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[VFN] Research Workshop June 18th - starts at 12.00
by Gutmann Center-D.Grimm 12 Jun '03

12 Jun '03

PLEASE NOTE THAT THE FOLLOWING RESEARCH SEMINAR WILL BEGIN AT 12.00 and not 11.00 a.m. AS ANNOUNED IN A PREVIOUS ANNOUNCEMENT!!! The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 12.00-1.30 p.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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] Mathematical Finance for Young Researchers (fwd)
by VFN-L admin * Andreas Schamanek 10 Jun '03

10 Jun '03

---------- Forwarded message ---------- Date: Tue, 10 Jun 2003 17:48:39 +0200 From: Berlin Workshop 2003 <finance(a)math.hu-berlin.de> Subject: Mathematical Finance for Young Researchers Dear colleagues, we would be grateful if you could inform young members of your research group about the upcoming Workshop on Mathematical Finance for Young Researchers: Modelling, Measuring, and Managing Financial Risk. The workshop will be held on January 8 - January 10, 2004 at Humboldt University of Berlin. The aim of the workshop is to bring together promising Ph.D. students and postdocs, and to give them the opportunity to discuss their research in an informal atmosphere. Keynote lectures will be given by David Hobson, University of Bath, Wolfgang Schmidt, Hochschule fuer Bankwirtschaft, Martin Schweizer, Ludwig-Maximilian-Universitaet Muenchen, Thaleia Zariphopoulou, University of Texas at Austin. We also invite applications for up to 15 contributed papers from young researchers, in particular from recent PhDs. Accomodation expenses for speakers will be covered. Very limited support for travel expenses may also be available. Closing date for submissions to finance(a)math.hu-berlin.de is September 30th, 2003. The workshop is supported by the DFG Research Center "Mathematics for Key Technologies" ( http://www.fzt86.de ) and the Graduiertenkolleg "Stochastic Processes and Probabilistic Analysis". Thank you very much for your cooperation, the organizing committee Peter Bank, Hans Foellmer, Ulrich Horst, Peter Imkeller, Alexander Schied

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[VFN] Research Seminar Prof. Korajczyk June 18th
by Gutmann Center-D.Grimm 10 Jun '03

10 Jun '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (www.ccefm.at) are pleased to announce the following RESEARCH SEMINAR Date: June 18th (Wednesday), 11.00 a.m. Location: Universität Wien, Institut für BWL (BWZ) Brünner Str. 72 1210 Wien SEMINARRAUM 1 Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Paper: "Sunspots, Iterative Two-Pass Cross-Sectional Regressions, and Asymptotic Principal Components." It can be downloaded from the following URL: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=386621 Please find further information at: www.gutmann-center.at! Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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] Public Lecture Robert Korajczyk June 17th
by Gutmann Center-D.Grimm 05 Jun '03

05 Jun '03

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: June 17th, 2003 (Tuesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Robert A. Korajczyk Harry G. Guthmann Distinguished Professor of Finance Kellogg School of Management Northwestern University http://www.kellogg.nwu.edu/faculty/korajczy/htm/ Robert A. Korajczyk is the Harry G. Guthmann Distinguished Professor of Finance. He is past Chair of the Finance Department and has been a member of the Kellogg School faculty since 1982. Professor Korajczyk has also held visiting faculty appointments at the University of Chicago and the Hong Kong University of Science and Technology. Professor Korajczyks research interests are in the areas of investments, corporate finance, and international finance. He is a recipient of the New York Stock Exchange Award for Best Paper on Equity Trading presented at the 1993 Western Finance Association annual meetings, and the Review of Financial Studies Best Paper Award, 1991. He is a past or current editor of several leading journals. He has served as a consultant to the World Bank and a number of other organizations. He received his B.A. (1976); M.B.A. (1977); and Ph.D. (1983) from the University of Chicago." Title: "Liquidity and Portfolio Management" Abstract: "Liquidity, or lack of it, has played an important part in a number of recent financial crises. Of even more relevance to most portfolio managers if the fact that simulated portfolios almost universally outperform actual portfolios based on the same trading rules. This discrepancy is due, in large part, to imperfect liquidity in asset markets. This lecture will discuss the estimation and use of liquidity measures in portfolio management, the evidence for or against the existence of liquidity premiums in equity markets, and the implications for investors and listed firms." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Reminder - Public Lecture Gutmann Center June 4th
by Gutmann Center-D.Grimm 02 Jun '03

02 Jun '03

REMINDER * REMINDER * REMINDER * 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: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/ Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets. Title: "Games Asset Managers Play" Abstract: What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly tournament. Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to lock in their relative position. This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a risk budget, which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year. Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] MBA Risk Management (fwd)
by VFN-L admin * Andreas Schamanek 27 May '03

