First announcement:
Workshop on Current Topics in Mathematical Finance 2013, Vienna, April
18 and 19, 2013.
Confirmed Invited Speakers:
Michal Barski, Universität Leipzig
Dirk Becherer, HU Berlin
Tomas Björk, Stockholm School of Economics
Rama Cont, Imperial College London
Stephane Crepey, Université d'Evry
Martin Larsson EPFL Lausanne
Eva Lütkebohmert, Universität Freiburg
Andrea Macrina, University College London
Michael Monoyios, University of Oxford
Agatha Murgoci, Copenhagen Business School
Walter Schachermayer, Universität Wien
Thorsten Schmidt, TU Chemnitz
Location: WU Vienna University of Economics and Business,
Department of Finance, Accounting and Statistics,
Heiligenstädter Str 46,
A-1190 Vienna
Conference Chair: Prof. Rüdiger Frey
Organisational details: Participation is free but there is a mandatory
registration. Interested participants have the opportunity to present a
poster.
Further information can be found at the
workshop homepage: http://mafin2013.wu.ac.at (online on 1.2.2013)
--
Prof. Ruediger Frey
Institute for Statistics and Mathematics
WU Vienna
email: ruediger.frey(a)wu.ac.at
web: http://statmath.wu.ac.at/~frey/
REMINDER - INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
****************************************************************************
Date: JANUARY 22 (Tuesday), 2013 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Giovanna NICODANO, University of Torino
http://sites.carloalberto.org/nicodano/
Title: "THE ECONOMIC VALUE OF TIMING BULL AND BEAR MARKETS"
ABSTRACT:
Risk-adjusted profits of portfolio managers derive from their ability in forecasting returns out-of-sample. Recently, several papers cast doubts on prevailing linear methods for predicting out-of-sample. These doubts are reinforced by the difficulty of optimizing strategies in obtaining out-of-sample gains relative to a naïve equally-weighted strategy. This presentation examines the ex-post performance of optimal portfolios using returns predicted by a switching regression model. Due to the investor's ability to anticipate shifts from bull to bear markets, predictability involves the risk premium, volatility and correlations, and may extend to third and fourth moments. The out-of-sample performance of these timing strategies is assessed for horizons ranging from one month to ten years using three different equity datasets, including the commonly used US Industry and International Book-to-Market portfolios.
ABOUT GIOVANNA NICODANO:
Giovanna Nicodano is professor of financial economics at the University of Torino, chair of the Masters Programs in Economics and Finance, and fellow at Collegio Carlo Alberto. A recipient of the European Investment Bank Prize, she obtained her Ph.D. from Princeton University. She has been a visiting scholar at CEMFI Madrid, the London School of Economics and the Universities of Amsterdam, Freiburg and Haifa. Her research deals with strategic asset allocation, corporate finance and market liquidity. As a founder of the Centre for Research on Pension (CeRP), she initiated a research project on Asset Classes for Long Run Investors - with publications in the Annals of Finance, the Journal of Real Estate Finance and Economics and Real Estate Economics. Since 2008 she is international fellow of the Dutch Network for Studies on Pensions, Aging and Retirement (Netspar). She is research associate of the Brussels-based European Corporate Governance Institute (ECGI), and her work in corporate finance, focusing on complex structures such as business groups, has been published in the European Economic Review, the Journal of Banking and Finance and the Journal of Public Economics. Finally, her work on market liquidity was published in the Journal of Finance, the Review of Finance and the Journal of Banking and Finance.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
www.gutmann-center.at
INVITATION
The WU Institute for Finance, Banking and Insurance and Spängler IQAM Invest are pleased to invite you to a
SPÄNGLER IQAM INVEST ROUND TABLE
(apologies for duplicated mails!)
DATE: January 17, 2013 - 04:30 pm
SPEAKER: Prof. Dr. Terrance ODEAN, University of California, Berkeley
TOPIC: "DO BEHAVIORAL BIASES LEAD TO UNRECOGNIZED RISK-TAKING?"
ABSTRACT:
Professor Odean will discuss how behavioral biases can lead to unrecognized risk taking by financial institutions. Financial models often exacerbate risk taking due to unrecognized substitution, aggregation, and feedback risks. Success may lead money managers and traders to become overconfident and to overuse leverage. The use leverage by some institutions can increase risks to others. Limited attention and decision biases such as the availability bias distort our perceptions of probability. Emotions change our attitudes toward risk. And confirmation bias leads us to underestimate the likelihood that things will go wrong.
