---------- 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
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
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
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/>
___________________________________
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constituting any legal obligation on part of the FMA.
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
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
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.
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.
---------- 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
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
* 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
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
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
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
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)
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
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
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
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
---------- 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
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
---------- 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/
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