First Announcement
+--------------------------------------------------+
| Workshop and Mid-Term Conference on |
| Advanced Mathematical Methods for Finance |
| September 17-22, 2007 |
| <http://www.fam.tuwien.ac.at/amamef2007/> |
+--------------------------------------------------+
organized by PRisMa Lab and FAM @ TU Vienna
Location:
Vienna University of Technology
Wiedner Hauptstr. 8-10
1040 Vienna, Austria
Scientific Program:
Mo, Sep. 17th: Educational workshop for Ph.D. students and young postdocs
Tu, Sep. 18th: Scientific conference
We, Sep. 19th: Scientific conference
Tu, Sep. 20th: Scientific conference
Fr, Sep. 21st: Practitioner's day
Sa, Sep. 22nd: Scientific conference (half day)
Invited Speakers (confirmed):
Prof. Tomas Björk (Stockholm School of Economics)
Prof. Freddy Delbaen (ETH Zürich)
Prof. Ernst Eberlein (Universität Freiburg)
Prof. Damir Filipovic (LMU München)
Prof. Ioannis Karatzas (Columbia University)
Prof. Dmitry Kramkov (Carnegie Mellon University)
Prof. Damien Lamberton (Université de Marne-la-Vallée)
Dr. Marek Musiela (BNP Paribas, London)
Prof. Chris Rogers (University of Cambridge)
Prof. Wolfgang Runggaldier (Università degli Studi di Padova)
Dr. Peter Schaller (Bank Austria Creditanstalt)
Dr. Eva Strasser (JP Morgan)
Prof. Martin Schweizer (ETH Zürich)
Prof. Thaleia Zariphopoulou (University of Texas)
Invited Speakers (confirmed) from the AMaMeF Steering Committee:
(See <http://150.146.2.4/amamef/> for details of the AMaMeF program)
Prof. Ole E. Barndorff-Nielsen (University of Aarhus)
Prof. Lane P. Hughston (King's College London)
Prof. Claudia Klüppelberg (TU München)
Prof. Giulia Di Nunno (University of Oslo)
Prof. Bernt Øksendal (University of Oslo)
Dr. Benedetto Piccoli (Consiglio Nazionale delle Ricerche, Rome)
Prof. Christoph Schwab (ETH Zürich)
Prof. Lukasz Stettner (Polish Academy of Sciences)
Prof. Esko Valkeila (Helsinki University of Technology)
Prof. Michèle Vanmaele (Universiteit Gent)
Prof. Constantin Varsan (Romanian Academy, Bucharest)
Organizing Committee:
Prof. Peter Grandits
Dr. Friedrich Hubalek
Dr. Reinhold Kainhofer
Dr. Johannes Leitner
Prof. Walter Schachermayer
Prof. Uwe Schmock
Conference Secretary:
Mr. Christian Gawrilowicz (FAM @ TU Vienna)
Phone: +43-1-58801-10511
E-mail: secr(a)fam.tuwien.ac.at
For registration details, conference fees, contributed talks, etc.,
please visit the conference web site at
<http://www.fam.tuwien.ac.at/amamef2007/>, which will be updated
continuously. We are looking forward to welcome you in Vienna!
On behalf of the Organizing Committee,
Uwe Schmock
P.S.: I apologize for any cross-postings.
Prof. Dr. Uwe Schmock
Institute for Mathematical Methods in Economics
Research Unit: Financial and Actuarial Mathematics
Vienna University of Technology
Wiedner Hauptstrasse 8-10/105-1
A-1040 Vienna
Austria
Personal Home Page:
<http://www.fam.tuwien.ac.at/~schmock/>
Financial and Actuarial Mathematics (FAM) at TU Vienna
<http://www.fam.tuwien.ac.at/>
CD-Laboratory for Portfolio Risk Management (PRisMa Lab)
<http://www.prismalab.at/>
Dear colleague,
the DEADLINE for submission of abstract EMNET 2007 is March 18, 2007.