ABOUT TERRANCE ODEAN:
Terrance Odean is the Rudd Family Foundation Professor and Chair of the Finance Group at the Haas School of Business at the University of California, Berkeley. He is a member of the Journal of Investment Consulting editorial advisory board, of the Russell Sage Behavioral Economics Roundtable, of the Russell Investments Academic Advisory Board, and of the WU Gutmann Center Academic Advisory Board at the Vienna University of Economics and Business. He has been an editor and an associate editor of the Review of Financial Studies, an associate editor of the Journal of Finance, a co-editor of a special issue of Management Science, an associate editor at the Journal of Behavioral Finance, a director of UC Berkeley's Experimental Social Science Laboratory, a visiting professor at the University of Stavanger, Norway, and the Willis H. Booth Professor of Finance and Banking. As an undergraduate at Berkeley, Odean studied Judgment and Decision Making with the 2002 Nobel Laureate in Economics, Daniel Kahneman. This led to his current research focus on how psychologically motivated decisions affect investor welfare and securities prices. His research has been cited in the Wall Street Journal, the New York Times, the Los Angeles Times, the Washington Post, the International Herald Tribune, Time, Newsweek, U.S. News and World Report, Forbes, Businessweek, and several other publications.
Further information about Terrance Odean: www.odean.org
**REGISTRATION IS REQUIRED at vsam(a)wu.ac.at**
LOCATION:
WU Institute for Finance, Banking and Insurance
Heiligenstädter Str. 46-48, 1190 Wien - Seminar Room 1 (Ground Floor)
Contact and further information:
WU
Institute for Finance, Banking and Insurance
att. Martina Schlichting
Heiligenstädter Str. 46-48
1190 Vienna
Phone: +43-1-31336 6315
Mail: vsam(a)wu.ac.at
Web: http://www.wu.ac.at/finance/coop/vsam
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
****************************************************************************
Date: JANUARY 22 (Tuesday), 2013 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Giovanna NICODANO, University of Torino
http://sites.carloalberto.org/nicodano/
Title: "THE ECONOMIC VALUE OF TIMING BULL AND BEAR MARKETS"
ABSTRACT:
Risk-adjusted profits of portfolio managers derive from their ability in forecasting returns out-of-sample. Recently, several papers cast doubts on prevailing linear methods for predicting out-of-sample. These doubts are reinforced by the difficulty of optimizing strategies in obtaining out-of-sample gains relative to a naïve equally-weighted strategy. This presentation examines the ex-post performance of optimal portfolios using returns predicted by a switching regression model. Due to the investor's ability to anticipate shifts from bull to bear markets, predictability involves the risk premium, volatility and correlations, and may extend to third and fourth moments. The out-of-sample performance of these timing strategies is assessed for horizons ranging from one month to ten years using three different equity datasets, including the commonly used US Industry and International Book-to-Market portfolios.
ABOUT GIOVANNA NICODANO:
Giovanna Nicodano is professor of financial economics at the University of Torino, chair of the Masters Programs in Economics and Finance, and fellow at Collegio Carlo Alberto. A recipient of the European Investment Bank Prize, she obtained her Ph.D. from Princeton University. She has been a visiting scholar at CEMFI Madrid, the London School of Economics and the Universities of Amsterdam, Freiburg and Haifa. Her research deals with strategic asset allocation, corporate finance and market liquidity. As a founder of the Centre for Research on Pension (CeRP), she initiated a research project on Asset Classes for Long Run Investors - with publications in the Annals of Finance, the Journal of Real Estate Finance and Economics and Real Estate Economics. Since 2008 she is international fellow of the Dutch Network for Studies on Pensions, Aging and Retirement (Netspar). She is research associate of the Brussels-based European Corporate Governance Institute (ECGI), and her work in corporate finance, focusing on complex structures such as business groups, has been published in the European Economic Review, the Journal of Banking and Finance and the Journal of Public Economics. Finally, her work on market liquidity was published in the Journal of Finance, the Review of Finance and the Journal of Banking and Finance.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
www.gutmann-center.at
<http://caleis.fr/ilb/mms2012/savethedate/images/header.png>
<http://caleis.fr/ilb/mms2012/savethedate/images/visu.jpg>
Dear Colleague,
After the success of the first edition of "Market Microstructure:
confronting many viewpoints" in December 2010, we have decided to organize
the second edition, again in Paris, from Monday 10th of December, 2012 to
Thursday the 13th.
