VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

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

16 Feb '06

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: February 21st, 2006 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS The talk will outline our ongoing research into applications of quantitative approaches for investment decision making in global fixed-income and currency markets. We will consider tactical market-timing type decisions as well as strategies aimed at exploiting risk premia over a long horizon. About Vasant Naik: Vasant Naik is the head of the Quantitative Market Strategies Group of the Fixed Income Research division of Lehman Brothers in London. He has been with Lehman Brothers for 7 years. He is responsible for a team that is engaged in building quantitative models useful for investment decision-making in global fixed income markets. As such, the group conducts research projects characterizing risk and return in global bond, currency and volatility markets. Vasant’s group also works on questions of optimal portfolio construction, portfolio risk modeling and investment process design. This research is made available to clients of Lehman Brothers which include the largest institutional investors around the globe. Quantitative research is one of the dimensions along which Lehman Brothers excels in the financial industry. Prior to joining Lehman Brothers, Vasant was a faculty member at the University of British Columbia in Canada for 10 years. In his academic research, he has developed models of equity returns, the yield curve, derivatives valuation and hedging and real options. Also, he taught under-graduate, graduate and doctoral students in different areas of Finance. Vasant graduated from Indian Institute of Management Bangalore in 1983 and from University of California, Berkeley in 1988 with a doctorate in finance. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] VGSF Research Seminar of Vasant Naik
by Michael Halling 15 Feb '06

15 Feb '06

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

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

02 Feb '06

The Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at is pleased to announce the GUTMANN CENTER SYMPOSIUM 2006: "REAL ASSETS AND PORTFOLIO MANAGEMENT" March 27th, 2006, 9.00 am – 6.00 pm University of Vienna - "Kleiner Festsaal" Dr. Karl-Lueger-Platz 1, 1010 Wien Real estate, a major driver of both the overall economy and of individual wealth, has become an increasingly important asset class for portfolio managers. Other real assets such as private equity and venture capital have also generated a lot of interest recently as additional opportunities to optimize asset allocation. However, for most investors, these alternative investment opportunities remain rather opaque. Internationally recognized experts will present their analyses of these asset classes at our symposium from both an academic and practitioner’s perspective. KEY-NOTE ADDRESS “Homeownership as a Constraint on Asset Allocation” Eduardo Schwartz, UCLA SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS - “Efficient Portfolios when Housing is a Hedge against Rent Risk” Loriana Pelizzon, Università Ca' Foscari di Venezia - “Illiquidity and Pricing Biases in the Real Estate Market” Kerry D. Vandell, University of Wisconsin-Madison - “Hot and Cold Housing Markets: International Evidence” Javier Suarez, CEMFI SESSION II: REAL ASSETS AND PORTFOLIO CHOICE - “Comovement After Joining an Index: Spillovers of Nonfundamental Effects” Dong Wook Lee, University of Kentucky - “Better Regulation and Underwriter Reputation have done nothing for IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on the London Stock Exchange” Elroy Dimson, London Business School - “Beautiful Asset: Art as Investment” Michael Moses, New York University SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL - “Determinants of Venture Capital Performance: Europe and the United States” Ulrich Hege, HEC - “Risk-Adjusted Returns of Private Equity Investments” Alexander Groh, Technische Universität Darmstadt - “The Performance of Private Equity Funds” Ludovic Phalippou, University of Amsterdam, SESSION IV: EXPECTED RETURNS IN REAL ESTATE - “Expected Returns and the Expected Growth in Rents of Commercial Real Estate” Walter Torous, UCLA - “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions” Charles P. Himmelberg, Goldmann Sachs Sessions will be chaired and discussed by members of the Academic Advisory Board: - Elroy Dimson, London Business School - Engelbert Dockner, University of Vienna - Robert Korajczyk, Northwestern University - Klaus Spremann, University St. Gallen - Neal Stoughton, University of Calgary - Josef Zechner, University of Vienna The participation is free, but all participants are required to REGISTER: mail: gutmann.bwl(a)univie.ac.at Detailed program is available at www.gutmann-center.at ! Contact: Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 1210 Wien - Austria phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at web: www.gutmann-center.at

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

30 Jan '06

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[VFN] VGSF Research Seminar
by Michael Halling 19 Jan '06

