VFN-L

vfn-l@fam.tuwien.ac.at

1159 discussions

[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

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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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