linked themes. First, all insurance companies and pension plans are subject to a degree of financial and economic risk as well as their traditional insurance risks. Considerable research in the international actuarial community is ongoing which attempts to model and manage these risks. Much of this research is building upon existing knowledge in financial mathematics. Equally, though, the specific problems being encountered are throwing back new challenges for financial mathematicians. This introduces us to the second theme: the issue of securitisation of insurance risks. This presents many new challenges that require a combination of actuarial mathematics, financial mathematics, mathematical economics and good contract design. The workshop will bring together leading international experts from both academia and practice to promote exchange of ideas and help make progress on research into current issues. Applications and payment must be received by Monday 21 March. Places will be confirmed on receipt of payment. You may apply online at the following address: http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html ---------------------------------------------------------------------------- ---- Atelier sur l'interface entre la finance quantitative et l'assurance Un atelier satellite du Programme sur la finance quantitative du Isaac Newton Institute et un séminaire régional 2005 de la Section AFIR de l'Association Actuarielle Internationale Édinburgh, du 4 au 8 avril 2005 Sommaire de l'atelier L'atelier débute avec les inscriptions (entre 9 h 30 et 10 h 30), lundi 4 avril et se termine le vendredi 8 avril vers 16 h. Il est possible de s'inscrire pour les deux premiers jours seulement. Le but de l'atelier est de favoriser les discussions sur les recherches de pointe concernant l'interface entre l'assurance, les régimes de retraite et la finance quantitative. La réunion portera principalement sur deux thèmes en étroit rapport. Premièrement, toutes les compagnies d'assurance et les régimes de retraite sont sujets à un certain niveau de risque financier et économique, de même qu'aux risques d'assurance traditionnels. De nombreuses recherches au sein de la communauté actuarielle internationale sont en cours afin de tenter de modéliser et de gérer ces risques. Ces efforts sont principalement fondés sur les connaissances actuelles dans le domaine des mathématiques financières. Cependant, les problèmes particuliers rencontrés posent de nouveaux défis aux mathématiciens du secteur financier. Ceci nous amène au deuxième thème, soit la question de la titrisation des risques d'assurance. Ceci pose de nombreux défis nouveaux qui requièrent une combinaison de mathématiques actuarielles, de mathématiques financières, d'économie mathématique et de bonne conception de contrats. L'atelier permettra à des chefs de file internationaux du secteur académique et des domaines mettant ces connaissances en pratique de se rencontrer et d'échanger sur ces questions dans le but de faire progresser la recherche dans ces domaines. Les inscriptions et le paiement doivent être reçus au plus tard lundi le 21 mars . Les places seront confirmées sur réception du paiement. Vous pouvez vous inscrire en ligne à l'adresse suivante : http://www.ma.hw.ac.uk/icms/meetings/2005/quantfinance/reg_form.html

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[VFN] Workshop "Risk Measures & Risk Management: General Aspects", EURANDOM, Eindhoven, May 9-11, 2005
by Hansjoerg Albrecher 15 Feb '05

15 Feb '05

Please distribute the following announcement via the newsletter. Thanks, Hansjoerg Albrecher -------------------------------------- FIRST ANNOUNCEMENT May 9-11, 2005, Workshop "Risk Measures & Risk Management: General Aspects", EURANDOM, Eindhoven, NL The workshop focuses on the theoretically interesting and practically important topic of risk measures and risk management. The workshop will bring together leading researchers from academia and from practice. Topics that will be included are: axiomatic aspects, performance of risk measures, computational and statistical aspects. Furthermore applications of risk measures in (re-)insurance, finance and portfolio optimization are treated. Special emphasis lies on interest rate models and on credit risk. For more information and registration please consult URL: http://www.eurandom.tue.nl/workshops/2005/RiskMeasures/RiskMeasures_main.htm

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[VFN] CCEFM/IHS Workshop
by Alfred Lehar 24 Jan '05

24 Jan '05

CCEFM/IHS Workshop Bernard Dumas, INSEAD What To Do About Excessive Volatility? Friday, January 28th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm ---------------------- The next workshop will be by Christine Parlour on March 11th. ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Developments in Quantitative Finance, 4-8 July 2005 (fwd)
by VFN-L admin * Andreas Schamanek 18 Jan '05

18 Jan '05

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Fri, 14 Jan 2005 15:28:02 -0500 From: Vicky Henderson <vhenders(a)Princeton.EDU> Subject: Developments in Quantitative Finance, 4-8 July 2005 Dear collegues, Please find below the announcement for the INI conference "Developments in Quantitative Finance" to be held in Cambridge this July. We have generous funding from the EC and Nomura for this event, so will be able to fund local expenses of students, young participants and Europeans working outside the EU. The official website for the conference can be found : http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html where there is an application form. The deadline is 28th February. There are also more details about funding categories and accomodation options on a second website : http://www.bath.ac.uk/~masdgh/INI/conference.html Please accept our apologies if you receive multiple announcements - we want to advertise widely. Best wishes, Vicky Henderson David Hobson Stan Pliska Chris Rogers ------------------------------------------------------------ Isaac Newton Institute for Mathematical Sciences, Cambridge, UK Quantitative Finance: Developments, Applications & Problems (4 - 8 July 2005) Supported by the European Commission, Sixth Framework Programme Marie Curie Conferences and Training Courses - MSCF-CT-2004-516558 and NOMURA in association with the Newton Institute programme entitled Developments in Quantitative Finance (24 January to 22 July 2005) Organisers: V Henderson (Princeton), D Hobson (Bath), S Pliska (Illinois), C Rogers (Cambridge). Theme of Conference: The objective of this conference is to bring together academics from various fields, including mathematicians, but also researchers from economics and finance, together with industry practitioners, to discuss the latest developments in the theory of mathematical finance, the application of this theory to current issues facing the industry and to identify the substantive problems confronting academic researchers and finance professionals. Many individual themes within quantitative finance are covered elsewhere in the programme, and this conference will aim to promote the developments in those areas to a wider audience, whilst simultaneously providing a forum for the discussion of advances in other areas within the field. Invited Speakers: Y Ait-Sahalia (Princeton), P. Bank (Columbia), M. Baxter (Nomura), D. Becherer (Imperial), N. Branger (Frankfurt), M. Davis (Imperial), D. Duffie* (Stanford), R Frey (Leipzig), S Hodges (Warwick), L. Hughston (Kings), R. Jarrow* (Cornell), E. Jouini (Ceremade), S Kou (Columbia), D. Kramkov (Carnegie-Mellon), M. Monoyios (Brunel), P. Mykland (Chicago), E Platen (UTS), J-C Rochet (Toulouse), S. Ross (MIT), S. Shreve (Carnegie-Mellon), R Sircar (Princeton) and M. Zervos (Kings). *to be confirmed Location & Cost: The Conference will take place at the Newton Institute and accommodation for participants will be provided in single study bedrooms with shared bathroom at Wolfson Court. The conference package, costing 440GBP, includes accommodation, breakfast and dinner from dinner on Sunday 3 July to breakfast on Saturday 9 July 2005, and lunch and refreshments during the days that lectures take place. Self-supporting participants are very welcome to apply. Further Information and Applications Forms are available from the WWW at: http://www.newton.cam.ac.uk/programmes/DQF/dqfw02.html Completed application forms should be sent to Tracey Andrew at the address below, or via email to: t.andrew(a)newton.cam.ac.uk Closing Date for the receipt of applications is 28 February 2005

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[VFN] Research Seminar
by Alfred Lehar 17 Jan '05

17 Jan '05

CCEFM/IHS Workshop Florian Heider, ECB Capital structure, risk and asymmetric information Friday, January 21st, 3.30-5.00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm ---------------------- The next workshop will be by Bernard Dumas on January 28th. ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM Workshop 14.1.2005
by alexander.stomper＠univie.ac.at 11 Jan '05

11 Jan '05

CCEFM Workshop, 14.1.2005, 3:30-5:00 pm Christian Pierdzioch (Universität Kiel) "Sources of Predictability of European Stock Markets for High-Technology Firms" Wiener Börse, Wallnerstrasse 8 1010 Wien The paper can be downloaded from: http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm

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[VFN] Reminder: MTS Conference on Financial Markets, Palais Coburg, 16-18 December 2004
by Randl Otto iskwien 14 Dec '04

14 Dec '04

-------------------------------------------------------------- Invitation The Second MTS Conference on Financial Markets: The Organisation and Performance of Fixed-Income Markets Hosted by Universität Wien und ISK Wien Palais Coburg, 16-18 December 2004 Please register at isk(a)iskwien.at +43 (1) 51818-900 -------------------------------------------------------------- Thursday, December 16 13.15 Welcome by Marco Pagano 14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga Automation versus Intermediation: Evidence from Treasuries Going Off the Run M. Barclay, T. Hendershott, K. Kotz Discussant: G. Garbi Financial Intermediation and the Costs of Trading in an Opaque Market R. Green, B. Hollifield, N. Schurhoff Discussant: C. D'Souza MTS Time Series A. Dufour Key Note Address Chester Spatt Moderator: Bruno Biais Friday, December 17 8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance Y. Newman, M. Rierson Discussant: A. Melnik Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions A. Hortacsu, S. Sereen Discussant: C. Upper Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions J. Rocholl Discussant: A. Hortacsu 13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi Flight to Quality, Flight to Liquidity, and the Pricing of Risk D. Vayanos Liquidity Discovery and Asset Pricing M. Gallmeyer, B. Hollifield, D. Seppi Discussant: V. Acharya Welcome by Prof. Niels Thygesen Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy A. Grünbichler, T. Padoa Schioppa, G. Szapary Saturday, December 18 9.00 - 13.30 Press Sessions -------------------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 A-1010 Wien T: +43 (1) 518 18 - 900 F: +43 (1) 518 18 - 920 E: otto.randl(a)iskwien.at Programme: http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf There is no conference fee, but registration at isk(a)iskwien.at is required. Due to the limited number of participants please register asap. --------------------------------------------------------------

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[VFN] CCEFM/IHS Workshop
by Alfred Lehar 07 Dec '04

07 Dec '04

CCEFM/IHS Workshop Youchang Wu and Josef Zechner, University of Vienna Closed-end Fund Governance, Portfolio Performance, and the Discount Friday, December 10th, 3.30-5.00 pm, Location: (!) BWZ HS 9 (!) Brünner Strasse 72, 1210 Wien The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm ---------------------- This is the last workshop for this year. The next workshop will be on January 14th. Merry Christmas! ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] ECONOMICS and MANAGEMENT of NETWORKS (EMNet 2005)- Conference, Budapest, September 2005
by Josef Windsperger 30 Nov '04