We want to invite you to the third international conference on Economics
and Management of Networks(EMNet) will that will take place at the Erasmus
University Rotterdam (Rotterdam School of Management), The Netherlands,
from June 28 to June 30, 2007.
Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html.
An edited BOOK with the 20 best papers will be published at
Springer/Physica Verlag.
In addition, a SPECIAL ISSUE with selected papers of the conference
will be published in 'International Studies of Management and
Organization' (editors: George Hendrikse, Josef Windsperger)
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding their
focus on Board of Directors, member interests, member heterogeneity. (Free
sign up as member at www.ernac.net).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna , Center of Business Studies
Please send this announcement also to your colleagues!
Invitation to the VGSF Research Seminar!
This semester the seminar usually takes place on Friday from 15:30 to 17:00
in HS 7 (Bauteil III, 3rd floor) at the BWZ in Brünnerstrasse 72, 1210 Wien.
The detailed seminar schedule and the papers can be found on the
VGSF-website (www.vgsf.ac.at --> Activities --> Research Seminar).
On March 9th there will be TWO (!!!) VGSF research seminars from 14:00 (!!!)
to 17:00:
(A) Prof. Matti Keloharju (Helsinki School of Economics): Sensation Seeking,
Overconfidence, and Trading Activity
ABSTRACT: This study analyzes the role that two psychological
attributessensation seeking and overconfidenceplay in the tendency of
investors to trade stocks. Equity trading data are combined with data from
an investors tax filings, driving record, and psychological profile. We use
the data to construct measures of overconfidence and sensation seeking
tendencies. Controlling for a host of variables, including wealth, income,
age, number of stocks owned, marital status, and occupation, we find that
overconfident investors and those investors most
prone to sensation seeking trade more frequently.
(B) Prof. Laurent Calvet (HEC Paris): Down or Out: Assessing the Welfare
Costs of Household Investment Mistakes
ABSTRACT: This paper investigates the efficiency of household investment
decisions in a unique dataset containing the disaggregated wealth and income
of the entire population of Sweden. The analysis focuses on two main sources
of inefficiency in the financial portfolio: underdiversification of risky
assets (down) and nonparticipation in risky asset markets (out). We find
that while a few households are very poorly diversified, the cost of
diversification mistakes is quite modest for most of the population. For
instance, a majority of participating Swedish households are sufficiently
diversified internationally to outperform the Sharpe ratio of their domestic
stock market. We document that households with greater financial
sophistication tend to invest more efficiently but also more aggressively,
so the welfare cost of portfolio inefficiency tends to be greater for these
households. The welfare cost of nonparticipation is smaller by almost one
half when we take account of the fact that nonparticipants would be unlikely
to invest efficiently if they participated in risky asset markets.
Both professors will be available for individual meetings on Friday before
the seminars. If you would like to meet them, please contact Michael
Halling.
Best,
Michael Halling
The SS 2007 schedule of the VGSF Research Seminar is available on the VGSF
website (www.vgsf.ac.at --> Activities & Events --> Research Seminars). This
semester the seminar is going to take place at the BWZ
(Betriebswirtschaftliches Zentrum der Universität Wien) in Brünnerstrasse
72, 1210 Wien. The seminar's regular lecture room is HS 7 (a detailed map
can be found on the seminar webpage).
If you have further questions, please contact Michael Halling
(michael.halling(a)univie.ac.at).
Hope to see you there,
Michael
Deadline for Submission of Abstract EMNET 2007: March 18, 2007
The third international conference on Economics and Management of
Networks (EMNet) will take place at the Erasmus University Rotterdam
(Rotterdam School of Management), The Netherlands, from June 28 to June
30, 2007. Call for papers and conference registration can be found at:
http://www.univie.ac.at/EMNET/2007/index2007.html. A book with the 20
best papers will be published at Springer/Physica Verlag.