27 May '03

---------- Forwarded message ---------- Date: Tue, 27 May 2003 15:33:56 +0200 From: Michael Jeckle <michael.jeckle(a)fh-vie.ac.at> To: vfn-l-moderators(a)fam.tuwien.ac.at Die Fachhochschule BFI bietet ab Herbst 2003 einen postgraduierten MBA Risk Management mit quantitativer Ausrichtung an (vorbehaltlich der Genehmigung des BMWF). Inhaltlicher Schwerpunkt des ersten Jahres sind die Methoden der Quantifizierung und Steuerung von Markt-, Kredit-, Schadens- und biometrischen Risiken. Im zweiten Jahr stehen die Probleme der Umsetzung in Banken, Versicherungen und Corporates unter besonderer Berücksichtigung der aufsichtsrechtlichen, organisatorischen und informations- technologischen Aspekte des Risikomanagements im Mittelpunkt der Ausbildung: Dauer: 2 Jahre Beginn: Oktober 2003 Kosten: 20.000 Euro Aufnahmebedingugen: Abgeschlossenes Studium oder einschlägige Berufserfahrung Abschluss: MBA Risk Management Zeiten: Donnerstag 17:30-21:00, Freitag 13:30-20:30 und Samstag 9:00-17:00 durchschnittlich im zweiwöchigen Rhythmus Weitere Informationen erhalten Sie von: Dipl. Vw. Michael Jeckle Mag. Barbara Lischka Inhaltiche Betreuung des MBA Organisatorische Betreuung des MBA **************************************************************************** Tel (++43-1) 720/1286/46 Tel (++43-1) 720/1286/47 E-Mail: michael.jeckle(a)fh-vie.ac.at E-Mail:barbara.lischka@fh-vie.ac.at http://www.fh-vie.ac.at

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[VFN] Public Lecture Russel Wermers June 4th
by Gutmann Center-D.Grimm 15 May '03

15 May '03

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: June 4th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Russel R. Wermers, Professor of Finance, University of Maryland http://www.rhsmith.umd.edu/Finance/rwermers/ Russel R. Wermers is Professor of Finance at the Robert H. Smith School of Business,University of Maryland at College Park. Numerous publications in top-class journals such as American Economic Review, Journal of Finance, Journal of Financial and Quantitative Analysis. Current research interests: mutual fund performance measurement, the impact of mutual funds on stock markets, and empirical tests of the efficiency of stock markets. Title: "Games Asset Managers Play" Abstract: What types of games do asset managers play, knowing that they are being judged by their performance records each year? Prior research indicates that mutual fund managers play a yearly tournament. Specifically, mid-year losing funds increase their risk during the second half of the year in an attempt to overtake mid-year winning funds, while mid-year winners decrease their risk to lock in their relative position. This talk will describe the results of a new study of mutual fund tournaments that digs deeper into the determinants of risk-taking behavior by managers. We show that fund managers pay attention not only to their mid-year performance records, relative to their peers, but also to the amount of risk that they have taken in the past. That is, fund managers behave as if they have a risk budget, which sometimes leads to behavior that runs counter to that predicted by prior studies. For example, a fund manager who has taken a substantial amount of risk during the first half of a year, and loses, tends to reduce risk during the second half of the year. Our results provide new insights into the sponsor-manager agency problem, which, in turn, provides sponsors with new insights into the risks of delegated portfolio management. Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Reminder - Public Lecture Bill Fung May 14th
by Gutmann Center-D.Grimm 08 May '03

08 May '03

+ Reminder + Reminder + Reminder + 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: May 14th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16 (Mezzanin), 1010 Wien (http://www.gutmann.at) Speaker: Prof. William K H FUNG, London Business School http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Faculty/faculty.html Bill Fung is Visiting Research Professor of Finance at the Centre for Hedge Fund Research and Education, London Business School and advisor to the Education and Research Foundation of the Chicago Board of Trade. He has published in renowned finance journals and has extensive experience in the hedge fund industry. Currently, he is Chair, Board of Directors, Maple Financial Group, Canadan and co-CEO at PI Asset Management,LLC,USA. Title: "The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas" Abstract: "This paper presents a unifying framework for estimating risk factors in hedge fund strategies. A simple model with only a handful of Asset-Based Style (ABS) factors is shown to capture both cross-sectional variations of hedge fund returns and the time-varying dynamics of hedge-fund portfolios. In addition, these ABS factors can be directly linked to observable market prices through rule-based models of hedge-fund strategies. We discuss the implications of such a model as a complete extension of Sharpes (1992) style model for hedge funds beyond Fung and Hsieh (1997) as well as applications for portfolio management hedge funds and benchmarking hedge fund performance." Please register - Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Stellenausschreibung Kreditrisiko
by Hauser-Rethaller Ursula 08 May '03