19 Jan '06

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

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[VFN] Scholarships for PhD at Vienna Graduate School of Finance
by VGSF-D.Grimm 20 Dec '05

20 Dec '05

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

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

15 Dec '05

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: December 19th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Darrell DUFFIE, Stanford http://www.stanford.edu/~duffie/ Title: MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW? Abstract: Some of the fog surrounding the measurement and pricing of corporate credit risk seems to be lifting, as the empirical evidence builds. There are nevertheless some important puzzles to be explained, and we remain in severe need of better models, especially for the pricing and risk management of correlated credit risk products (for which the market-standard copula models have significant inadequacies). Investors are compensated for bearing corporate default risk with market premia (credit yield spreads or credit derivative prices) that appear to be large relative to expected losses, and highly variable across time. There is evidence of significant clustering of defaults across corporate issuers, above and beyond that suggested by the correlation of observable risk factors such as equity returns, volatility, leverage, interest rates, and broad macroeconomic business-cycle variables. This is a clue to the surprisingly high prices of tranched credit products that are exposed only to those portfolio default losses that are above extremely high thresholds relative to historical losses. Drawing from a number of new collaborative research projects, this talk will present some recent evidence, suggest some new modelling approaches, and speculate on the underlying economic causes of these puzzles, which may include unobservable common risk factors, sluggish movement of capital across market segments, and agency in the asset management business. About Darrell Duffie: Darrell Duffie is the James I. Miller Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford. Duffie, recently a Director of The Board of The American Finance Association, is a Fellow of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of Moody's Academic Research Committee, and the 2003 IAFE/Sunguard Financial Engineer of the Year. He is currently on the editorial boards of Econometrica and The Journal of Financial Economics, among other journals. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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

12 Dec '05

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

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

05 Dec '05

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: December 19th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Darrell DUFFIE, Stanford http://www.stanford.edu/~duffie/ Title: MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW? Abstract: Some of the fog surrounding the measurement and pricing of corporate credit risk seems to be lifting, as the empirical evidence builds. There are nevertheless some important puzzles to be explained, and we remain in severe need of better models, especially for the pricing and risk management of correlated credit risk products (for which the market-standard copula models have significant inadequacies). Investors are compensated for bearing corporate default risk with market premia (credit yield spreads or credit derivative prices) that appear to be large relative to expected losses, and highly variable across time. There is evidence of significant clustering of defaults across corporate issuers, above and beyond that suggested by the correlation of observable risk factors such as equity returns, volatility, leverage, interest rates, and broad macroeconomic business-cycle variables. This is a clue to the surprisingly high prices of tranched credit products that are exposed only to those portfolio default losses that are above extremely high thresholds relative to historical losses. Drawing from a number of new collaborative research projects, this talk will present some recent evidence, suggest some new modelling approaches, and speculate on the underlying economic causes of these puzzles, which may include unobservable common risk factors, sluggish movement of capital across market segments, and agency in the asset management business. About Darrell Duffie: Darrell Duffie is the James I. Miller Professor of Finance at The Graduate School of Business, Stanford University, where he has been a member of the finance faculty since receiving his Ph.D. at Stanford. Duffie, recently a Director of The Board of The American Finance Association, is a Fellow of the Econometric Society, a Research Associate of the National Bureau of Economic Research, a member of Moody's Academic Research Committee, and the 2003 IAFE/Sunguard Financial Engineer of the Year. He is currently on the editorial boards of Econometrica and The Journal of Financial Economics, among other journals. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 1210 Wien (Austria) phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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

02 Dec '05

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

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[VFN] Ausschreibung Stellen WissenschaftlicheR MitarbeiterIn
by Alexander Veverka 01 Dec '05