One of the sponsors of EMNET 2007 will be eRNAC (e-Research Network
Agricultural Cooperatives). In addition to the EMNet-topics, we like to
elicit and encourage papers, and have therefore sessions, regarding
their focus on Board of Directors, member interests, member
heterogeneity. (Free sign up as member at www.ernac.net
<http://www.ernac.net/>).
Best regards,
George Hendrikse, RSM Erasmus University Rotterdam
Josef Windsperger, University of Vienna, Center of Business Studies
SUMMER SCHOOL
Quantitative Risk Management
July 5 - 6, 2007
Mathematics Department
of the Ludwig-Maximilians Universitaet
LMU, Muenchen (Germany)
The summer school will take place at the Mathematics Department of the
Ludwig-Maximilians Universitaet (LMU) of Muenchen on July 5 (13 - 19 h)
and on July 6 (9 - 18 h), 2007. It consists of two mini courses on
* Quantitative Modelling of Operational Risk
* Credit Derivatives and Dynamic Credit Risk Models
held by Prof. P. Embrechts from ETH (Zurich) and Prof. R. Frey
(University of Leipzig). Dr Gerhard Stahl (Federal Financial Supervisory
Authority, Bonn) will also give a special lecture on "Application of
statistical methods in risk management".
The school addresses PhD students, postgraduate researchers and all
practitioners from the risk management in insurance and other financial
institutions.
For further information, see:
http://www.mathematik.uni-muenchen.de/~finsum/sschool07.php
REGISTRATION
There is a registration fee. Participants are kindly requested to follow the
indications on line available at
http://www.mathematik.uni-muenchen.de/~finsum/regi07.html
ORGANISERS
Francesca Biagini, LMU Muenchen
(http://www.mathematik.uni-muenchen.de/~biagini/)
Damir Filipovic, LMU Muenchen.
(http://www.mathematik.uni-muenchen.de/~filipo/)
Professor Pedro Santa-Clara from UCLA is giving a seminar on "Crashes, Volatility, and the Equity Premium: Lessons from S&P500 Options" on Friday, January 26th, 2.00-3.30 pm, at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a map). Please find below the paper's abstract.
Best regards,
Youchang Wu
Abstract:
We use a novel pricing model to imply times series of diffusive volatility and jump intensity from S&P 500 index options. These two measures capture the ex-ante risk assessed by investors. Ex-ante risk differs from realized risk (e.g., the volatility measured from the time series of returns) to the extent that investors at times perceive as probable crashes that end up not happening. We find that both components of risk vary substantially over time, are quite persistent, and correlate with each other and with the stock index. Using a simple general equilibrium model with a CRRA representative investor, we translate the ex-ante risk into an ex-ante risk premium. We find that the average premium that compensates the investor for the ex-ante risks implicit in option prices is 11.8 percent, much higher than the 7.1 percent premium required to compensate the same investor for realized risks. Moreover, the ex-ante equity premium that we uncover is highly volatile, with values between 0.3 and 54.9 percent. The component of the premium that corresponds to jump risk varies between zero and 45.4 percent. Ex-ante risks implicit in option prices justify a higher and more variable equity risk premium than the realized risk would warrant.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Dear colleague,
We wish you a very successful and happy new year. In addition, We want to
invite you to submit your abstract for EMNET 2007 in Rotterdam by February
28 (see http://www.univie.ac.at/EMNET/2007/index2007.html ).
We are looking forward to seeing you in Rotterdam.
Best regards,
George Hendrikse, RSM Erasmus University
Josef Windsperger, University of Vienna
Contrary to previous announcements, there will not be a seminar this week.
Massimo Massa asked us to cancel his seminar. He is not able to give a
talk since he got ill.
Please spread the following information via your newsletter!
Hansjörg Albrecher
Dear colleagues,
we would like to bring your attention to the following event:
Radon Workshop on Financial and Actuarial Mathematics
for Young Researchers
Linz, Austria, May 30-31, 2007
This international workshop aims to bring together young researchers, in
particular Ph.D. students and Postdocs, working in the field of Financial and
Actuarial Mathematics to discuss recent developments in the theory of
mathematical finance and insurance and its application to current issues facing
the industry. The goal is to promote the exchange of ideas between young
scholars in this field. Researchers in all areas of financial and actuarial
mathematics are welcome to apply.