08 May '03

Die FINANZMARKTAUFSICHT (FMA) ist seit April 2002 für die Aufsicht über Kreditinstitute, Versicherungsunternehmen, Pensionskassen und den gesamten Wertpapierdienstleistungsbereich zuständig. Als operativ unabhängige Aufsichtsbehörde hat sie für die Stabilität des heimischen Finanzplatzes und die Funktionsfähigkeit des Kapitalmarktes zu sorgen. Wir suchen zum baldigsten Eintritt eine/n Mitarbeiter/in für die Kreditrisikoprüfung der/die bereit ist, sich den Herausforderungen der integrierten Aufsicht in einem dynamischen Umfeld zu stellen. Stabsabteilung für internationale Angelegenheiten und Risikomanagement Aufgabenbereich: * Mitwirkung an der Implementierung der Anforderungen aus Basel II für das Kreditrisiko * Laufende Prüfung von internen und externen Ratingmodellen. * Prüfung interner Risikomodelle * Prüfung von Verfahren zur Parameterschätzung Anforderungsprofil: * Abgeschlossenes wirtschaftswissenschaftliches Studium mit quantitativem Schwerpunkt oder mathematisch-technisches Studium mit Schwerpunkt Finance * Fundiertes mathematisch-statistisches Grundlagenwissen * Fundierte Kenntnisse der quantitativen Finanzwirtschaft, insbesondere der Methoden zur (Kredit)Risikomessung * Erfahrung mit der Konzipierung von Ratingsystemen (von Vorteil) * Erfahrungen im Bereich des Bankwesens * Kenntnis der neuen Eigenkapitalvorschriften (Basel II) (von Vorteil) * Teamfähigkeit, sehr gute kommunikative Fähigkeiten, Belastbarkeit * Bereitschaft zur Reisetätigkeit * Sehr gute Englischkenntnisse. Wir bieten Ihnen die Möglichkeit in einer jungen Organisation mitzuwirken sowie eine vielseitige, eigenverantwortliche und anspruchsvolle Tätigkeit zu übernehmen. Senden Sie bitte Ihre aussagekräftigen Bewerbungsunterlagen - unter Angabe der Stelle, für die Sie sich bewerben - an: FINANZMARKTAUFSICHT Personalabteilung Praterstr. 23 1020 Wien e-mail: bewerbung(a)fma.gv.at

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[VFN] Stellenanausschreibung Marktrisiko
by Hauser-Rethaller Ursula 08 May '03

08 May '03

Die FINANZMARKTAUFSICHT (FMA) ist seit April 2002 für die Aufsicht über Kreditinstitute, Versicherungsunternehmen, Pensionskassen und den gesamten Wertpapierdienstleistungsbereich zuständig. Als operativ unabhängige Aufsichtsbehörde hat sie für die Stabilität des heimischen Finanzplatzes und die Funktionsfähigkeit des Kapitalmarktes zu sorgen. Wir suchen zum baldigsten Eintritt eine/n Mitarbeiter/in für die Marktrisikoprüfung der/die bereit ist, sich den Herausforderungen der integrierten Aufsicht in einem dynamischen Umfeld zu stellen. Stabsabteilung für internationale Angelegenheiten und Risikomanagement Aufgabenbereich: * Laufende Überwachung der in den österreichischen Kreditistituten angewendeten Marktrisikomodellen * Verantwortliche Mitarbeit bei der Prüfung und behördlichen Genehmigung derartiger Modelle Anforderungsprofil: * Abgeschlossenes wirtschaftswissenschaftliches Studium mit quantitativem Schwerpunkt oder mathematisch-technisches Studium mit Schwerpunkt Finance * Fundierte mathemathisch-statistische Kenntnisse * Fundierte Kenntnisse der quantitativen Finanzwirtschaft, insesondere des Risikomanagements * Erfahrungen im Bereich des Bankwesens. * Kenntnis des BWG, insbesondere die Vorschriften zum Marktrisiko im Handelsbuch (von Vorteil) * Erfahrung mit der Implementierung von Marktrisikomodellen (von Vorteil) * Teamfähigkeit, sehr gute kommunikative Fähigkeiten, Belastbarkeit * Bereitschaft zur Reisetätigkeit * Sehr gute Englischkenntnisse. Wir bieten Ihnen die Möglichkeit in einer jungen Organisation mitzuwirken sowie eine vielseitige, eigenverantwortliche und anspruchsvolle Tätigkeit zu übernehmen. Senden Sie bitte Ihre aussagekräftigen Bewerbungsunterlagen - unter Angabe der Stelle, für die Sie sich bewerben - an: FINANZMARKTAUFSICHT Personalabteilung Praterstr. 23 1020 Wien e-mail: bewerbung(a)fma.gv.at