30 Nov '04

Dear colleague, as organizing chair I want to invite you to the international conference on Economics and Management of Networks (EMNet 2005) (see www.univie.ac.at/EMNET). This conference will take place in Budapest, September 15 - 17, 2005. Best regards, Josef Please send this message to colleagues and friends! -- 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] Stellenausschreibung, Abt. Quantitative BWL und Operations Research
by Michaela Nettekoven 24 Nov '04

24 Nov '04

An der Abteilung für Quantitative Betriebswirtschaftslehre und Operations Research (http://www.wu-wien.ac.at/inst/or/tafel.html), Wirtschaftsuniversität Wien (http://www.wu-wien.ac.at) ist voraussichtlich ab 1. Jänner 2005 bis 31. Dezember 2008 1 Posten für einen Wissenschaftlichen Mitarbeiter/eine Wissenschaftliche Mitarbeiterin, vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF), ersatzmäßig zu besetzen. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in, abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder Mathematik oder Informatik oder Wirtschaftsinformatik Erwünschte Kenntnisse und Qualifikationen: Eignung zur Mitarbeit in Lehre (insbesondere Finanzierung) und Forschung der Abteilung, Mitarbeit im organisatorisch-administrativen Bereich der Abteilung, Unterstützung der Abteilung in allen EDV- Belangen (EDV-Beauftragte/r der Abteilung), insbesondere Administration des Abteilungsservers (LINUX) und WEB-Design (HTML) zur Betreuung der Abteilungshomepage Kennzahl: 30605 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Originalzeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 15. Dezember 2004 Bitte die Kennzahl unbedingt anführen! Mit freundlichen Grüßen Michaela Nettekoven ------------------------------------------------------------- Univ. Ass. Dr. Michaela Nettekoven Wirtschaftsuniversitaet Wien Abt. f. 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 E_mail: michaela.nettekoven(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/wwwu/institute/or/tafel.html>

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[VFN] Reminder: Invitation to the second MTS conference on financial markets, Vienna, Dec. 16-18
by Randl Otto iskwien 23 Nov '04

23 Nov '04

-------------------------------------------------------------- Invitation The Second MTS Conference on Financial Markets: The Organisation and Performance of Fixed-Income Markets Hosted by Universität Wien und ISK Wien Palais Coburg, 16-18 December 2004 PLEASE REGISTER BY FRIDAY, NOVEMBER 26 AT ISK(a)ISKWIEN.AT (no conference fee, but registration is required) Preliminary Programme: http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf -------------------------------------------------------------- Thursday, December 16 13.15 Welcome by Marco Pagano 14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga Automation versus Intermediation: Evidence from Treasuries Going Off the Run M. Barclay, T. Hendershott, K. Kotz Discussant: G. Garbi Financial Intermediation and the Costs of Trading in an Opaque Market R. Green, B. Hollifield, N. Schurhoff Discussant: C. D'Souza MTS Time Series A. Dufour Key Note Address Chester Spatt Moderator: Bruno Biais Friday, December 17 8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance Y. Newman, M. Rierson Discussant: A. Melnik Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions A. Hortacsu, S. Sereen Discussant: C. Upper Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions J. Rocholl Discussant: A. Hortacsu 13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi Flight to Quality, Flight to Liquidity, and the Pricing of Risk D. Vayanos Liquidity Discovery and Asset Pricing M. Gallmeyer, B. Hollifield, D. Seppi Discussant: V. Acharya Welcome by Prof. Niels Thygesen Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy A. Grünbichler, T. Padoa Schioppa, G. Szapary Saturday, December 18 9.00 - 13.30 Press Sessions -------------------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 T: +43 (1) 518 18 - 900 F: +43 (1) 518 18 - 920 E: otto.randl(a)iskwien.at Registration: isk(a)iskwien.at There is no conference fee, but registration is required. Due to the limited number of participants please register asap. --------------------------------------------------------------

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[VFN] Stellenausschreibung, Abt. Finanzwirtschaft und Controlling, TU-Wien
by Wolfgang Aussenegg 23 Nov '04

23 Nov '04

AUSSCHREIBUNG An der Abt. Finanzwirtschaft und Controlling (http://www.imw.tuwien.ac.at/fc/), Institut für Institut für Managementwissenschaften, der Technischen Universität Wien (http://www.tuwien.ac.at/), ist voraussichtlich ab 1.12.2004 auf die Dauer von 6 Jahren eine Stelle für einen/eine Universitätsassistenten/in zu besetzen. Beschäftigungsausmaß: vollbeschäftigt Aufnahmebedingungen: einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige wissenschaftliche Befähigung Sonstige Kenntnisse: Rechnungswesen und Risikocontrolling Bewerbungsfrist: bis 8.12.2004 Bewerbungen sind an die Personalabteilung I (http://www.tuwien.ac.at/zv/pers1/ bzw. http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz 13, A-1040 Wien, zu richten. 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 Abt. 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] CCEFM/IHS Workshop
by Alfred Lehar 22 Nov '04

22 Nov '04

CCEFM/IHS Workshop Andrew Ellul, Indiana University External Governance and Debt Agency Costs of Family Firms The paper can be downloaded from http://www2.wuwien.ac.at/ccefm/activities/workshops.htm Friday, December 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- The next workshop after this one will be by: Youchang Wu and Josef Zechner, University of Vienna Closed-end Fund Governance, Portfolio Performance, and the Discount Friday, December 10th, 3.30-5.00 pm, Location: (!) BWZ HS 9 (!) ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] Einladung zum 19. AWG-Workshop
by I. Cueneyt KAZOKOGLU 17 Nov '04

17 Nov '04

EINLADUNG ZUM 19. WORKSHOP DER AUSTRIAN WORKING GROUP ON BANKING AND FINANCE Freitag, 26. 11., 14.00 - 18.30 Samstag, 27. 11., 9.00 - 12.45 Wirtschaftsuniversität Wien Augasse 2-6, 1090 Wien Hörsaal 01, UZA1, Kern A Das Programm der Veranstaltung und eine Möglichkeit zur Anmeldung sind unter http://www.wu-wien.ac.at/wwwu/institute/ikw/hp/awg19.html abrufbar. Anmeldeschluss ist der 24. 11. 2004. Auf Ihr Kommen freuen sich die Abteilung für Betriebliche Finanzierung und das Institut für Kreditwirtschaft an der Wirtschaftsuniversität Wien. Mit freundlichen Grüßen Stefan Bogner Stefan Pichler ------------------- Stud. Ass. Cüneyt KAZOKOGLU Wirtschaftsuniversität Wien Institut für Kreditwirtschaft UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4686 Fax: ++43 1 3100580 E-mail: cuneyt.kazokoglu(a)wu-wien.ac.at Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/ ---------------------

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[VFN] Invitation Gutmann Center Symposium on Hedge Funds, Vienna Nov. 29th
by Gutmann Center-D. Grimm 15 Nov '04

15 Nov '04

INVITATION TO GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS November 29th, 2004 University of Vienna Dr. Karl Lueger-Ring 1, 1010 Wien Program as pdf: http://gutmann-center.univie.ac.at/bridging/gutmann_symposia/200 4_on_hedge_funds/Symp04-Folder.pdf REGISTRATION IS REQUIRED!: gutmann.bwl(a)univie.ac.at Further information: www.gutmann-center.at In cooperation with: www.diepresse.com ---------------------------------------------------------------- ----------------- In times of falling stock markets and not very promising bond markets, investors are looking for alternatives. Hedge Funds promise stable and attractive returns both during rising as well as falling marketsbut come with the disadvantage that they are frequently a black box for investors.The internationally recognized speakers at our symposium will shed some light on this hot topic from an academic as well as a practitioner's point of view. PROGRAM 08.30 - 09.00 Registration (Kleiner Festsaal) 09.00 - 09.15 Welcome (Kleiner Festsaal) Josef Zechner, University of Vienna Session 1 (Kleiner Festsaal) Chair: Josef Zechner, University of Vienna 09.15 - 09.45 Mila Getmansky, Isenberg School of Management at UMASS "The Life Cycle of Hedge Funds: Fund Flows, Size and Performance" Discussant: Stefan Pichler, Vienna University of Economics and BA 09.45 - 10.15 Julien Hugonnier, University of Lausanne "Mutual Fund Portfolio Choice in the Presence of Dynamic Flows" Discussant: Thomas Dangl, Vienna University of Technology 10.15 - 10.45 Narayan Y. Naik, London Business School "Flows, Performance, and Managerial Incentives in Hedge Funds Discussant: Otto Randl, ISK Vienna 10.45 - 11.15 - Coffee Break - Session 2 (Kleiner Festsaal) Chair: Klaus Spremann, University of St. Gallen 11.15 - 11.45 Ryan J. Davies, Babson College "Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach" Discussant: Steven Thorley, Brigham Young University 11.45 - 12.15 Terry Marsh, Quantal Inc./ UC Berkeley "Equity Market Neutral Hedge Funds" Discussant: Engelbert Dockner, University of Vienna 12.15 -12.45 Oleg Bondarenko, Washington University in St. Louis "Market Price of Variance Risk and Performance of Hedge Funds" Discussant: Shmuel Kandel, Tel Aviv University 12.45 - 14.15 - Lunch Buffet - PARALLEL SESSIONS: Session 3a Parallel Session I (Kleiner Festsaal) Chair: Shmuel Kandel, Tel Aviv University 14.15 14.45 Martin Ruckes, University of Wisconsin-Madison "Liquidity, Borrowing Structure, and Limits to Arbitrage" Discussant: Alfred Lehar, University of Vienna 14.45 15.15 Maria Vassalou, Columbia University "Corporate Innovation and its Effects on Equity Returns" Discussant: Neal Stoughton, University of Calgary 15.15 15.45 Kuan Xu, Dalhousie University "Myopic Loss Aversion and Margin of Safety" Discussant: Elroy Dimson, London Business School Session 3b Parallel Session II (Hörsaal 16) Chair: Terry Marsh, Quantal International Inc./ UC Berkeley 14.15 14.45 George O Aragon, Boston College "Share Restrictions and Asset Pricing Evidence from the Hedge Fund Industry" Discussant: Peter Pope, Lancaster University 14.45 15.15 Yong Chen, Boston College "Timing ability in the focus market of hedge funds" Discussant: Michael Halling, University of Vienna 15.15. 15.45 Robert Kosowski, INSEAD "Is Stellar Hedge Fund Performance for Real?" Discussant: Robert Korajczyk, Northwestern University Panel Discussion (Kleiner Festsaal) 16.00 - 17.30 Hedge Funds Temporary Fad or Here to Stay? Chair: Michael Prüller, Die Presse Discussants: - Elroy Dimson, London Business School - Terry Marsh, UC Berkeley/ Quantal International Inc. - Friedrich Strasser, Bank Gutmann AG - Josef Zechner, University of Vienna ---------------------------------------------------------------- ----------- Gutmann Center for Portfolio Management University of Vienna Bruenner Strasse 72 A-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] Conference invitation: The Organisation and Performance of Fixed-Income Markets, Palais Coburg, 16-18 December 2004
by Randl Otto iskwien 12 Nov '04