The workshop is held at the Radon Institute of Computational and Applied
Mathematics (RICAM) of the Austrian Academy of Sciences in Linz, Austria.
Each participant is supposed to give a talk of 30 minutes length (including
discussion). In addition, there will be an opening lecture by
Prof. Ralf Korn (Kaiserslautern, Germany)
and a closing lecture by
Prof. Wim Schoutens (Leuven, Belgium).
Since there is no registration fee and for all participants the hotel
accomodation will be covered, the number of participants has to be limited to
35.
Application for participation including an abstract (length about half a page)
for the talk should be sent to fayr07(a)ricam.oeaw.ac.at
The closing date for the receipt of applications is March 31, 2007.
Notification of acceptance: April 16, 2007.
For participants from Eastern Europe, there is a limited number of travel
grants available upon application.
For further information, please visit the workshop web page at
http://www.ricam.oeaw.ac.at/conferences/fayr07/
or contact the organizers
Dr. Hansjoerg Albrecher
Radon Institute for Computational and Applied Mathematics
Austrian Academy of Sciences
Altenbergerstrasse 69 tel: +43-732-2468-5247
A-4040 Linz, Austria fax: +43-732-2468-5212
email: hansjoerg.albrecher(a)oeaw.ac.at
web: http://www.ricam.oeaw.ac.at/people/page/albrecher
and
Philipp Mayer
Graz University of Technology
Steyrergasse 30 tel: +43-316-873-5365
A-8010 Graz, Austria fax: +43-316-873-5369
email: mayer(a)opt.math.tugraz.at
web: http://www.opt.math.tugraz.at/~mayer/
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
GUTMANN CENTER SYMPOSIUM 2007:
"CREDIT RISK AND THE MANAGEMENT OF FIXED-INCOME PORTFOLIOS"
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
June 1st, 2007
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of Vienna
is proud to announce its fifth annual symposium to be held at the
University of Vienna.
Topics of this year's symposium include but are not restricted to the
following aspects:
- corporate bond valuation
- corporate bond trading
- distressed debt analysis
- measuring and pricing default risk
- credit derivatives and structured credit products
- counterparty risk management
- exchange rates, sovereign risk and emerging market debt
- leveraged loan indices
- project finance and default risk
PAPER SUBMISSION:
Papers on topics mentioned above should be submitted by email (in
Acrobat PDF) not later than March 1st, 2007 to the following address:
E-mail: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
Bruenner Strasse 72, 1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Mail: gutmann.bwl(a)univie.ac.at - Homepage: http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of members of
the Gutmann Center's Academic Advisory Board and decisions will be
announced by March 15th, 2007
Submission and participation are free of charge. Presenting authors are
invited to apply to Gutmann Center to cover their accommodation and
travel expenses.
Leopold Sögner from the Vienna University of Technology is giving a VGSF
research seminar on "Jumps and Recovery Rates Inferred from Corporate CDS
Premia" on FRIDAY, Jan. 12th, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
ABSTRACT
We provide a thorough investigation of the US corporate credit default swap
(CDS) market. We take a full parametric approach with an observable,
multi-factor, affine reduced-form model that accommodates jumps in the
riskless, as well as default-risky discount rates. Our empirical results
reveal that a multifactor formulation is imperative for fitting, both, the
time-series and in particular the cross-section of CDS premia. Model implied
loss given default (LGD) is well identified; it appears to be positively
related to a firm's credit quality. Incorporation of jumps significantly
improves the model's capability to reproduce the time-series behavior of CDS
premia.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: January 25th, 2007, 4.00 pm
Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management
http://personal.anderson.ucla.edu/pedro.santa-clara/
Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS?