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[VFN] 10th Global Finance Conference - Call for Participation (fwd)
by VFN-L admin * Andreas Schamanek 07 May '03

07 May '03

---------- Forwarded message ---------- Date: Wed, 7 May 2003 09:38:46 +0200 From: gfc2003 <gfc2003(a)ebs.de> Subject: 10th Global Finance Conference - Call for Participation Dear Colleagues, The EUROPEAN BUSINESS SCHOOL (ebs) is proud to host the 10th Global Finance Conference from June 15-17, 2003 in Frankfurt/Main. The three Endowed Chairs of the ebs Department of Finance have been organizing a global event where practice benefits from science and science is stimulated by practice. The conference will bring together researchers and practitioners from across the world for an intensive exchange of new ideas and scholarly findings. Participants will have the chance to gain valuable insights concerning present developments in financial research and will have the opportunity to discuss the presented topics with experts and fellow researchers. Well known academics such as the following keynote speakers * Prof. emerit. Richard A. Brealey (London Business School) * Prof. Werner De Bondt (DePaul University, Chicago & University of Wisconsin-Madison) * Prof. Dr. Dr. h.c. mult. Otmar Issing (Board of Directors, European Central Bank) * Prof. Dr. Dr. h.c. mult. Hans Tietmeyer (former President of Deutsche Bundesbank, ebs President) will make the 10th Global Finance Conference an outstanding event for the financial community. About 100 Papers - touching a variety of topics like Corporate-, International- and Behavioural-Finance as well as Corporate Governance and Asset Allocation - will be presented. For a detailed schedule please visit our homepage: http://www.ebs.edu/gfc/ . We would like to invite you to the Frankfurt Marriott Hotel to attend the 10th Global Finance Conference. (...) We are looking forward to welcoming you in Frankfurt! Organizing Committee of the 10th Global Finance Conference (Prof. Ulrich Hommel, Ph.D, Dr. Lutz Johanning, Prof. Dr. Dirk Schiereck)

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[VFN] CCEFM Workshop: David Lando am 8. Mai
by Stefan Pichler 27 Apr '03

27 Apr '03

Sehr geehrte Damen und Herren, im Rahmen des CCEFM Workshops in Zusammenarbeit mit PricewaterhouseCoopers haelt Prof. David Lando (Copenhagen Business School) einen Vortrag mit dem Titel: "On confidence sets for transition probabilities" Zeit: Donnerstag, 08.05.2003, 17:00 bis 18:30 Ort: Hoersaal EI8 (Stiege 1, Erdgeschoss) Technische Universitaet Wien Gusshausstrasse 25-29 1040 Wien Alle Interessierten sind herzlich eingeladen. Es ist keine Anmeldung erforderlich. mfg - Stefan Pichler

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[VFN] Public Lecture Prof. Bill Fung May 14th, Gutmann Center
by Gutmann Center-D.Grimm 25 Apr '03

25 Apr '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (http://www.gutmann-center.at) is pleased to announce the following PUBLIC LECTURE: Date: May 14th, 2003 (Wednesday), 4.30 p.m. Location: Bank Gutmann AG, Schwarzenbergplatz 16 (Mezzanin), 1010 Wien (http://www.gutmann.at) Speaker: Prof. William K H FUNG, London Business School http://www.london.edu/hedgefunds/Hedge_Fund_Centre/Faculty/faculty.html Bill Fung is Visiting Research Professor of Finance at the Centre for Hedge Fund Research and Education, London Business School and advisor to the Education and Research Foundation of the Chicago Board of Trade. He has published in renowned finance journals and has extensive experience in the hedge fund industry. Currently, he is Chair, Board of Directors, Maple Financial Group, Canadan and co-CEO at PI Asset Management,LLC,USA. Title: "The Risk in Hedge Fund Strategies: Alternative Alphas and Alternative Betas" Abstract: "This paper presents a unifying framework for estimating risk factors in hedge fund strategies. A simple model with only a handful of Asset-Based Style (ABS) factors is shown to capture both cross-sectional variations of hedge fund returns and the time-varying dynamics of hedge-fund portfolios. In addition, these ABS factors can be directly linked to observable market prices through rule-based models of hedge-fund strategies. We discuss the implications of such a model as a complete extension of Sharpes (1992) style model for hedge funds beyond Fung and Hsieh (1997) as well as applications for portfolio management hedge funds and benchmarking hedge fund performance." Please register by May, 9th! Contact: Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] 8th Viennese Workshop on Optimal Control, Dynamic Games and Nonlinear Dynamics
by Richard Hartl 08 Apr '03