12 Nov '04

-------------------------------------------------------------- Invitation The Second MTS Conference on Financial Markets: The Organisation and Performance of Fixed-Income Markets Hosted by Universität Wien und ISK Wien Palais Coburg, 16-18 December 2004 Preliminary Programme: http://www.iskwien.at/upload/Preliminary_Programme_Vienna.pdf PLEASE REGISTER at isk(a)iskwien.at -------------------------------------------------------------- Thursday, December 16 13.15 Welcome by Marco Pagano 14.00 Session 1 - Secondary Markets, Chair: Gustavo Piga Automation versus Intermediation: Evidence from Treasuries Going Off the Run M. Barclay, T. Hendershott, K. Kotz Discussant: G. Garbi Financial Intermediation and the Costs of Trading in an Opaque Market R. Green, B. Hollifield, N. Schurhoff Discussant: C. D'Souza MTS Time Series A. Dufour Key Note Address Chester Spatt Moderator: Bruno Biais Friday, December 17 8.30 Session 2 - Primary Markets, Chair: Ernst-Ludwig von Thadden Illiquidity Spillovers: Theory and Evidence from European Telecom Bond Issuance Y. Newman, M. Rierson Discussant: A. Melnik Order Flow and the Formation of Dealer bids: An Analysis of Information and Strategic Behaviour in the Government of Canada Security Auctions A. Hortacsu, S. Sereen Discussant: C. Upper Dicriminatory Auctions with Seller Discretion: Evidence from German Treasury Auctions J. Rocholl Discussant: A. Hortacsu 13.30 Session 3 - Liqudity and Risk, Chair: Giorgio Basevi Flight to Quality, Flight to Liquidity, and the Pricing of Risk D. Vayanos Liquidity Discovery and Asset Pricing M. Gallmeyer, B. Hollifield, D. Seppi Discussant: V. Acharya Welcome by Prof. Niels Thygesen Roundtable: Bond Market: Liquidity, Risk and Regulation, Chair: A. Lamfalussy A. Grünbichler, T. Padoa Schioppa, G. Szapary Saturday, December 18 9.00 - 13.30 Press Sessions -------------------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 T: +43 (1) 518 18 - 900 F: +43 (1) 518 18 - 920 E: otto.randl(a)iskwien.at Registration: isk(a)iskwien.at There is no conference fee, but registration is required. Due to the limited number of participants please register asap. --------------------------------------------------------------

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[VFN] CCEFM/IHS Workshop
by Alfred Lehar 09 Nov '04

09 Nov '04

CCEFM/IHS Workshop Ernst Maug, Humboldt University Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual General Meetings The paper can be downloaded from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien

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[VFN] Artificial Economics 2005 Conference: 1st CfP (fwd)
by VFN-L admin * Andreas Schamanek 08 Nov '04

08 Nov '04

You might be interested in the Artificial Economics'2005 Conference: Symposium in Agent-based Computational Methods in Finance, Game Theory and their applications I am including the full CfP because the website is not yet available. -- Andreas Schamanek ******************************************************* PRELIMINARY CALL FOR PAPERS for +-----------------------------+ | Artificial Economics'2005 | +-----------------------------+ Symposium in Agent-based Computational Methods in Finance, Game Theory and their applications Lille, September 15--16, 2005 http://cisco.univ-lille1.fr/ae2005 ******************************************************* ---------------------------------------------------------------------- CONTEXT ---------------------------------------------------------------------- Agent-based Computational Economics (ACE) deals with the computational study of economies as complex adaptive systems implying interacting agents with cognitive skills. This area has provoked, in various fields of Economics, a great deal of academic interest, in relation with the Complex System approaches. One of the first use of agent based models has been popularized by Axelrod in his theory of evolution of cooperation. In this early work he used extensively computational simulations and methods in order to study strategic behaviour in the iterated prisoner's dilemma. This work is still influencing many researches in various scientific fields. It has for instance been the foundations of a new approach of the game theory based on computational ideas. In the mid eighties, under the impulsion of the Santa-Fe Institute, and especially Christopher Langton, a new field of research, called Artificial Life (AL), has emerged. The idea of AL was to mimic real life under its various aspects to understand the basic principles of life. This has lead to encompass wider ideas such as complexity, evolution, auto-organisation and emergence. All concepts induced by those approaches have influenced social scientists among others. Following those initial attempts to mix computational approaches and social sciences, for instance among the pioneering works using ACE in finance, one can refer to the Artificial Stock Market by Palmer, Arthur, Holland, LeBaron, and Taylor. This model, based on bounded rationality and inductive reasoning, is one of the first allowing correct simulations of real world stock market dynamics. This work has been done by people coming from various scientific fields (Economics, Game Theory, Computer Science and Finance). Recently, another growing field appeared, dealing with the study of the formation and the dynamics of social networks. To understand the spread of information as well as the social beliefs one has to consider the underlying social networks that can have different effects on those processes. This special topic is another where physicists, computer scientists and economists join their efforts to explore the idea that economic activity is embedded in social structure. All thoses approaches intensively use computer simulation as well as artificial intelligence concepts mostly based on multi-agents systems. In this context, the most used models come from game theory. Therefore, Agent-based Computational Economics is more and more an important methodology in many Social-Sciences (the Management Sciences, Sociology, Economics, Conflicts Resolution, etc). It becomes now widely used to test theoretical models or to investigate their properties when analytical solutions are not possible. ---------------------------------------------------------------------- AIMS AND SCOPES ---------------------------------------------------------------------- The main aims of the event are to: * present computer-science based multi-agent methodologies and tools with their applications to social-scientists (mainly people from economics and the management sciences) * present uses and needs of multi-agent based models and their constraints, as used by those social scientists, to computer scientists * favor the meeting of people and ideas of those two communities in order to be able to construct a much structured multi-disciplinary approach. For its first edition, the Symposium will thus present recent scientific advances in the fields of ACE but is also widely open to methodological surveys. Topics include but are not limited to the following: * Computational Game Theory (Non-Cooperative, Cooperative, Evolutionary, Pure coordination Games...) * Discrete choice models in Economics and the Management Sciences * Emergence and dynamics of Norms and Conventions * Financial Market and Organization Models (Stock prices dynamics, Herding in Financial Markets) * Epistemology and Agent-based Methodological issues * Dynamics of social and economic networks ---------------------------------------------------------------------- IMPORTANT DATES ---------------------------------------------------------------------- * March 1st, 2005 : Submission of papers * April 8th, 2005 : Notification of acceptance * June 1st, 2005 : Final paper due * September 15-16, 2005 : AE'2005 The symposium will last two days and will take place in Lille, which is very well connected to most major european cities. It will offer presentations of papers selected by the program committee as well as special invited keynote sessions. Exchanges and discussions will have a large space in the final program. ---------------------------------------------------------------------- PAPER SUBMISSION AND PROCEEDINGS and original works, has to be sent by electronic mail and in acrobat (.pdf) format to the following email address: ae2005(a)univ-lille1.fr Short versions of the paper must be 5 pages long. Further details and authors guideline will also be available from the main website at http://cisco.univ-lille1.fr/ae2005 All accepted papers will be published in proceedings of the symposium which will have an ISBN. After the event we plan to publish a special issue of a journal presenting some selected papers, which may have been modified after remarks and discussions done during the conference. ---------------------------------------------------------------------- ORGANIZING COMMITTEE ---------------------------------------------------------------------- * Bruno BEAUFILS, USTL/CNRS * Olivier BRANDOUY, USTL/CNRS * Julien DERVEEUW, USTL/CRNS * Denis PHAN, Universite' de Rennes I * Philippe MATHIEU, USTL/CNRS ---------------------------------------------------------------------- PROGRAM COMMITTEE ---------------------------------------------------------------------- Chair : Pr Philippe MATHIEU * Fre'de'ric AMBLARD - Universite' de Toulouse 1, France * Ge'rard BALLOT - ERMES, Universite' de Paris 2, France * Bruno BEAUFILS - LIFL, USTL, France * Paul BOURGINE - CREA, E'cole Polytechnique, France * Olivier BRANDOUY - CLAREE, USTL, France * Charlotte BRUUN - Aalborg University, Danemark * Jose' Maria CASTRO CALDAS - ISCTE, DINAMIA, Portugal * Christophe DEISSENBERG - GREQAM, France * Jean-Paul DELAHAYE - LIFL, USTL, France * Jacques FERBER - LIRMM, Universite' de Montpellier II, France * Bernard FORGUES - CLAREE, USTL, France * Wander JAGER - University of Groningen, The Netherlands * Marco JANSSEN - CIPEC, Indiana University, USA * Philippe LAMARRE - LINA, Universite' de Nantes, France * Luigi MARENGO - DSGSS, Universita` di Teramo, Italy * Philippe MATHIEU - LIFL, USTL, France * Denis PHAN - Universite' de Rennes I, France * Juliette ROUCHIER - GREQAM, France * Elpida TZAFESTAS - National Technical University of Athens, Greece * Nicolaas VRIEND - Queen Mary University of London, United Kingdom * Bernard WALLISER - CERAS, ENPC, France * Murat YILDIZOGLU - IFREDE-E3I, Universite' Montesquieu Bordeaux IV, France ---------------------------------------------------------------------- CONTACT ---------------------------------------------------------------------- Pr Philippe MATHIEU email : philippe.mathieu(a)lifl.fr www : http://cisco.univ-lille1.fr/ae2005 ----------------------------------------------------------------------

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[VFN] Public Lecture E. Rossi di Montelera November 9th
by Gutmann Center-D. Grimm 06 Nov '04