Abstract:
We propose a novel approach to optimizing portfolios with large numbers
of assets. We model directly the portfolio weight in each asset as a
function of the asset's characteristics. Our approach is computationally
simple, easily modified and extended, produces sensible portfolio
weights, and offers robust performance in and out of sample. In
contrast, the traditional approach of first modeling the joint
distribution of returns and then solving for the corresponding optimal
portfolio weights is not only difficult to implement for a large number
of assets but also yields notoriously noisy and unstable results.
About Pedro Santa-Clara:
Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson
School of Management, where he has been since 1996. He received his
Ph.D. degree in Management from INSEAD, France. He is a research
associate of the National Bureau of Economic Research and an associate
editor of the Journal of Financial and Quantitative Analysis, Journal of
Business and Economic Statistics, and Management Science.
Professor Santa-Clara's research interests are focused on theoretical
models of asset pricing and the development of econometric methods to
estimate them, particularly in the areas of equity and bond pricing,
option valuation, and portfolio choice. His contributions, including the
string model of the term structure, the MIDAS model of conditional
variance, and dynamic portfolio choice by extending the asset space,
have gained wide acceptance by academics and finance professionals. His
research has been published in the Journal of Finance, Review of
Financial Studies, Journal of Financial Economics, and other leading
journals in Economics and Finance.
Professor Santa-Clara founded Atrium Investments, an asset management
company and has worked as a consultant to multiple investment banks and
hedge funds on pricing derivatives and developing investment strategies.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Die Donau-Universität Krems ist Europas einzige staatliche Weiterbildungsuniversität und Österreichs führender Anbieter postgradualer Master-Studien. Mehr als 3.000 Studierende sind in über 120 Universitätslehrgängen eingeschrieben.
Zur Verstärkung im Department für Wirtschafts- und Managementwissenschaften/Zentrum für Finance suchen wir ab sofort eine/n engagierte/n
Wissenschaftliche/r Mitarbeiter/in
38,5 Stunden pro Woche
Ihre Aufgaben:
* Mitwirkung bei der Durchführung von Universitätslehrgängen
* Betreuung der Studierenden
* Unterstützung bei der Planung und Durchführung von Forschungsprojekten
Ihr Profil:
* abgeschlossenes Hochschulstudium im Bereich Wirtschaftswissenschaften, vorzugsweise mit Schwerpunkt Finanzwirtschaft/Finance
* ausgewiesene Kenntnisse in der Finanzwirtschaft/Finance, insbesondere in der empirischen Kapitalmarktforschung
* ausgezeichnete Englischkenntnisse
* Teamfähigkeit sowie ausgeprägte kommunikative Kompetenzen
Ihre Perspektive:
Freuen Sie sich auf eine anspruchsvolle Tätigkeit in einem kreativen, hoch motivierten Team. Gestalten Sie mit uns die erfolgreiche Zukunft der jüngsten Universität Österreichs.
Wir freuen uns auf Ihre überzeugende Bewerbung! Wenden Sie sich bitte schriftlich bis spätestens 29.12.2006 an die Personalabteilung der Donau-Universität Krems, Dr.-Karl-Dorrek-Straße 30, A-3500 Krems, astrid.adam(a)donau-uni.ac.at
Denis Gromb from London Business School is giving a VGSF research seminar on
"Financially Constrained Arbitrage and the Cross-section of Market
Liquidity" (no paper available) on FRIDAY, Dec. 15th, from 13:00 to 14:30 at
the WU Wien (Seminarraum A619 - 6th floor Red Sector, UZA 4, Nordbergstrasse
15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan).
Denis is going to be in Vienna during the entire week. Please contact
Michael Halling if you would like to talk to him.
Best,
Michael Halling
VIENNA GRADUATE SCHOOL OF FINANCE (VGSF)
www.vgsf.ac.at
offers
PhD SCHOLARSHIPS IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance - a joint initiative of the
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Wirtschaftsuniversität Wien - invites applications for its PhD
Program in Finance. The VGSF offers a stimulating learning and research
environment plus financial support to outstanding students from around
the world. VGSF graduates can look forward to a rewarding career at
leading academic institutions.