08 Apr '03

******************************************************** ** Preliminary Program ** ******************************************************** ** Eighth Viennese Workshop on Optimal Control, ** ** Dynamic Games and Nonlinear Dynamics: ** ** Theory and Applications in Economics and OR/MS ** ** Vienna , May 14-16, 2003 ** ** ws2003.bwl(a)univie.ac.at ** ** http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003 ** ******************************************************** Dear all, this is to inform you that a preliminary schedule of sessions is already available at http://www.bwl.univie.ac.at/bwl/prod/EVENTS/ws2003/survey.htm. Please check, whether your name (or that of your coauthor who will present) is there. A list of paper titles will also be available soon. Please check our website in a few days. SORRY FOR CROSSPOSTINGS! We are sending this info to registered participants of the "Eighth Viennese Workshop ...", to participants of previous Viennese Workshops, as well as to relevant newsgroups and electronic forums. We would appreciate if you informed your colleagues who might be interested (by forwarding this information to them). Looking forward to seeing you in Vienna soon, Gustav Feichtinger and Richard F. Hartl

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[VFN] Reminder-CCEFM-Workshop Martin Weber Friday April 4th
by Gutmann Center-D.Grimm 03 Apr '03

03 Apr '03

Reminder + Reminder + Reminder + Reminder + Reminder +++++++++++++++++++++++++++++++++++++++++++++++++++++ CCEFM (http://www.ccefm.at) and Gutmann Center for Portfolio Management at the University of Vienna (http://www.gutmann-center.at) are pleased to announce the next CCEFM-Research-Workshop Speaker: Prof. Dr. Martin WEBER, University of Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Title: "On the Trend Recognition Ability of Professional Traders - Are they better or just more overconfident than lay people?" Date: Friday, 4th of April, 2003 Time: 3.30 - 5.00 p.m. Location: Wiener Börse, Säulenhalle, Wallnerstr. 8, 1010 Wien Paper can be downloaded from: http://www.ccefm.at - ccefm-workshops or http://www.gutmann-center.at - activities - research seminars Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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] Gutmann Center Public Lecture 3. April - Reminder
by Gutmann Center-D.Grimm 31 Mar '03

31 Mar '03

Reminder + Reminder + Reminder + Reminder + Reminder + Reminder ++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++++ Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien (http://www.gutmann-center.at) lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein: Datum: Donnerstag, 3. April 2003, 16.30 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (http://www.gutmann.at) Speaker: Prof. Dr. Martin WEBER, Universität Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS" Abstract: "Overconfidence ist die in der verhaltenswissenschaftlichen Finanzmarktforschung am häufigsten untersuchte Verzerrung im Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl psychologischer Studien, die unter dem Begriff Overconfidence subsumiert werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche die eigene Zukunft betreffen, häufig einen zu großen Optimismus. Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird Overconfidence dadurch modelliert, dass Menschen die Volatilität von Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind. Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit rationalen Investoren nicht erklärt werden kann. Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie befasst sich mit Privatanlegern, die andere mit institutionellen Investoren." Weitere Informationen unter: http://www.gutmann-center.at - Activities - Public Lectures Um Anmeldung wird gebeten: Frau Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] Announcement CCEFM-workshop
by Gutmann Center-D.Grimm 26 Mar '03

26 Mar '03

CCEFM (http://www.ccefm.at) and Gutmann Center for Portfolio Management at the University of Vienna (http://www.gutmann-center.at) are pleased to announce the next CCEFM-Research-Workshop Speaker: Prof. Dr. Martin WEBER, University of Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Title: "On the Trend Recognition Ability of Professional Traders - Are they better or just more overconfident than lay people?" Date: Friday, 4th of April, 2003 Time: 3.30 - 5.00 p.m. Location: Wiener Börse, Säulenhalle, Wallnerstr. 8, 1010 Wien Paper can be downloaded from: http://www.ccefm.at - ccefm-workshops or http://www.gutmann-center.at - activities - research seminars Contact: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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] Stochastic Optimal Control Methods In Finance (fwd)
by VFN-L admin * Andreas Schamanek 24 Mar '03