06 Nov '04

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to invite to the following PUBLIC LECTURE: - Apologies for any cross-postings!! - Date: November 9th 2004, 4.30 p.m. - LOCATION: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Speaker: ERNESTO ROSSI DI MONTELERA, Observatoire de la Finance http://www.obsfin.ch/ Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR UNCONCERNED?" Abstract: Why should we talk about ethics in the context of financial activities, a field that would appear to be highly and exclusively technical ? Anyway, we must face the fact that the topic of ethics is more and more widely addressed (but also feared) in the economic and financial communities. It looks as if ethics were simultaneously perceived as an obstacle to the competition for profit but also as a profitable sales proposition ! Do we have in fact a clear idea of what ethics are and what is the meaning of the word ? It certainly has something to do with the idea of trust and of shared rules (and values) as a necessary condition for a smooth establishment and functioning of financial relations. So the question arises : are ethics a cost that should be born in the superior interest of the civil society, or a condition for better performances ? Should one expect from "ethical funds" a better return or a better conscience ? The obvious need for trust leads to the question of Common Good, a notion of respectable antiquity, but very difficult to define and to implement. Basical questions should than be raised : how do we take into consideration the complexity of any reality ? How can we define its various levels and bring them to bear in our decisions ? What help can we find in certain traditional doctrines, as for instance the doctrine of virtues (of which maybe the virtue of liberalitas is a good example in our case) ? Are we not sometime (or too often) the victims of utopian illusions, as in the case of the quest for a risk-free (zero risk !) society ? What could we say of such trends as "responsible investment" or "microfinance" ? The primary problem of ethics is not the definition of the correct behaviours or the drafting of codes of deontology, but the search for the ends and means to be discovered in the reality of things, in the nature of man and in the meaning of his actions : before the questions about how things should be comes the question of what things are and to what ends we should direct them. In our case the primary question could be, for instance : what is money ? Please REGISTER: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Mag. Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna phone: +43-1-4277-38186 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Reminder: Corporate Governance Conference
by Randl Otto iskwien 02 Nov '04

02 Nov '04

BSI Gamma, ISK Wien and Universität Wien invite to a CONFERENCE and PANEL DISCUSSION on CORPORATE GOVERNANCE November 11, 2004 Palais Coburg ----------------------------------------------------- Please register by November 4, 2004 at isk(a)iskwien.at ----------------------------------------------------- Programme: www.iskwien.at/upload/invito_vienna_04.pdf 13.15 Welcome Prof. Josef Zechner, Prof. Rene Stulz 13.30 - 15.00 Session 1 Predicting Firms' Corporate Governance Choices: Evidence from Korea Bernard Black, Hasung Jang, Woochan Kim Discussant: Rene Stulz Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board Eli Talmor, Reddi Kotha Discussant: Thomas Dangl 15.30 - 17.00 Session 2 The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers Arturo Bris, Christos Cabolis Discussant: Klaus Gugler Corporate Governance and Earnings Management: International Evidence Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy Discussant: Alex Stomper 17.30 - 19.15 Session 3 The Corporate Governance Role of the Media: Clinical Evidence from Russia Luigi Zingales, Alexander Dyck Discussant: Ernst Maug PANEL DISCUSSION: Can corporate insiders be tamed? Alexander Dyck, Harvard Business School Michael Eberhartinger, Austrian Corporate Governance Committee Ernst Maug, University of Berlin Stefan Zapotocky, CEO Vienna Stock Exchange 19.15 Cocktails ----------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 1010 Wien T: +43-1-51818-900 T: +43-1-51818-920 E: otto.randl(a)iskwien.at

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[VFN] CCEFM/IHS workshop
by Alfred Lehar 30 Oct '04

30 Oct '04

CCEFM/IHS Workshop Rick Green, Carnegie Mellon University Financial Intermediation and the Costs of Trading in an Opaque Market The paper will by downloadable from http://www2.wu-wien.ac.at/ccefm/activities/workshops.htm within the next few days. (!) Wednesday (!), Nov 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- The next workshop is by Ernst Maug, Humboldt University Do Shareholders Vote Strategically? Evidence on the Advisory Role of Annual General Meetings Friday, November 12th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] 10. November, Financial Engineering & Quantitative Research: Experiences at JPMorgan
by Christopher Summer 28 Oct '04

28 Oct '04

We would like to invite you to the following presentation at the Institut für Kreditwirtschaft, WU Wien: Financial Engineering and Quantitative Research: Experiences at JPMorgan Wednesday, November 10, 2004 at 18:00 h Hörsaal D205 (UZA4) Abstract: The aim of this talk is to give an insight into everyday life of JPMorgan's derivatives business across asset classes. On the one hand, we will point out areas of responsibilities of structurers, traders and quants as well as the interplay between these three teams. On the other hand, we will give a number of examples showing typical challenges (in terms of product development, model requirements and implementation issues) and how we solved them. In this regard, we will discuss equity specific and credit specific products, as well as some ideas concerning the interplay of equity and credit. Finally, we conclude by describing typical job profiles for a marketer, trader or quant and how to prepare successfully for interviews. Speaker & Discussant: Dr Eva Strasser, Associate with JPMorgan London, working in Equity Derivatives Research and specializing on the development of equity-specific models and products as well as on equity-credit related topics Johannes Sommer, Associate with JPMorgan London, working in Investment Banking Advisory, specializing on M&A, equity and debt transactions for listed real estate companies -- |dr christopher summer ||wu wien, institut fuer kreditwirtschaft |tel +43 1 31336 5006 ||www.wu-wien.ac.at/usr/kredit/csummer |fax +43 1 3100580 ||christopher.summer(a)wu-wien.ac.at

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[VFN] Call for papers for CIEF'2005 (fwd)
by VFN-L admin * Andreas Schamanek 26 Oct '04

26 Oct '04

(...) > The 4th International Workshop on Computational Intelligence > in Economics and Finance (CIEF'2005) Marriott City Center, Salt Lake City, Utah, USA July 21-26, 2005 http://www.jcis.org/pages/subconference/cief/cief.aspx http://www.aiecon.org/cief2005/index.html (...)

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[VFN] Gutmann Center Public Lecture Nov.9th - Ernesto Rossi di Montelera
by Gutmann Center-D. Grimm 21 Oct '04

21 Oct '04

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to invite to the following PUBLIC LECTURE: - Apologies for any cross-postings!! - Date: November 9th 2004, 4.30 p.m. - Speaker: Ernesto Rossi di Montelera, Observatoire de la Finance http://www.obsfin.ch/ Title: "PROFIT AND ETHICS: ENEMIES, PARTNERS, OR UNCONCERNED?" Abstract: Why should we talk about ethics in the context of financial activities, a field that would appear to be highly and exclusively technical ? Anyway, we must face the fact that the topic of ethics is more and more widely addressed (but also feared) in the economic and financial communities. It looks as if ethics were simultaneously perceived as an obstacle to the competition for profit but also as a profitable sales proposition ! Do we have in fact a clear idea of what ethics are and what is the meaning of the word ? It certainly has something to do with the idea of trust and of shared rules (and values) as a necessary condition for a smooth establishment and functioning of financial relations. So the question arises : are ethics a cost that should be born in the superior interest of the civil society, or a condition for better performances ? Should one expect from "ethical funds" a better return or a better conscience ? The obvious need for trust leads to the question of Common Good, a notion of respectable antiquity, but very difficult to define and to implement. Basical questions should than be raised : how do we take into consideration the complexity of any reality ? How can we define its various levels and bring them to bear in our decisions ? What help can we find in certain traditional doctrines, as for instance the doctrine of virtues (of which maybe the virtue of liberalitas is a good example in our case) ? Are we not sometime (or too often) the victims of utopian illusions, as in the case of the quest for a risk-free (zero risk !) society ? What could we say of such trends as "responsible investment" or "microfinance" ? The primary problem of ethics is not the definition of the correct behaviours or the drafting of codes of deontology, but the search for the ends and means to be discovered in the reality of things, in the nature of man and in the meaning of his actions : before the questions about how things should be comes the question of what things are and to what ends we should direct them. In our case the primary question could be, for instance : what is money ? Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but REGISTRATION required: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information about the Gutmann Center: Mag. Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna phone: +43-1-4277-38186 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] 19. Workshop der AWG on Banking and Finance
by Stefan Pichler 21 Oct '04

21 Oct '04

***** LAST CALL FOR PAPERS ***** Der 19. Workshop der Austrian Working Group on Banking and Finance findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien statt. Angesprochen sind sowohl Forscher/inn/en an allen österreichischen Universitäten und verwandten Institutionen als auch Praktiker/innen, die wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert gelegt. Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner (stefan.bogner(a)wu-wien.ac.at) oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden. Mit freundlichen Grüßen Stefan Pichler ******************************************* Univ.-Prof. Mag. Dr. Stefan Pichler Wirtschaftsuniversität Wien Institut für Kreditwirtschaft UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4691 Fax: ++43 1 3100580 E-mail: <mailto:stefan.pichler@wu-wien.ac.at> stefan.pichler(a)wu-wien.ac.at Web: <http://www.wu-wien.ac.at/wwwu/institute/ikw/> http://www.wu-wien.ac.at/wwwu/institute/ikw/ *******************************************

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[VFN] Invitation Corporate Governance Conference and Panel Discussion - November 11, 2004
by Randl Otto iskwien 19 Oct '04

19 Oct '04

BSI Gamma, ISK Wien and Universität Wien invite to a CONFERENCE and PANEL DISCUSSION on CORPORATE GOVERNANCE November 11, 2004 Palais Coburg ----------------------------------------------------- Programme: 13.15 Welcome Prof. Josef Zechner, Prof. Rene Stulz 13.30 - 15.00 Session 1 Predicting Firms' Corporate Governance Choices: Evidence from Korea Bernard Black, Hasung Jang, Woochan Kim Discussant: Rene Stulz Watching the Stop from the Front Seat: Determinant of Venture Capitalists' Representation on the Board Eli Talmor, Reddi Kotha Discussant: Thomas Dangl 15.30 - 17.00 Session 2 The Valuation Effect of Corporate Governance Changes: Evidence from Cross-Border Mergers Arturo Bris, Christos Cabolis Discussant: Klaus Gugler Corporate Governance and Earnings Management: International Evidence Francois Degeorge, Yuan Ding, Thomas Jeanjean, Herve STolowy Discussant: Alex Stomper 17.30 - 19.15 Session 3 The Corporate Governance Role of the Media: Clinical Evidence from Russia Luigi Zingales, Alexander Dyck Discussant: Ernst Maug PANEL DISCUSSION: Can corporate insiders be tamed? Alexander Dyck, Harvard Business School Michael Eberhartinger, Austrian Corporate Governance Committee Ernst Maug, University of Berlin Stefan Zapotocky, CEO Vienna Stock Exchange 19.15 Cocktails ----------------------------------------------------- Please reply by October 29, 2004 to gamma.foundation(a)bsi.ch or isk(a)iskwien.at ----------------------------------------------------- Further information: Dr. Otto Randl Institut für strategische Kapitalmarktforschung Coburgbastei 4/1 1010 Wien T: +43-1-51818-900 T: +43-1-51818-920 E: otto.randl(a)iskwien.at