01 Dec '05

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

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

30 Nov '05

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: December 5th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Terrance ODEAN (www.odean.org) Haas School of Business at the University of California, Berkeley Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY" Abstract: Professor Terrance Odean will present his research on how psychological biases and decision heuristics affect the trading of individual investors and the impact of this trading on investor welfare and market efficiency. Analyzing the trading records of hundreds of thousands of individual and institutional investors, Professor Odean finds that individual investors tend to trade too frequently, hold onto their losing investments, and buy stocks that are in the news. Psychological motivations for these behaviors are overconfidence, a desire to avoid feeling regret, and the limits of human attention. Investors, especially those who have experienced recent success, are likely to be overconfident about their abilities. Overconfidence leads to excessive trading and lower returns. The stocks that individual investors buy tend to subsequently under-perform those they sell. Active investors tend to under-perform buy-and-hold investors. Men, who tend to be more overconfident than women, trade 45% more actively than women thereby hurting their net returns. And investors who switch to online trading tend to trade more actively, more speculatively, and less successfully after going online. And investors tend to buy stocks that are in the news, irrespective of whether the news is good or bad. These trading behaviors lead to substantial reductions in portfolio returns for individual investors. Furthermore, the trading of individual investors forecasts future asset returns. About Terrance Odean: Terrance Odean (www.odean.org) is Professor of Finance at the Haas School of Business, University of California, Berkeley. He is director of UC Berkeley’s Experimental Social Science Laboratory, associate editor of The Review of Financial Studies, and a member of the Russell Sage Behavioral Economics Roundtable. Professor Odean is an internationally highly respected scholar in the field of behavioral finance. His research focuses on the implications of overconfidence on investment behavior. It has been cited in The Wall Street Journal, The New York Times, The L.A. Times, The Washington Post, The International Herald Tribune, Time, Newsweek, U.S. News and World Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg Personal, Worth, Kipplinger's Personal Finance, and several other publications. Professor Odean earned a B.A. in Statistics at the University of California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School of Business in 1997. He held a position at the Graduate School of Management, University of California Davies and returned to the Haas School in 2001. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - A-1210 Wien phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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

22 Nov '05

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

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[VFN] VGSF Research Seminar
by Michael Halling 17 Nov '05

17 Nov '05

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

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[VFN] Invitation: Terrance Odean in Gutmann Center Public Lecture Dec. 5th
by Gutmann Center-D.Grimm 17 Nov '05

17 Nov '05

GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: December 5th, 2005 - 4.00 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. Terrance ODEAN (www.odean.org) Haas School of Business at the University of California, Berkeley Title: "INVESTOR BEHAVIOR AND MARKET EFFICIENCY" Abstract: Professor Terrance Odean will present his research on how psychological biases and decision heuristics affect the trading of individual investors and the impact of this trading on investor welfare and market efficiency. Analyzing the trading records of hundreds of thousands of individual and institutional investors, Professor Odean finds that individual investors tend to trade too frequently, hold onto their losing investments, and buy stocks that are in the news. Psychological motivations for these behaviors are overconfidence, a desire to avoid feeling regret, and the limits of human attention. Investors, especially those who have experienced recent success, are likely to be overconfident about their abilities. Overconfidence leads to excessive trading and lower returns. The stocks that individual investors buy tend to subsequently under-perform those they sell. Active investors tend to under-perform buy-and-hold investors. Men, who tend to be more overconfident than women, trade 45% more actively than women thereby hurting their net returns. And investors who switch to online trading tend to trade more actively, more speculatively, and less successfully after going online. And investors tend to buy stocks that are in the news, irrespective of whether the news is good or bad. These trading behaviors lead to substantial reductions in portfolio returns for individual investors. Furthermore, the trading of individual investors forecasts future asset returns. About Terrance Odean: Terrance Odean (www.odean.org) is Professor of Finance at the Haas School of Business, University of California, Berkeley. He is director of UC Berkeley’s Experimental Social Science Laboratory, associate editor of The Review of Financial Studies, and a member of the Russell Sage Behavioral Economics Roundtable. Professor Odean is an internationally highly respected scholar in the field of behavioral finance. His research focuses on the implications of overconfidence on investment behavior. It has been cited in The Wall Street Journal, The New York Times, The L.A. Times, The Washington Post, The International Herald Tribune, Time, Newsweek, U.S. News and World Report, Barron's, Forbes, Business Week, Smart Money, Bloomberg Personal, Worth, Kipplinger's Personal Finance, and several other publications. Professor Odean earned a B.A. in Statistics at the University of California, Berkeley in 1990 and a Ph.D. in Finance from the Haas School of Business in 1997. He held a position at the Graduate School of Management, University of California Davies and returned to the Haas School in 2001. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - A-1210 Wien phone: +43-1-4277-38186 - fax: +43-1-4277-38074 mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at