24 Mar '03

---------- Forwarded message ---------- Date sent: Fri, 21 Mar 2003 11:30:23 +0100 (CET) From: Marzia De Donno <mdedonno(a)dm.unipi.it> Subject: cattedra galileiana 2003 Scuola Normale Superiore Associazione Amici della Scuola Normale Superiore Cattedra Galileiana 2003 Halil Mete Soner Koc University Istanbul, Turkey A course on: Stochastic Optimal Control Methods In Finance April 7th - May 6th, 2003 Abstract: Stochastic optimal control methods have been extensively used in financial economics since the pioneering work of Merton on optimal consumption and investment. Stochastic optimal control is a powerful tool as it provides dynamic investment and consumption strategies in a systematic manner. In the Merton framework, financial market is a complete one and the resulting optimal control problem fit into the classical framework. However, in the case of market incompleteness or friction, we encounter interesting control problems. The model with transaction costs is an important example. This model was first introduced by Constantinides and later studied by Davis & Norman, is a singular stochastic model. It is related to the monotone follower problems studied in the control literature by Karatzas & Shreve and Shreve & Soner. In the presence of market friction or incompleteness, optimal control also provides alternate approaches for pricing derivative securities. One of these is the idea of super-replication and the other is to introduce preferences through a utility function. Both of these approaches coincide with the classical no-arbitrage price in complete markets. In these lectures, we outline the recent developments in finance and stochastic optimal control that are related. Problems with "singular" models and the super-replication problem will be emphasized. Mathematically, we will use the theory of viscosity solutions to analyze the resulting nonlinear partial differential equations. Also, we will outline a connection between geometric flows and super-replication problems. Lectures will be given at the "Sala degli Stemmi" Scuola Normale Superiore di Pisa, according to the following schedule. Monday, April 7th - 15:00-17:30 Lecture 1. Optimal control and viscosity solution. This is a general introduction to stochastic optimal control, dynamic programming, dynamic programming equation and viscosity solutions. Tuesday, April 8th -10:00-12:30 Lecture 2. Singular stochastic control. These are optimal control problems in which the state process can move discontinuously in time. We will provide a general framework and discuss models with transaction costs. Monday, April 14th -15:00-17:30 Lecture 3. Super-replication. General target problems will be introduced and the super-replication will be discussed. Tuesday, April 15th -10:00-12:30 Lecture 4. Pricing with Portfolio Constraints. Super-replication with portfolio constraints will be studied first by convex duality of Cvitanic & Karatzas and Karatzas & Kuo. Then, we will use the target control problem techniques of Soner & Touzi. Monday, April 28th -15:00-17:30 Tuesday, April 29th - 10:00-12:30 Lectures 5 and 6. Gamma Constraints. We discuss the problem of pricing under a constraint on the variations of the portfolio. Several probabilistic results on double stochastic integrals and PDE results on non-parabolic equations will be given. Monday, May 5th - 15:00-17:30 Tuesday, May 6th - 10:00-12:30 Lectures 7 and 8. Geometric flows, super-replication, and finance. A general study of super-replication, or more generally the target control problem, yields geometric equations. Particular choices of the target problems provide a stochastic representation for mean curvature flow and other important parabolic geometric flows. Registration The participation to the course is open but registration is needed. Thus, the registration form below should be completed and sent by fax, mail or e-mail to: Associazione Amici della Scuola Normale Superiore Piazza dei Cavalieri 7 - 56126 PISA Tel. (+39) 050 509 654; fax: (+39) 050 509 534 Pag. web: http://www.sns.it/Home/Associazione_Amici_della_Normale/cgal.html E_mail: amicisns(a)sns.it Registration Form Name: Surname: Professional status: Affilation: Address, Tel./Fax: _______________________ __________________________________________ E-mail: __________________________________ dott.ssa Gisella Chinè Associazione Amici della Scuola Normale Superiore Piazza dei Cavalieri 7 - 56126 Pisa Tel. +39 050 509.654 - fax +39 050 509.534 http://www.sns.it/~Amici_della_Normale ------- End of forwarded message -------

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[VFN] Gutmann Center - Public Lecture 3. April 2003
by Gutmann Center-D.Grimm 24 Mar '03