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[VFN] CCEFM Workshop - Yihong Xia
by Alfred Lehar 18 Oct '04

18 Oct '04

CCEFM Workshop Yihong Xia, University of Pennsylvania, Wharton School (Gutmann Center Research Fellow) "Persistence, Predictability, and Portfolio Planning" Friday, October 22nd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html --------------------------------------------- The next CCEFM workshop is by Rick Green, Carnegie Mellon University (sponsored by Gutmann Center for Portfolio Management) TBA Wednesday (!), Nov 3rd, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien ---------------------- Alfred Lehar University of Vienna Bruenner Strasse 72 A-1210 Wien Austria / Europe Tel: +43 1 4277 38077 Fax: +43 1 4277 38074

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[VFN] CCEFM Workshop - Raman Uppal
by Alfred Lehar 10 Oct '04

10 Oct '04

CCEFM Workshop Raman Uppal, London Business School (Gutmann Center Research Fellow) "How inefficient are simple asset-allocation strategies?" Friday, October 15th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper will be downloadable within the next few days from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html --------------------------------------------- The next CCEFM workshop is by Yihong Xia, University of Pennsylvania (Gutmann Center Research Fellow) TBA Friday, October 22th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien

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[VFN] Public Lecture Raman Uppal October 13th - reminder
by Gutmann Center-D. Grimm 10 Oct '04

10 Oct '04

* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: Date: October 13th, 2004 (Wednesday), 4.00 p.m. Speaker: Prof. Dr. Raman UPPAL London Business School http://faculty.london.edu/ruppal/ Title: "PORTFOLIO SELECTION WITH PARAMETER AND MODEL UNCERTAINTY" Abstract: In this paper, we extend the mean-variance portfolio model where expected returns are obtained using maximum likelihood estimation to explicitly account for uncertainty about estimated expected returns. In contrast to the Bayesian approach to estimation error, where there is only a single prior and the investor is neutral to uncertainty, we allow for multiple priors and aversion to uncertainty. The multi-prior model has several attractive features: One, just like the Bayesian model, the multi-prior model is firmly grounded in decision theory; Two, it is flexible enough to allow for uncertainty about expected returns estimated jointly for all assets or different levels of uncertainty about expected returns for different subsets of the assets; Three, we show how in several special cases of the multi-prior model one can obtain closed-form expressions for the optimal portfolio, which can be interpreted as a shrinkage of the mean-variance portfolio towards either he risk-free asset or the minimum variance portfolio. We illustrate how to implement the multi-prior model using both international and domestic data. Our analysis suggests that allowing for parameter uncertainty reduces the fluctuation of portfolio weights over time and, for the data set considered, improves substantially the out-of sample performance. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but REGISTRATION required: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] CCEFM Workshop
by Alfred Lehar 04 Oct '04

04 Oct '04

CCEFM Workshop Russ Wermers (University of Maryland), Eugene Kandel (Hebrew University) (Gutmann Center International Research Grant 2002) "Evaluating Asset Managers by Decomposing Their Active Decisions" Friday, October 8th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper will be downloadable within the next few days from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html --------------------- The next CCEFM workshop is by Raman Uppal, London Business School (Gutmann Center Research Fellow) Title: TBA Friday, October 15th, 3.30-5.00 pm, Wiener Börse, Wallnerstrasse 8, 1010 Wien

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[VFN] Gutmann Center Public Lecture Raman Uppal October 13th
by Gutmann Center-D. Grimm 04 Oct '04

04 Oct '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: - Apologies for any cross-postings!! - Date: October 13th, 2004 (Wednesday), 4.00 p.m. Speaker: Prof. Dr. Raman UPPAL London Business School http://faculty.london.edu/ruppal/ Title: "Portfolio Selection with Parameter and Model Uncertainty" Abstract: In this paper, we extend the mean-variance portfolio model where expected returns are obtained using maximum likelihood estimation to explicitly account for uncertainty about estimated expected returns. In contrast to the Bayesian approach to estimation error, where there is only a single prior and the investor is neutral to uncertainty, we allow for multiple priors and aversion to uncertainty. The multi-prior model has several attractive features: One, just like the Bayesian model, the multi-prior model is firmly grounded in decision theory; Two, it is flexible enough to allow for uncertainty about expected returns estimated jointly for all assets or different levels of uncertainty about expected returns for different subsets of the assets; Three, we show how in several special cases of the multi-prior model one can obtain closed-form expressions for the optimal portfolio, which can be interpreted as a shrinkage of the mean-variance portfolio towards either he risk-free asset or the minimum variance portfolio. We illustrate how to implement the multi-prior model using both international and domestic data. Our analysis suggests that allowing for parameter uncertainty reduces the fluctuation of portfolio weights over time and, for the data set considered, improves substantially the out-of sample performance. Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but REGISTRATION required: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Announcement Gutmann Center Symposium on Hedge Funds November 29th Vienna
by Gutmann Center-D. Grimm 29 Sep '04

29 Sep '04

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS Date: November 29th, 2004 Location: University of Vienna, Austria In times of falling stock markets and not very promising bond markets, investors are looking for alternatives. Hedge Funds promise stable and attractive returns both during rising as well as falling markets but come with the disadvantage that they are frequently a black box for investors. The internationally recognized speakers at our symposium will shed some light on this hot topic from an academic as well as a practitioner's point of view: - George O. Aragon, Boston College "Share Restrictions and Asset Pricing - Evidence from the Hedge Fund Industry" - Oleg Bondarenko, University of Illinois at Chicago "Market Price of Variance Risk and Performance of Hedge Funds" - Yong Chen, Boston College "Timing ability in the focus market of hedge funds" - Ryan J. Davies, Babson College "Fund of Hedge Funds Portfolio Selection: A Multiple-Objective Approach" - Mila Getmansky, Isenberg School of Management at UMASS, Amherst "The Life Cycle of Hedge Funds: Fund Flows, Size and Performance" - Julien Hugonnier, University of Lausanne "Mutual Fund Portfolio Choice in the Presence of Dynamic Flows" - Narayan Naik , London Business School "Flows, Performance, and Managerial Incentives in the Hedge Fund Industry" - Robert Kosowski, INSEAD "Is Stellar Hedge Fund Performance for Real?" - Martin Ruckes, University of Wisconsin-Madison "Liquidity, Borrowing Structure, and Limits to Arbitrage" - Terry Marsh, Quantal/ UC Berkeley "Equity Market Neutral Hedge Funds" - Maria Vassalou, Columbia University "Corporate Innovation and its Effects on Equity Returns" - Kuan Xu, Dalhousie University "Myopic Loss Aversion and Margin of Safety" 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 California, Irvine - Josef Zechner, University of Vienna The presentations will be followed by a PANEL DISCUSSION. The participation is free, but all participants are required to REGISTER: mail: gutmann.bwl(a)univie.ac.at Contact: Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at web: www.gutmann-center.at Apologies for cross postings!!

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[VFN] Stellenausschreibung an der Karl-Franzens-Universitaet Gr az
by Silvia Gersin 21 Sep '04

21 Sep '04

Ausschreibung an der Karl-Franzens-Universität Graz Sozial- und Wirtschaftswissenschaftliche Fakultät Am Institut für Banken und Finanzierung ist eine halbe Stelle einer wissenschaftlichen Mitarbeiterin oder eines wissenschaftlichen Mitarbeiters im Forschungs- und Lehrbetrieb gem. § 100 UG 02 (befristete Ersatzkraft), ab sofort befristet bis voraussichtlich 17. Mai 2005, zu besetzen. Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium der Sozial- und Wirtschaftswissenschaften bzw. eine dem Doktorat gleich zu wertende wissenschaftliche Befähigung. Erwünschte Kenntnisse bzw. Qualifikationen: Ausgezeichneter Erfolg im Prüfungsfach "Banking & Finance", Englisch in Wort und Schrift. Ende der Bewerbungsfrist: 06. Oktober 2004 (Kennzahl: 23/68/99). Bewerbungen (mit Lebenslauf und Zeugnissen) sind unter Angabe der Kennzahl einzureichen an: Karl-Franzens-Universität Administration und Dienstleistungen Personalwesen Universitätsplatz 3 8010 Graz

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[VFN] Stellenausschreibung, Abt. Finanzwirtschaft und Controlling, TU-Wien
by Wolfgang Aussenegg 15 Sep '04

15 Sep '04

AUSSCHREIBUNG An der Abt. Finanzwirtschaft und Controlling (http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften, Arbeitswissenschaft und Betriebswirtschaftslehre (Neue Bezeichung: Institut für Managementwissenschaften), der Technischen Universität Wien (http://www.tuwien.ac.at/), ist voraussichtlich ab 1.10.2004 auf die Dauer von 6 Jahren eine Stelle für einen/eine Universitätsassistenten/in zu besetzen. Beschäftigungsausmaß: vollbeschäftigt Aufnahmebedingungen: einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige wissenschaftliche Befähigung Sonstige Kenntnisse: Rechnungswesen, Finanzwirtschaft, Controlling und Risikomanagement, Statistik/Ökonometrie, Informatikkenntnisse und Programmiererfahrung Bewerbungsfrist: 15.9.2004 bis 6.10.2004 Bewerbungen sind an die Personalabteilung I (http://www.tuwien.ac.at/zv/pers1/ bzw. http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz 13, A-1040 Wien, zu richten. Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg (Email: waussen(a)pop.tuwien.ac.at) (www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm) zur Verfügung. Mit freundlichen Grüßen, Wolfgang Aussenegg -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Managementwissenschaften Abt. 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] 19. Workshop der AWG
by Hermann Elendner 09 Aug '04

09 Aug '04

***** CALL FOR PAPERS ***** Der 19. Workshop der Austrian Working Group on Banking and Finance findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien statt. Angesprochen sind sowohl Forscher/inn/en an allen österreichischen Universitäten und verwandten Institutionen als auch Praktiker/innen, die wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert gelegt. Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner (stefan.bogner(a)wu-wien.ac.at) oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden. Mit freundlichen Grüßen Stefan Pichler ******************************************* Univ.-Prof. Mag. Dr. Stefan Pichler Wirtschaftsuniversität Wien Institut für Kreditwirtschaft UZA 4, 6. Stock Kern B Nordbergstraße 15 A-1090 Wien Tel: ++43 1 31336 4691 Fax: ++43 1 3100580 E-mail: stefan.pichler(a)wu-wien.ac.at Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/ ******************************************* ------ Ende der weitergeleiteten Nachricht ------

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[VFN] Austrian Workshop on Asset Liability Management in Insurance
by Sandra Kreuzer 30 Jun '04

30 Jun '04

Second Announcement: ------------------- Dear Ladies and Gentlemen, We want to alert you to the forthcoming Austrian Workshop on Asset Liability Management (ALM 2004) for Insurance Companies and Pension Funds from September 23 - 25 in Vienna, featuring - an introductory crash course, - a practicioners' day and - a day of cutting edge research. The workshop is jointly organised by - the Vienna University of Technology, - the FMA (Austrian Financial Market Authority), - the University of Applied Sciences BFI in Vienna, - the Actuarial Association of Austria, - the Scientific Association "Insurance, Financial, and Operational Risk Management" and - the Vienna University of Economics and Business Administration. Please find further information on the web page http://alm.fam.tuwien.ac.at/ Best regards, M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler, M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock We apologize for any cross-postings.