FACULTY
The VGSF faculty is very well connected in the academic finance
community and complemented by leading international finance scholars.
For example, 2006/07 courses will be taught by Tomas Björk, Nicolae
Garleanu, Ruey Tsay, Jan Werner, and Toni Whited. In addition,
international scholars are regularly invited to present their current
research in the VGSF finance research seminar.
PROGRAM
The VGSF PhD-program in Finance is a four-year program which consists of
two years of rigorous coursework and two years work on the PhD-thesis.
All courses are taught in English. In addition to excellent language
skills, good skills in mathematics and statistics are advantageous to
successfully complete the program.
APPLICATION
The program is open for students from all countries with all academic
specializations, provided they hold a Master degree or equivalent and
have a sufficient level of formal training. Applicants should take a GRE
and/or GMAT and a TOEFL test, and provide proof of basic proficiency in
finance and/or economics (based on either the degree they hold or a
sample of original written work). The application package must also
contain a statement of purpose, as well as copies of any certificates
and diplomas obtained during prior studies, along with certified
translations into English. Finally, each applicant should arrange for at
least two letters of reference to be sent directly to the address below.
SCHOLARSHIP
Successful applicants will receive financial support. Approximately 4-6
scholarships are offered for the curriculum starting in September 2007.
Please send your application package no later than February 15th, 2007,
to the following address:
VGSF - Prof. Dr. Josef Zechner
University of Vienna, Department of Finance, Brünnerstrasse 72, 1210
Vienna (Wien), Austria.
FOR FURTHER DETAILS AND AN APPLICATION FORM PLEASE SEE:
http://www.vgsf.ac.at - Contact: vgsf(a)vgsf.ac.at
Department of Finance at the University of Vienna
invites participation in Guest Lecture on
China's Macroeconomy and Monetary Policy under Globalization
Speaker: Prof. Dr. Gang Yi, assistant governor of People's Bank of China,
professor of economics at Beijing University
Time: Dec. 4th (Monday), 2006. 11:00-12:30
Location: Palais Coburg, Coburgbastei 4/1, Vienna (ISK wien)
about Prof. Gang Yi:
Gang Yi is assistant governor of People's Bank of China (the central bank of
China) and professor of economics at Beijing University. Professor Yi holds
a Ph.D in economics from University of Illinois. Before returning to China
in 1994, he was associated professor (with tenure) at Indiana University,
Indianapolis. His research focuses on macroeconomy, monetary policy and
financial markets.
Best regards,
Youchang Wu
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Peter Bossaerts from CalTech (California Institute of Technology) is giving
a VGSF research seminar on "EQUILIBRATION UNDER COMPETITION IN SMALLS:
THEORY AND EXPERIMENTAL EVIDENCE" on FRIDAY, Dec. 1st, from 15:30 to 17:00
at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Peter is going to be in Vienna on Monday and Tuesday (Dec. 4th and 5th).
Please contact Michael Halling if you would like to talk to Peter.
Best,
Michael Halling
Abstract
Many real-world markets are competitive only in smalls, taken to mean that
price taking applies only to small orders. Starting from this observation, a
theory of equilibration is derived where orders are optimal merely in a
local sense. Prices are assumed to adjust in the direction of the order
imbalance. In the context of financial markets populated with mean-variance
optimizing agents, the theory predicts that a security's price will
correlate with excess demands in other securities, and the sign of this
correlation is the same as that of the covariance of the final payoffs. In
the short run, prices tend to a local equilibrium where the risk-aversion
weighted endowment portfolio (RAWE) is mean-variance optimal. Relative to
the market portfolio, RAWE overweighs securities that are held
disproportionally by more risk averse agents; RAWE puts less weight on
securities that are held primarily by more risk tolerant agents. Throughout
equilibration, portfolio separation is violated generically, and violations
are more extreme when payoff covariances are positive. For a variety of
patterns of initial allocations (including identical initial holdings), the
equity premium is larger at the outset than at (CAPM) equilibrium. All these
implications are confirmed in experiments.