24 Mar '03

Das GUTMANN CENTER FOR PORTFOLIO MANAGEMENT an der Universität Wien (www.gutmann-center.at) lädt alle Interessierten zu seiner nächsten PUBLIC LECTURE ein: Datum: Donnerstag, 3. April 2003, 16.30 Uhr Ort: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien (www.gutmann.at) Speaker: Prof. Dr. Martin WEBER, Universität Mannheim (http://medici.bwl.uni-mannheim.de/LS/) Titel: "OVERCONFIDENCE OF PROFESSIONAL TRADERS AND PRIVATE INVESTORS" Abstract: "Overconfidence ist die in der verhaltenswissenschaftlichen Finanzmarktforschung am häufigsten untersuchte Verzerrung im Entscheidungsverhalten. Motiviert wird dies durch eine Vielzahl psychologischer Studien, die unter dem Begriff Overconfidence subsumiert werden. Diese ermitteln z.B., dass Menschen ihr Wissen überschätzen und sich im Vergleich zu anderen Menschen als überdurchschnittlich bezüglich diverser Fähigkeiten einschätzen. Außerdem unterliegen Menschen häufig der Kontrollillusion, da sie glauben, zufällige Ereignisse kontrollieren oder vorhersagen zu können. Zudem zeigen Menschen bei Prognosen, welche die eigene Zukunft betreffen, häufig einen zu großen Optimismus. Finanzmarktmodelle greifen diese Erkenntnisse auf. Beispielsweise wird Overconfidence dadurch modelliert, dass Menschen die Volatilität von Aktienkursen unterschätzen, dass sie also schlecht kalibriert sind. Diese Modelle sagen ein hohes Handelsvolumen vorher, welches mit rationalen Investoren nicht erklärt werden kann. Der Vortrag stellt die Ergebnisse zweier Studien vor: eine Studie befasst sich mit Privatanlegern, die andere mit institutionellen Investoren." Weitere Informationen unter: www.gutmann-center.at - Activities - Public Lectures Um Anmeldung wird gebeten bis zum 31. März 2003 an: Frau Brigitte Juchelka, Bank Gutmann AG mail: brigitte.juchelka(a)gutmann.at Tel.: +43-1-50220-357 Fax: +42-1-50220-249

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[VFN] DGF-Jahrestagung 2003 - Final Call for papers (fwd)
by VFN-L admin * Andreas Schamanek 21 Mar '03

21 Mar '03

---------- Forwarded message ---------- Date: Fri, 21 Mar 2003 12:43:30 +0100 From: dgf(a)cofar.uni-mainz.de Subject: DGF-Jahrestagung 2003 - Final Call for papers ANKÜNDIGUNG UND FINAL CALL FOR PAPERS DGF Deutsche Gesellschaft für Finanzwirtschaft / German Finance Association 10. Jahrestagung vom 10. -11. Oktober 2003 in Mainz www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> Sehr geehrte Damen und Herren, im Namen des Vorstandes der DGF Deutsche Gesellschaft für Finanzwirtschaft (DGF) lade ich Sie sehr herzlich zu unserer 10. Jahrestagung am 10.-11. Oktober 2003 an die Johannes Gutenberg-Universität Mainz ein. Während der Tagung werden Arbeitspapiere zu aktuellen Themen und Bereichen der Finanzmarktforschung präsentiert und diskutiert. Ihre Arbeitspapiere können Sie elektronisch via Webformular auf unserer Homepage www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> bis zum 1. April 2003 einreichen. Als Anlage füge ich diesem Schreiben ein Call for Papers bei. Ich möchte darauf hinweisen, daß für persönliche Mitglieder und die Mitarbeiter der korporativen Mitglieder die Teilnahme an der Jahrestagung kostenlos ist, falls sie sich vor dem 15.09.2003 anmelden. Weitere Informationen zur Tagung sowie zur Einreichung von Arbeitspapieren sind auf unserer Homepage unter www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003> zu finden. Es würde mich sehr freuen, Sie auf der 10. Jahrestagung der DGF in Mainz begrüßen zu dürfen. Mif freundlichen Grüßen Prof. Dr. Siegfried Trautmann Anlage: CALL FOR PAPERS DGF Deutsche Gesellschaft fuer Finanzwirtschaft / German Finance Association 2003 ANNUAL MEETING October 10-11, 2003 Mainz, Germany The German Finance Association will hold its 10th Annual Meeting at the Johannes Gutenberg University in Mainz (Germany), October 10-11, 2003. RESEARCH PAPERS: Members and friends of the German Finance Association are invited to participate in the 10th Annual Meeting. You are encouraged to submit papers in all areas of Finance. ELECTRONIC SUBMISSION: Please submit your paper electronically via the program website, which may be accessed via the paper submission website. All papers must be submitted in English as pdf files and accompanied by an abstract of up to 450 words (for the conference program), which must be included also as a word file. The cover page of the paper should contain the title, name and affiliation of the authors, complete address and email addresses. The first page of text should contain the title, the abstract and JEL classification codes, but not the authors names. Papers will be double-blind refereed. DEADLINE: The deadline for papers is April 1, 2003. Your submission will be acknowledged within 72 hours. Authors will be notified by July, 2003. CONTACT: Further information about the conference and the submission of papers will be published via www.cofar.uni-mainz.de/dgf2003 <http://www.cofar.uni-mainz.de/dgf2003>. Postal: CoFaR Center of Finance and Risk Management Johannes Gutenberg University 55099 Mainz, Germany Tel: +49(6131) 39-23760 Fax: +49(6131) 39-23766 Email: dgf(a)cofar.uni-mainz.de Prof. Dr. Siegfried Trautmann Program Chair of the 10th Annual Meeting of the German Finance Association