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[VFN] Ausschreibung wissenschaftlicher Mitarbeiter
by mhanke＠nestroy.wu-wien.ac.at 24 Jun '04

24 Jun '04

An der Universität Innsbruck wird am Institut für Betriebliche Finanzwirtschaft demnächst folgende Stelle ausgeschrieben: Wissenschaftl. Mitarbeiter Kategorie 2 (ohne Doktorat) ab 1.9.2004 Voraussetzung: abgeschlossenes Universitätsstudium, Fachrichtung: Wirtschaftswissenschaften (BW, VW,...) Vertiefte Kenntnisse in einem oder mehreren der folgenden Bereiche erwünscht: Optionsbewertung, Risikomanagement, quantitative Methoden in der Finanzwirtschaft, Programmierkenntnisse Aufgabenbereich: Unterstützung der Institutsmitarbeiter in Forschung und Lehre, eigenständige Forschung (Dissertation, Verwaltungsarbeiten) Nähere Informationen gibt es bei Prof. Michael Hanke (e-mail: Michael.Hanke(a)wu-wien.ac.at). Bewerbungen sind erst nach Erscheinen der Ausschreibung im nächsten Mitteilungsblatt der Universität Innsbruck möglich. Die Bewerbungsfrist sowie sonstige Bewerbungserfordernisse sind ebenfalls dem Mitteilungsblatt zu entnehmen.

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[VFN] Cancellation -- CCEFM Workshop this Friday
by Alex Stomper 15 Jun '04

15 Jun '04

Please notice that this week's CCEFM workshop has been cancelled. The workshop will be postponed to the winter semester.

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[VFN] CCEFM Workshop
by Alex Stomper 01 Jun '04

01 Jun '04

Reminder CCEFM Workshop Martin Dierker (University of Houston) "Do Shareholder Rights affect the Cost of Bank Loans" Friday, June 4th, 3.30-5.00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Seminar Venture Capital Economics 8. 6. 2004
by randlo9＠univie.ac.at 27 May '04

27 May '04

The Institut für strategische Kapitalmarktforschung and the Zentrum MBA/Finance & Public Management at Donau-Universität Krems kindly invite to a seminar on Venture Capital Economics. Please find more information below. Otto Randl Institut für strategische Kapitalmarktforschung ------------------------- VENTURE CAPITAL ECONOMICS The seminar will be given by Michael J. Brown, Chairman, Chrysalix Energy Management Inc. Topics Covered Basic Structures of Venture Capital Characteristics of VC Portfolios Individual Company Performance Investment Managers Expectations and Needs of Investors For a more detailed seminar outline please send an e-mail to isk(a)iskwien.at Date Tuesday, 8 June 2004, 2:00 pm - 6:30 pm Location Palais Coburg, Coburgbastei 4/1, 1010 Wien Deadline for enrollment 2 June 2004 Fee EUR 250 (no VAT) (inclusive snacks, coffee & drinks)

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[VFN] Finance+Banking: Einladung zur AWG 2004 - Innsbruck (fwd)
by VFN-L admin * Andreas Schamanek 24 May '04

24 May '04

---------- Forwarded message ---------- Date: Mon, 24 May 2004 16:01:55 +0200 From: Jochen Lawrenz <Jochen.Lawrenz(a)uibk.ac.at> Subject: Einladung zur AWG 2004 - Innsbruck Sehr geehrte Damen und Herren, wir laden hiermit alle Interessierten recht herzlich zur diesjährigen AWG 2004 in Innsbruck ein. Der workshop findet am 18./19. Juni statt; ... Weitere Informationen finden Sie außerdem auf der webseite: http://ibf.uibk.ac.at/awg.html Viele Grüße aus Innsbruck i.A. J.Lawrenz

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[VFN] Reminder Public Lecture May 17th - Leonid Kogan
by Gutmann Center-D.Grimm 11 May '04

11 May '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following Public Lecture - Apologies for any cross-listings!! - Date: May 17th, 2004 (Monday), 5.00 p.m. Speaker: Prof. Dr. Leonid KOGAN Massachusetts Institute of Technology (MIT) http://web.mit.edu/lkogan2/www/ Title: "Evaluating Portfolio Policies: A Duality Approach" Abstract: The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bound is close to the expected utility achieved by the given portfolio policy, the potential utility loss of this policy is guaranteed to be small. Our algorithm can be used to evaluate portfolio policies in models with incomplete markets and position constraints. We illustrate our methodology by analyzing the static and myopic policies in markets with return predictability and constraints on short sales and borrowing. Papers at: http://www.gutmann-center.at Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but please register: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] Vortrag am 10. Mai
by georg pflug 09 May '04

09 May '04

Sehr geehrte Damen und Herren, Prof. Volkert Paulsen (Universitaet Kiel) haelt einen Vortrag mit dem Titel "Ueber Portfoliooptimierung unter Einbeziehung von Mortalitaetsrisiken" Zeit: Montag, der 10. Mai 16:30 (puenktlich) Ort: Leopold Schmetterer Seminarraum des Instituts fuer Statistik Universitaetsstrasse 5 1010 Wien

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[VFN] CCEFM Workshop
by Alex Stomper 05 May '04

05 May '04

CCEFM Workshop Leonid Kogan (MIT) "The Price Impact and Survival of Irrational Traders" Monday, May 17th, 12.30-2.00 pm HS3, BWZ, Brünnerstrasse 72, 1210 Wien The paper can be downloaded from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Stellenangebote
by Hauser-Rethaller Ursula 03 May '04

03 May '04

Sehr geehrte AbonnentInnen des Vienna Finance Newsletters! Die Finanzmarktaufsicht (FMA) hat mehrere Positionen in den Bereichen Risikomanagement in Banken sowie Basel II neu zu besetzen. Weiterführende Informationen finden Sie auf unserer Website unter http://www.fma.gv.at/de/fma/stellena/uebersic.htm. Mit freundlichen Grüßen Dr. Ursula Hauser-Rethaller Finanzmarktaufsicht (FMA) Austrian Financial Market Authority (FMA) A-1020 Wien/Vienna, Praterstraße 23 Tel. +43 (0)1 249 59 - 1103, Fax. +43 (0)1 249 59 - 1199 url: http://www.fma.gv.at <http://www.fma.gv.at/> ___________________________________ Die Information in dieser Nachricht ist vertraulich und ausschließlich für den Adressaten bestimmt. Der Empfänger dieser Nachricht, der nicht der Adressat, einer seiner Mitarbeiter oder sein Empfangsbevollmächtigter ist, wird in Kenntnis gesetzt, dass er deren Inhalt nicht verwenden, weitergeben oder reproduzieren darf. Sollten Sie diese Nachricht irrtümlich erhalten haben, benachrichtigen Sie uns bitte und löschen Sie die Nachricht aus Ihrer Mailbox. Bitte beachten Sie auch, dass E-Mails der Finanzmarktaufsichtsbehörde (FMA) nicht dazu bestimmt sind, irgendeine rechtliche Verpflichtung der FMA, vertraglicher oder sonstiger Art, zu begründen. CONFIDENTIALITY NOTICE: Please note that this transmission may contain privileged and/or confidential information, and is intended for receipt by the above-named individual(s) or authorized employees/agents only. Any unauthorized reproduction, transmittal, or other misuse of this correspondence is strictly prohibited. In the event that you are not the intended recipient, please delete this message from your inbox and notify the sender if possible. DISCLAIMER: Any e-mail messages from the Austrian Financial Market Authority (FMA) are sent in good faith, but shall not be binding nor construed as constituting any legal obligation on part of the FMA.

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

29 Apr '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna http://www.gutmann-center.at is pleased to announce the following Public Lecture - Apologies for any cross-listings!! - Date: May 17th, 2004 (Monday), 5.00 p.m. Speaker: Prof. Dr. Leonid KOGAN Massachusetts Institute of Technology (MIT) http://web.mit.edu/lkogan2/www/ Title: "Evaluating Portfolio Policies: A Duality Approach" Abstract: The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bound is close to the expected utility achieved by the given portfolio policy, the potential utility loss of this policy is guaranteed to be small. Our algorithm can be used to evaluate portfolio policies in models with incomplete markets and position constraints. We illustrate our methodology by analyzing the static and myopic policies in markets with return predictability and constraints on short sales and borrowing. Papers at: http://www.gutmann-center.at Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but please register: brigitte.juchelka(a)gutmann.at phone: +43-1-50220-357 Further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at web: www.gutmann-center.at

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[VFN] CCEFM Workshop
by Alex Stomper 26 Apr '04

26 Apr '04

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

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

21 Apr '04

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

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

19 Apr '04

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

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[VFN] CCEFM Workshop
by Alex Stomper 29 Mar '04

29 Mar '04

CCEFM Workshop Ulf von Lilienfeld (Universität Frankfurt) "The Stock Market is just a Game" Friday, April 2nd, 3:30-5:00 pm Wiener Börse Wallnerstrasse 8 1010 Wien The paper can be downloaded from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] 8th Int. Congress on Insurance: Mathematics & Economics, June 14-162004 ROME (fwd)
by VFN-L admin * Andreas Schamanek 16 Mar '04