<http://caleis.fr/ilb/mms2012/savethedate/images/hr.png>
We believe that an important aspect of this success was the
cross-disciplinary nature of the conference that we will again heavily rely
on this time around. Well known experts from various fields (finance,
econometrics; computer science and (econo-)physics), coming from academic
institutions, government agencies, banks and hedge funds, have accepted to
come and confront their ideas about several important issues that appeared
in the last few years. These include both theoretical and practical
problems, ranging from execution costs and price impact to high-frequency
data, high-frequency trading and market stability.
HIGHLIGHTS
Themes
- Microstructure
- Market Impact
- Market Design/Regulation
- Data Analysis
Among the speakers
- KYLE Albert, University of Maryland
- HENDERSHOTT Terrence, University of California
- LIONS Pierre-Louis, Collège de France
- HASBROUCK Joel, Stern School of Business, New York University
View program
<http://market-microstructure.institutlouisbachelier.org/> Learn more about
this event
Information about the details of the conference, the list of confirmed
speakers and a preliminary program...
<http://caleis.fr/ilb/mms2012/savethedate/images/hr.png>
We strongly believe that this event will be as exciting as the previous one,
and trust that your participation is a key ingredient to this success.
Best regards,
The organization committee
F Abergel, JP Bouchaud, Th Foucault, C. Lehalle and M Rosenbaum
<http://www.institutlouisbachelier.org/>
Cyril Armange
Head of Project
---------------
Institut Louis Bachelier
Palais Brongniart
28, place de la Bourse
75002 Paris
Tél: +33 1 73 01 93 40
Fax: +33 1 73 01 93 28
Web: cyril.armange(a)institutlouisbachelier.org
<http://www.institutlouisbachelier.org/cgi-bin/viewimg?k=209144511&r=1889553
26>
Sehr geehrte Damen und Herren,
ich möchte Sie auf folgende Stellenausschreibung an der Technischen
Universität hinweisen:
1 Stelle für eine/n vollbeschäftigte/n Projektassistenten/in (40
Wochenstunden) am Institut für Managementwissenschaften, Fachbereich
Finanzwirtschaft und Controlling, ehestmöglich bis 30. September 2014,
Gehaltsgruppe B1
Das monatliche Mindestgehalt für diese Verwendung beträgt derzeit EUR
2.532,00 brutto (14x jährlich). Aufgrund tätigkeitsbezogener
Vorerfahrungen kann sich das Entgelt erhöhen.
Aufnahmebedingungen: abgeschlossenes Magister-, Diplom-, Masterstudium
der Fachrichtung Wirtschaftsingenieurwesen Maschinenbau,
Wirtschaftsinformatik, Betriebswirtschaftslehre oder Mathematik
Sonstige Kenntnisse: gute Kenntnisse der Finanzwirtschaft, insbesondere
der Ökonometrie und des aktiven Portofoliomanagements
Bewerbungsfrist: bis 7. November 2012
Bewerbungen schriftlich oder per E-Mail (rene.fuchs(a)tuwien.ac.at
<mailto:rene.fuchs@tuwien.ac.at>) an die Personaladministration,
Fachbereich wiss. Personal der Technischen Universität Wien, Karlsplatz
13, 1040 Wien.
Die Bewerber und Bewerberinnen haben keinen Anspruch auf Abgeltung
angefallener Reise- und Aufenthaltskosten, die aus Anlass des
Aufnahmeverfahrens entstanden sind.
--
Mit besten Grüßen / best regards
Susanna Hammer
Office Management
Technische Universität Wien
Vienna University of Technology
Institut für Managementwissenschaften
Institute of Management Science
Bereich Finanzwirtschaft und Controlling
Department Finance and Corporate Control
Theresianumg. 27
A - 1040 Wien/Vienna
Austria
Tel +43 1 58801 33006
Fax +43 1 58801 33096
susanna.hammer(a)tuwien.ac.at
http://www.imw.tuwien.ac.at/fc/home/
DVR 0005886
----------------------
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
****************************************************************************
Date: OCTOBER 10 (Wednesday), 2012 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Stefan NAGEL, Graduate School of Business, Stanford University
http://faculty-gsb.stanford.edu/nagel/
Title: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS”
ABSTRACT:
Recurrent boom/bust episodes in financial markets and the macroeconomy are challenging for economists to explain. In this talk, I discuss research that examines micro data on portfolio choice and subjective expectations to uncover potential drivers of these boom/bust cycles. A variety of empirical patterns in household asset allocation and in subjective expectations about future stock returns, house prices, and inflation suggest a common underlying expectations-formation mechanism that we label "learning from experience": While individuals continuously refine their forecasts in light of new data, they draw primarily on their own life-time experiences rather than all available historical data in forming their expectations. As a result, memory of past macroeconomic events is gradually lost over time. Extrapolation from life-time experiences generates to pro-cyclical asset return expectations, where rising asset prices fuel optimism, and downturns generate pessimism.