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[VFN] CCEFM-Workshop on Friday 21st
by Gutmann Center-D.Grimm 18 Mar '03

18 Mar '03

The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM) (www.ccefm.at) are very pleased to announce that Dr. Alexander STOMPER from the University of Vienna will present his paper "IPO Pricing with Bookbuilding and a When-Issued Market" on FRIDAY, 21st of March 2003, 2.30 p.m., Wiener Börse, Wallnerstr. 8 The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html We are VERY GRATEFUL that Dr. Stomper has agreed to stand in for Prof. Rajesh Aggarwal who has cancelled last night his visit to Vienna!!! Contact and further information: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies 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] URGENT!! - CANCELLATION PUBLIC LECTURE GUTMANN CENTER THURSDAY March 20th
by Gutmann Center-D.Grimm 18 Mar '03

18 Mar '03

URGENT * URGENT * URGENT * URGENT * URGENT * URGENT The Gutmann Center for Portfolio Management at the University of Vienna regrets to have to inform about the !!!!!CANCELLATION!!!! of the Public Lecture of Prof. Dr. Rajesh AGGARWAL, scheduled for next THURSDAY, 20th of MARCH, 4.30 p.m., location Bank Gutmann. We agpologize this cancelation at such short notice!!! Prof. Aggarwal has informed us just a few hours ago. Our next public lecture will be announced within the next few days. Contact: Gutmann Center for Portfolio Management Dorothea Grimm Administrative Director University of Vienna Brünner Str. 72 A-1210 Vienna phone: +43-1-4277-38186 fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at www.gutmann-center.at

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[VFN] CCEFM- Workshop Friday March 21st
by Gutmann Center-D.Grimm 17 Mar '03

17 Mar '03

*REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna (www.gutmann-center.at) and the CENTER FOR CENTRAL EUROPEAN FINANCIAL MARKETS (CCEFM) (www.ccefm.at) are pleased to announce the following CCEFM-WORKSHOP: Prof. Dr. Rajesh AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) "STOCK MARKET MANIPULATION: THEORY AND EVIDENCE" Date: Friday, 21st of March 2003, 2:30-4:00 pm Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html Contact: Dorothea Grimm Gutmann Center for Portfolio Management University of Vienna Bruenner Str. 72 A-1210 Wien Tel.: +43-1-4277-38186 Fax: +43-1-4277-38074 mail: dorothea.grimm(a)univie.ac.at homepage: wwwg.gutmann-center.at

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[VFN] Gutmann Center for Portfolio Management - Public Lecture Thursday,March 20th
by D.Grimm-Gutmann Center 17 Mar '03

17 Mar '03

* REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER * REMINDER The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna is pleased to announce the following PUBLIC LECTURE "Stock Price Performance and Managerial Incentives" by Prof. Dr. Rajesh K. AGGARWAL (Tuck School of Business, Dartmouth College - http://mba.tuck.dartmouth.edu/pages/faculty/raj.aggarwal/) Abstract: Recent notable bankruptcies such as Global Crossing, Qwest, and Worldcom have led many observers to question whether there is a link between equity returns and incentive compensation for firm managers specifically and corporate governance more generally. Research has shown that there is such a link but that it is not a simple one. In general, greater incentives from compensation and better corporate governance are associated with higher stock returns. However, the form of incentive compensation matters. Very large stock option grants (such as those realized by the management teams of Global Crossing, Qwest, and Worldcom) are associated with lower stock returns, as well as worse corporate governance. Overall, the evidence suggests that incentive compensation and corporate governance provide useful information for portfolio selection. Date: Thursday, March 20th, 4.30 p.m. Location: Bank Gutmann AG (www.gutmann.at), Schwarzenbergplatz 16, 1010 Wien - Mezzanin Please register - contact: Ms. Brigitte Juchelka - brigitte.juchelka(a)gutmann.at - phone: +43-1-50220-357 Further information: www.gutmann-center.at and: Dorothea Grimm Administrative Director Gutmann Center for Portfolio Management Department of Business Studies University of Vienna Phone: +43-1-4277-38186 Fax: +43-1-4277-38074 Mail: dorothea.grimm(a)univie.ac.at

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[VFN] stock market manipulation
by Alex Stomper 11 Mar '03

11 Mar '03

CCEFM Workshop co-sponsored by the Gutmann Center for Portfolio Management Rajesh Aggarwal (Dartmouth College) "Stock Market Manipulation: Theory and Evidence" Friday, 21st of March 2003, 2:30-4:00 pm Wiener Börse, Wallnerstrasse 8, 1010 Wien The paper is downloadable from the following site: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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