16 Mar '04

---------- Forwarded message ---------- Date: Tue, 16 Mar 2004 12:47:49 +0100 From: Emiliano Brugnoni <e.brugnoni(a)gruppotriumph.it> Subject: Fw: 8th International Congress on Insurance: Mathematics & Economics- June 14-16 2004 ROME http://www.ime2004rome.com EIGHTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS June 14-16, 2004=20 The University Luiss "Guido Carli" and the Istituto Italiano degli Attuari (Italian Institute of Actuaries) are pleased to invite you to the eighth International Congress on Insurance: Mathematics & Economics. As in the previous congresses, researchers (actuaries and non-actuaries) have the opportunity to present and discuss the latest results of their studies in the insurance science. The fields of insurance mathematics and insurance economics are the main issue of the Congress, and the Scientific Committee welcomes papers concerning models and computational methods of life insurance, non-life insurance and reinsurance, of alternative risk transfers and other risk sharing arrangements. Also papers concerning applications to actuarial problems of probability and statistics, computer science, numerical analysis, economics, operations research, management science and risk management may be submitted. Portfolio models, risk measures, premium calculation principles, experience rating, claims reserving, dependency of risks, strategy allocation and market finance are themes of great importance in the context of IME Congresses. The papers presented can be submitted for publication in a special issue of Insurance: Mathematics and Economics dedicated to the congress. They will be subjected to the same peer review process that applies for regular issues of this journal. Abstracts should be submitted by March 26, 2004 and the full papers should be sent in by May 14, 2004, both by e-mail to ime2004rome(a)luiss.it. The acceptable formats for the abstracts are PDF, Word, TeX and LaTeX. All the decisions by the Scientific Committee regarding acceptance or rejection for presentation at the conference will be final: there will be no opportunities for revision by the author. Organising Committee: C. Angela (chairperson), F. Cacciafesta, G. di Tria, F. Gozzi, G. Foschini, C. Mottura, G. Olivieri (chairperson), R. Ottaviani, N. Savelli, M.S. Staffa, E. Volpe di Prignano. =20 Scientific Committee: C. Angela, F. Cacciafesta, M. Denuit, H.U. Gerber, M.J. Goovaerts, F. Gozzi, R. Kaas, C. Mottura, G. Olivieri, R. Ottaviani, E. Pitacco, N. Savelli, E. Shiu, E. Volpe di Prignano. SECRETARIAL OFFICE OF THE CONGRESS: Emiliano Brugnoni(tel: +39-(0)6.355.30.281; Fax: +39-06.355.30.282; Cell: +39-348.07.15.418; email ime2004rome(a)luiss.it) Emiliano Brugnoni Gruppo Triumph Via Lucilio 60 00136 Rome Italy Phone +39-(0)6-35530281 Fax +39-(0)6-35530282 e.brugnoni(a)gruppotriumph.it

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[VFN] Austrian Workshop on Asset Liability Management (First Announcement)
by Sandra Trenovatz 16 Mar '04

16 Mar '04

First Announcement: ------------------- Dear Ladies and Gentlemen, We want to alert you to the forthcoming Austrian Workshop on Asset Liability Management (ALM 2004) for Insurance Companies and Pension Funds from September 23 - 25 in Vienna, featuring - an introductory crash course, - a practicioners' day and - a day of cutting edge research. The workshop is jointly organised by - the Vienna University of Technology, - the FMA (Austrian Financial Market Authority), - the University of Applied Sciences BFI in Vienna, - the Actuarial Association of Austria, - the Scientific Association "Insurance, Financial, and Operational Risk Management" and - the Vienna University of Economics and Business Administration. Please find further information on the web page http://alm.fam.tuwien.ac.at/ ***PLEASE, BE SURE TO REGISTER EARLY*** Best regards, M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler, M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock

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[VFN] Public Lecture Bill Sharpe March 25th - NEW LOCATION!!
by Gutmann Center-D.Grimm 16 Mar '04

16 Mar '04

* IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT * * NEW LOCATION * NEW LOCATION * NEW LOCATION * NEW LOCATION * The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: (We apologize for any cross-postings!) Date: March, 25th (Thursday), 4.30 p.m. !! LOCATION!! : UNIVERISTÄT WIEN (HAUPTGEBÄUDE-MAIN BUILDING) KLEINER FESTSAAL Dr. Karl Lueger-Ring 1 1010 Wien Title: "Asset Allocation Optimization: Theory and Practice" Abstract: Markowitz optimization procedure is widely used by investment advisors and pension fund consultants to help determine the allocation of their clients funds among major asset classes. However, in practice optimization is typically used in ways that differ from the theory presented in most textbooks. This lecture reviews the fundamental aspects of asset allocation optimization, describes a typical practical application, and highlights some of the reasons for discrepancies between theory and practice. Finally, the major source of the problem is identified and a better solution offered. Speaker: Prof. Dr. William F. SHARPE STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business Nobel Prize in Economic Sciences, 1990 http://gobi.stanford.edu/facultybios/bio.asp?ID=151 Please register: dorothea.grimm(a)univie.ac.at Contact and further information: Mag. Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] 18. Workshop der AWG in Innsbruck, 18 & 19 Juni 2004
by office＠bwg.at 15 Mar '04

15 Mar '04

18. Workshop der Austrian Working Group on Banking and Finance Das Institut für Betriebliche Finanzwirtschaft (o. Univ.-Prof. Dr. K. Schredelseker / o. Univ.-Prof. Dr. M. Bank, CFA) an der Leopold-Franzens-Universität Innsbruck veranstaltet mit Unterstützung der Österreichischen Bankwissenschaftlichen Gesellschaft am 18. und 19. Juni 2004 in Innsbruck den 18. Workshop der Austrian Working Group on Banking and Finance Der Workshop findet am Freitag, dem 18. Juni 2004, nachmittags, und am Samstag, dem 19. Juni 2004, vormittags, an der Leopold-Franzens-Universität Innsbruck statt. Bezüglich der Themen ist keine Einschränkung vorgesehen. First CALL for PAPERS Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 30. April 2004 bei o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck, Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder e-mail: ibf-banking(a)uibk.ac.at, eingereicht werden. Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 16. April 2004 einzureichen. Weitere Informationen finden Sie unter http://ibf.uibk.ac.at/awg.html der Call for Papers kann unter http://www.bwg.at/bwg2/bwg.nsf/Menue/1.8 abgerufen werden

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[VFN] CCEFM workshops, 19th and 23rd of March
by Alex Stomper 08 Mar '04

08 Mar '04

Upcoming CCEFM workshops 19. 3. 2004, 3.30-5.00 pm Leo Kaas, University of Vienna Financial Market Integration and Loan Competition: When is Entry Deregulation Socially Benefitial? Wiener Börse, Wallnerstrasse 8, 1010 Wien The manuscript for the the talk is downloadable from the page cited below. 23. 3. 2004, 4.30-6.00 pm William F. Sharpe, Stanford Asset Pricing and Portfolio Choice HS5, BWZ, Brünnerstrasse 72, 1210 Wien For information about further CCEFM workshops, see: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Public Lecture Prof. Bill Sharpe March 25th
by Gutmann Center-D.Grimm 26 Feb '04

26 Feb '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna www.gutmann-center.at is pleased to announce the following PUBLIC LECTURE: (We apologize for any cross-postings) Date: March, 25th (Thursday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien www.gutmann.at Title: "Asset Allocation Optimization: Theory and Practice" Speaker: Prof. Dr. William F. SHARPE STANCO 25 Professor of Finance, Emeritus at Stanford University's Graduate School of Business Nobel Prize in Economic Sciences, 1990 http://gobi.stanford.edu/facultybios/bio.asp?ID=151 Prof. Sharpe was one of the originators of the Capital Asset Pricing Model, developed the Sharpe Ratio for investment performance analysis, the binomial method for the valuation of options, the gradient method for asset allocation optimization, and returns-based style analysis for evaluating the style and performance of investment funds. Dr. Sharpe has published articles in a number of professional journals, including Management Science, The Journal of Business, The Journal of Finance, The Journal of Financial Economics, The Journal of Financial and Quantitative Analysis, The Journal of Portfolio Management, and The Financial Analysts' Journal. He has also written six books, including Portfolio Theory and Capital Markets (McGraw-Hill, 1970 and 2000), Asset Allocation Tools (Scientific Press, 1987), Fundamentals of Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 2000) and Investments (with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall, 1999). Prof. Sharpe is past President of the American Finance Association. In 1990 he received the Nobel Prize in Economic Sciences. He received his Ph.D., M.A. and B.A. in Economics from the University of California at Los Angeles. He is also the recipient of a Doctor of Humane Letters, Honoris Causa from DePaul University, a Doctor Honoris Causa from the University of Alicante (Spain), and the UCLA Medal, UCLA's highest honor. Dr. Sharpe is a trustee of the AXA Rosenberg mutual funds and a member of the board of Financial Engines, Incorporated. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] EURANDOM Workshop
by Wim Schoutens 03 Feb '04

03 Feb '04

EURANDOM Workshop on "Exotic option pricing under advanced Lévy models" EURANDOM, Eindhoven, The Netherlands May 3 and 4, 2004. http://www.eurandom.nl/workshops/2004/Exotic%20pricing/exotic_pricing.htm Summary In recent years more and more attention has been given to stochastic models of financial markets which depart from the traditional Black-Scholes model; that is to say both in academia and financial institutions alike. In particular focus has been placed on modelling risky assets with semi-martingales. For example Lévy process based models are able to take into account different important stylised features of financial time series. The consequence of working with more advanced stochastic models forces a number of new mathematical challenges with respect to exotic derivatives. Exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in over the counter markets. Examples of these exotic options are lookback, barrier, Asian, Parisian, Bermudian, Russian, Israeli, Passport, Cliquet, digital, swing, corridor, Variance Swap options etc. Moreover these instruments are finding their way into other businesses like the (re-)insurance; for example catastrophe options, weather derivatives and energy derivatives are useful in handling different kinds of risk. Mathematical issues at stake include: multiple inverse Fourier transform techniques, issues of smooth and continuous pasting in free boundary and optimal stopping problems, extracting overshoot distributions from Wiener-Hopf factorisations, characterizing distributions of functionals of Levy processes, wavelet and other sub-basis methods for American-type option pricing, Monte-Carlo simulations and other numerical techniques. This workshop aims to bring people together from both industry and academia to overview recent results, discuss imminent problems and motivate new research. Special lectures by Dilip Madan,University of Maryland at College Park Peter Carr, New York University and Bloomberg Marc Yor, Université Paris VI Albert Shiryaev, Stekolov Mathematical Institute and Moscow State University Speakers and Discussion chairmen Hansjörg Albrecher, Technische Universität Graz Paulinne Barrieu, London School of Economics Peter Carr, New York University and Bloomberg Freddy Delbaen, ETH-Zentrum Richard Hudson, The Wall Street Journal Christoph Kühn, Johann Wolfgang Goethe-Universität Andreas Kyprianou, Universiteit Utrecht Elisa Nicolato,University of Aarhus David Nualart, Universitat de Barcelona Dilip Madan ,University of Maryland at College Park Goran Peskir, University of Aarhus Frédérique Petit , Université Paris VI Wim Schoutens, K.U.Leuven - U.C.S. Albert Shiryaev, Stekolov Mathematical Institute and Moscow State University Nick Webber, Cass Business School Marc Yor, Université Paris VI REGISTRATION FEE For academia there is no fee. For non-academic people the fee is 500 Euro* (For inscriptions before 31th of March, 2004) 700 Euro* (For inscriptions after 31th of March, 2004)