Youchang Wu from the University of Vienna is giving a VGSF research seminar
on "Intermediated Investment Management" on FRIDAY, Nov. 24th, from 15:30 to
17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090
Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Investment advisers perform the role of assisting clients with their
investments and distributing portfolio management services. While the vast
majority of clients employ advisory services, an important issue is how well
advisers perform in this capacity. Our theoretical model analyzes the
impacts on portfolio performance, fund flows, fund sizes and welfare from
the use of advisers. An important aspect of our analysis is the extent to
which conflicts of interest such as influence activity can bias the asset
allocation decisions of advisers. Interestingly advisory services are
utilized to a greater extent under this circumstance. We show that
investment advisers help to improve social welfare, but much of the welfare
gain is extracted by the portfolio manager. When influence activity is
feasible, investors welfare is adversely affected by the presence of
advisers.
A doctoral position ("Wissenschaftlicher MitarbeiterIn in Ausbildung")
is available at the Department of Finance (Prof. Zechner). The first
contract would be until July 31st 2007 but there is a significant chance
that the contract can be extended. Interested candidates should apply at
Personalabteilung <http://www.univie.ac.at/personalabteilung> der
Universität Wien <http://www.univie.ac.at/>, Dr. Karl Lueger-Ring 1,
A-1010 Wien. *Kennzahl: 37565/MB***
*Prerequisite for Employment:* Degree in Business Administration or
Economics (Diplom- oder Magistergrad).
Please observe the SHORT DEADLINE: November 27^th , 2006
For more information you may contact
Martina Schlichting
University of Vienna
Department of Finance
Brünner Straße 72
1210 Vienna
Austria
Tel.: +43 (0)1 4277-38072
Fax: +43 (0)1 4277-38074
E-Mail: martina.schlichting(a)univie.ac.at
<mailto:martina.schlichting@univie.ac.at>
www.univie.ac.at/finance
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
AUSSCHREIBUNG
An der TU-Wien (Bereich Finanzwirtschaft und Controlling*,
http://www.imw.tuwien.ac.at/fc/*) sind (bis *22.11.2006*) 2
Assistentenstellen ausgeschrieben. Details siehe unten:
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling
(http://www.imw.tuwien.ac.at/fc/), ab sofort für die Dauer der Karenz
(voraussichtlich 2 Jahre)
*_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *Informatik, Finanzwirtschaft*
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling**
(http://www.imw.tuwien.ac.at/fc/)**, ab sofort für die Dauer der
Karenz** (voraussichtlich 2 Jahre)*
_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *internationaler
Rechnungslegung, Finanzwirtschaf*t
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at) zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Bereich Finanzwirtschaft und Controlling
Technische Universität Wien
Phone: +43-1-58801 - 33082
Fax: +43-1-58801 - 33098
E-mail: waussen(a)pop.tuwien.ac.at
Web: http://info.tuwien.ac.at/E330/
Adresse: Favoritenstraße 9-11
A-1040 Wien
Österreich
Prof. Nicole Branger from the University of Muenster is giving a VGSF
research seminar on "Rational Laymen versus Over-Confident Experts: Who
Survives in the Long Run?" on FRIDAY, Nov. 17th, from 15:30 to 17:00 at the
WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Nicole is going to be available for meetings on Friday. If you are
interested, please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we study the equilibrium in a heterogeneous economy with two
groups of investors. Over-confident experts incorrectly assume that their
signal for the drift of the dividend process is correlated with the true
drift, but interpret the signal otherwise perfectly. Rational laymen avoid
the experts' error, but their signal is noisier than that received by the
experts. We investigate which of these two problems is more severe by
computing long-run equilibrium consumption shares for the two groups. Our
results indicate that overconfidence might be a more serious problem than
limited information processing capability.