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[VFN] Ankündigung: Workshop Kreditrisikomanagement
by mhanke＠wu-wien.ac.at 06 Nov '05

06 Nov '05

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

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

04 Nov '05

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

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

03 Nov '05

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

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[VFN] Reminder VGSF Research Seminar
by Michael Halling 27 Oct '05

27 Oct '05

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

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[VFN] VGSF Research Seminar
by Michael Halling 11 Oct '05

11 Oct '05

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

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

03 Oct '05

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

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[VFN] Stellenausschreibung am Institut fuer Kreditwirtschaft, WU Wien
by Rainer Jankowitsch 20 Sep '05

20 Sep '05

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

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

15 Sep '05

CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT (apologies for any cross-postings!!) GUTMANN CENTER SYMPOSIUM ON "REAL ASSETS AND PORTFOLIO MANAGEMENT" Gutmann Center for Portfolio Management at the University of Vienna http://www.gutmann-center.at March 27th, 2006 University of Vienna, Austria The Gutmann Center for Portfolio Management at the University of Vienna is proud to announce its fourth annual symposium to be held at the University of Vienna. The focus of this year’s symposium is on “real assets” such as real estate, commodities, etc. In particular we invite empirical and theoretical research on: (i) the risk-return characteristics of real assets, (ii) return prediction in real asset markets, (iii) alternative instruments and investment vehicles in real asset markets, (iv) asset pricing and real assets (v) asset allocation and real assets. PAPER SUBMISSION: Papers on topics mentioned above should be submitted by email (in Acrobat PDF) not later than October 31st, 2005 to the following address: Email: gutmann.bwl(a)univie.ac.at CONTACT: Gutmann Center for Portfolio Management University of Vienna Director: Josef Zechner Administrative Director: Dorothea Grimm Bruenner Strasse 72, A-1210 Wien, Austria Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Mail: gutmann.bwl(a)univie.ac.at - Homepage: http://www.gutmann-center.at All submissions will be reviewed by a committee composed of members of the Gutmann Center’s Academic Advisory Board and decisions will be announced by January 15th, 2006. Submission and participation are free of charge. Presenting authors are invited to apply to Gutmann Center to cover their accommodation and travel expenses.

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

25 Aug '05

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

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[VFN] Uni Ulm: Internationaler Workshop ueber Kredit-Modelle und Energie-Derivate (fwd)
by VFN-L admin * Andreas Schamanek 24 Aug '05

24 Aug '05

---------- Forwarded message ---------- From: Walter Schachermayer ---------- Forwarded message ---------- Date: Tue, 23 Aug 2005 18:24:27 +0200 From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de> Subject: Uni Ulm informiert: Internationaler Workshop ueber Kredit-Modelle und Energie-Derivate Financial Modelling Workshop University of Ulm 20-22.9. 2005 ( http://www.mathematik.uni-ulm.de/finmath/confpage/index.html ) The workshop aims to discuss leading-edge research in credit and commodities (energy) modelling. The first 1.5 days will be devoted to credit risk while the focus of the remaining 1.5 days is on commodities, in particular energy risk. 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. It is the second of a series of workshops jointly organized with the Birkbeck College, University of London (see http://www.energyrisk.org/ for details on the first workshop). The preliminary schedule is shown on the conference webpage: http://www.mathematik.uni-ulm.de/finmath/confpage/programme.html Short Course In addition we will have a half-day course on Monday on Credit Modelling designed for practitioners. The course will consist of four one hour sessions with topics: Corporate Bonds (Modelling Spread Curves), Credit Derivatives; CDOs, Use and Effects of Corporate Bonds in Investment Portfolios. ( http://www.mathematik.uni-ulm.de/finmath/confpage/satellite.html ) Registration The registration for the conference and the preceding Short Course in Credit Modelling is open until September 17. http://www.mathematik.uni-ulm.de/finmath/confpage/regform.html Registration for talks has been closed. Further Details can be found on the conference webpage http://www.mathematik.uni-ulm.de/finmath/confpage/index.html Chairman: Prof. Dr. Ruediger Kiesel Department of Financial Mathematics Ulm University D-89069 Ulm Germany phone: +49-731-502-3521 fax: +49-731-503-1096 email: org(a)conference.finance-ulm.de

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