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[VFN] Stellenausschreibung, Abt. Industriefinanzierung, TU-Wien
by Wolfgang Aussenegg 19 Jan '04

19 Jan '04

AUSSCHREIBUNG - TU-Wien An der Abt. Industriefinanzierung und Investment Banking (im neuen Organisationsplan: Abt. Finanzwirtschaft und Controlling) (http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften, Arbeitswissenschaft und Betriebswirtschaftslehre (E330) (http://ebweb.tuwien.ac.at/), der Technischen Universität Wien (http://www.tuwien.ac.at/), ist voraussichtlich ab 1.3.2004 auf die Dauer von 6 Jahren eine Stelle für einen/eine Universitätsassistenten/in zu besetzen. Beschäftigungsausmaß: vollbeschäftigt Aufnahmebedingungen: einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige wissenschaftliche Befähigung Sonstige Kenntnisse: Finanzwirtschaft und Risikomanagement, Statistik/Ökonometrie (inkl. Zeitreihenanalyse), Informatikkenntnisse und Programmiererfahrung Bewerbungsfrist: 21.1.2004 bis 11.2.2004 Bewerbungen sind an die Personalabteilung I (http://www.tuwien.ac.at/zv/pers1/ bzw. http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz 13, A-1040 Wien, zu richten. Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg (Email: waussen(a)pop.tuwien.ac.at) (www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm) zur Verfügung. Mit freundlichen Grüßen, Wolfgang Aussenegg -- *********************************************************** a.o.Univ.-Prof. Dr. Wolfgang Aussenegg Institut für Betriebswissenschaften, Arbeitswissenschaft und Betriebswirtschaftslehre Abt. Industriefinanzierung und Investment Banking 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] Public Lecture Stephen Ross January 21st, Wednesday - Reminder and abstract
by Gutmann Center-D.Grimm 19 Jan '04

19 Jan '04

REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: January 21st, 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: STEPHEN A. ROSS, MIT Sloan Management School Franco Modigliani Professor of Financial Economics http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor der=name A widely published author in finance and economics, Stephen Ross is best known as the inventor of the Arbitrage Pricing Theory of Agency, as well as the codiscoverer of risk-neutral pricing and the binomial model for pricing derivatives. His book Corporate Finance is in its fourth edition. Ross' current research efforts involve a variety of phenomena in financial markets. He is a principal of Roll & Ross Asset Management Corporation, which employs technology that Ross helped develop to manage over $3 billion in investments worldwide. He is a fellow of the American Academy of Arts and Sciences and is a director of Freddie Mac, Algorithmics, Inc., and the College Retirement Equities Fund. He is also a trustee of the California Institute of Technology. Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT" Abstract: "There is a rising interest in the use of anomalies and behavioral finance in asset management. Some of the results from this work are of potential value and much is not. Of most value are the empirical findings when they are properly understood and interpreted. Of least value are the 'behavioral explanations'. Without a solid neoclassical financial basis for an anomaly, trading on the basis of it is perilous." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] ccefm workshop
by Alex Stomper 13 Jan '04

13 Jan '04

CCEFM Workshop Stephen Ross, MIT "Compensation, Incentives, and the Duality of Risk Aversion and Riskiness" Thursday, January 22nd, 2.30-4.00 pm TU Wien, Gußhausstraße 25-29, 1040 Wien, HS EI8 (Stiege 1, EG) The paper is downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Stephen A. Ross - Public Lecture January 21st - Gutmann Center
by Gutmann Center-D.Grimm 12 Jan '04

12 Jan '04

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: January 21st, 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: STEPHEN A. ROSS, MIT Sloan Management School Franco Modigliani Professor of Financial Economics http://sloancf.mit.edu/vpf/facstaff.cfm?ID=226&ProfType=F&sortor der=name A widely published author in finance and economics, Stephen Ross is best known as the inventor of the Arbitrage Pricing Theory of Agency, as well as the codiscoverer of risk-neutral pricing and the binomial model for pricing derivatives. His book Corporate Finance is in its fourth edition. Ross' current research efforts involve a variety of phenomena in financial markets. He is a principal of Roll & Ross Asset Management Corporation, which employs technology that Ross helped develop to manage over $3 billion in investments worldwide. He is a fellow of the American Academy of Arts and Sciences and is a director of Freddie Mac, Algorithmics, Inc., and the College Retirement Equities Fund. He is also a trustee of the California Institute of Technology. Title: "A NEOCLASSICAL VIEW OF BEHAVIORAL FINANCE AND THE CLOSED END FUND PUZZLE-IMPLICATIONS FOR ASSET MANAGEMENT" Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +43-1-50220-249 Further information: Dorothea Grimm Gutmann Center for Portfolio Management mail: dorothea.grimm(a)univie.ac.at Phone: +43-1-4277-38186 web: http://www.gutmann-center.at

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[VFN] 2 Posten am Inst. f. Finanzierung u. Finanzmaerkte, WU Wien
by VFN-L admin * Andreas Schamanek 08 Jan '04

08 Jan '04

---------- Forwarded message ---------- Date: Thu, 08 Jan 2004 07:47:45 +0100 From: Stefan Bogner <Stefan.bogner(a)wu-wien.ac.at> (...) ************************************************************************* 4.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF) 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 finanzwissenschaftlicher Forschung Kennzahl: 11105 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 28. Jänner 2004 Bitte die Kennzahl unbedingt anführen ! Der Rektor: o. Univ.Prof. Dr. Chr. Badelt 5.) Im Institut für Finanzierung und Finanzmärkte, Abt. für Betriebliche Finanzierung, ist voraussichtlich ab 1. Februar 2004 bis 31. August 2005 1 Posten für eine/n Wissenschaftlichen Mitarbeiter/in, vollbeschäftigt, (ArbeitnehmerIn der Wirtschaftsuniversität Wien gem. § 128 UG 2002 idgF) zu besetzen. Notwendige Kenntnisse und Qualifikationen: EU-Bürger/in; abgeschlossenes Studium der Sozial- und Wirtschaftswissenschaften oder der Mathematik bzw. Informatik mit wirtschaftlichem Schwerpunkt Erwünschte Kenntnisse und Qualifikationen: Vertiefte Kenntnisse auf dem Gebiet der Finanzierung, der EDV-Anwendung und der englischen Sprache, Interesse an finanzwissenschaftlicher Forschung Kennzahl: 11305 Schriftliche Bewerbungen mit Lebenslauf und Angabe über den Studienerfolg (ohne Original-zeugnisse) sind unter Angabe der angeführten Kennzahl an die PERSONALABTEILUNG der Wirtschaftsuniversität Wien, Augasse 2-6, 1090 Wien zu richten. Ende der Bewerbungsfrist: 28. Jänner 2004 Bitte die Kennzahl unbedingt anführen ! ************************************************************************* Mit besten Grüßen Stefan Bogner

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[VFN] CCEFM Workshops
by Alex Stomper 02 Jan '04

02 Jan '04

Upcoming CCEFM Workshops 9.1.2003 Alex Stomper "Why Leverage Distorts Investment" 16.1.2003 Josef Zechner "Where is the Market? Evidence from Cross-Listings" Both talks start at 3:30 pm in the Wiener Börse, Wallnerstrasse 8, 1010 Wien. The papers are downloadable from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] Agent-Based Computational Economics: ACE News Notes (December) (fwd)
by VFN-L admin * Andreas Schamanek 19 Dec '03

19 Dec '03

---------- Forwarded message ---------- Date: Wed, 17 Dec 2003 15:15:14 -0600 From: Leigh Tesfatsion <tesfatsi(a)IASTATE.EDU> Subject: ACE News Notes (December) (...) In case you are interested, I have just released online the December 2003 news notes on agent-based computational economics (ACE). ACE is the computational study of economies modelled as evolving systems of autonomous interacting agents with learning capabilities. The December 2003 ACE news notes can be accessed at http://www.econ.iastate.edu/tesfatsi/ace1203.htm These notes include announcements regarding books, journals, software, and websites that might be of interest to ACE researchers in particular and to computational social science researchers in general. The notes are also archived (along with all past distributed ACE news notes) at the ACE website at http://www.econ.iastate.edu/tesfatsi/ace.htm Best wishes, Leigh Tesfatsion Leigh Tesfatsion Department of Economics Tel: (515) 294-0138 Iowa State University FAX: (515) 294-0221 Ames, Iowa 50011-1070 U.S.A. tesfatsi(a)iastate.edu http://www.econ.iastate.edu/tesfatsi/

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[VFN] Developments in Quantitative Finance
by Uwe Schmock 05 Dec '03

05 Dec '03

From David G. Hobson <dgh(a)maths.bath.ac.uk> Dear Colleague; In 2005 the Isaac Newton Institute is holding a six-month programme on Developments in Quantitative Finance: see http://www.newton.cam.ac.uk/programs/DQF/index.html The aim of this programme is to promote research in quantitative finance and to gather together leaders from all related disciplines including mathematicians, economists and industry professionals, so that they can share their knowledge and advance their understanding. There is already a preliminary schedule for programme (follow links for the above or see http://www.bath.ac.uk/~masdgh/INI/timetable.html). This schedule is based around a series of events on various themes from accross mathematics, economics and finance. There is also a mailing list which those interested in participating in one of the components of the programme are encouraged to join. David Hobson on behalf of the organisers Darrell Duffie, Stanford University David Hobson, University of Bath, Chris Rogers, University of Cambridge, Jose Scheinkman, Princeton University

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