ABOUT STEFAN NAGEL:
Stefan Nagel is an Associate Professor of Finance at Stanford University's Graduate School of Business. He has won various awards and fellowships, among them the Smith-Breeden Prize of the American Finance Association for the best paper in the Journal of Finance in 2004 and the Fama/DFA prize for the best asset pricing paper in the Journal of Financial Economics in 2006 (first prize) and 2010 (second prize). He is a Research Associate at the National Bureau of Economic Research, a Research Fellow at the Centre for Economic Policy Research, an Associate Editor of the Journal of Finance and the Review of Finance, and a former Associate Editor of the Review of Financial Studies. Professor Nagel received his PhD from the London Business School in 2003, and he had been a visiting doctoral student at MIT. Before joining the Stanford GSB in 2004, he spent a year as a lecturer at Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
www.gutmann-center.at
INVITATION
The WU Gutmann Center cordially invites you to the forthcoming
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for duplicated mails!)
****************************************************************************
Date: OCTOBER 10 (Wednesday), 2012 - 4:00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Stefan NAGEL, Graduate School of Business, Stanford University
http://faculty-gsb.stanford.edu/nagel/
Title: “GREAT EXPECTATIONS, BIG DISAPPOINTMENTS: CYCLES IN SUBJECTIVE ASSET RETURN EXPECTATIONS”
ABSTRACT:
Recurrent boom/bust episodes in financial markets and the macroeconomy are challenging for economists to explain. In this talk, I discuss research that examines micro data on portfolio choice and subjective expectations to uncover potential drivers of these boom/bust cycles. A variety of empirical patterns in household asset allocation and in subjective expectations about future stock returns, house prices, and inflation suggest a common underlying expectations-formation mechanism that we label "learning from experience": While individuals continuously refine their forecasts in light of new data, they draw primarily on their own life-time experiences rather than all available historical data in forming their expectations. As a result, memory of past macroeconomic events is gradually lost over time. Extrapolation from life-time experiences generates to pro-cyclical asset return expectations, where rising asset prices fuel optimism, and downturns generate pessimism.
ABOUT STEFAN NAGEL:
Stefan Nagel is an Associate Professor of Finance at Stanford University's Graduate School of Business. He has won various awards and fellowships, among them the Smith-Breeden Prize of the American Finance Association for the best paper in the Journal of Finance in 2004 and the Fama/DFA prize for the best asset pricing paper in the Journal of Financial Economics in 2006 (first prize) and 2010 (second prize). He is a Research Associate at the National Bureau of Economic Research, a Research Fellow at the Centre for Economic Policy Research, an Associate Editor of the Journal of Finance and the Review of Finance, and a former Associate Editor of the Review of Financial Studies. Professor Nagel received his PhD from the London Business School in 2003, and he had been a visiting doctoral student at MIT. Before joining the Stanford GSB in 2004, he spent a year as a lecturer at Harvard University.
**Please REGISTER**:
Mail: gutmann-center(a)wu.ac.at
Phone: +43-1-31336-4244
CONTACT AND FURTHER INFORMATION:
WU Gutmann Center for Portfolio Management
WU (Wirtschaftsuniversität Wien) - Department of Finance, Accounting and Statistics
Mag. Dorothea GRIMM
www.gutmann-center.at
CALL FOR PAPERS / CONFERENCE ANNOUNCEMENT
(apologies for cross-postings!)
WU GUTMANN CENTER SYMPOSIUM 2013
"SOVEREIGN CREDIT RISK AND ASSET MANAGEMENT"
JUNE 11, 2013
WU Gutmann Center for Portfolio Management
WU (Vienna University of Economics and Business), Austria
www.gutmann-center.at
********************************************************************************
The WU Gutmann Center for Portfolio Management is proud to announce its seventh symposium to be held at WU (Vienna University of Economics and Business), Austria.
The general topic of the symposium is "Sovereign Credit Risk and Asset Management".
Papers submitted to the symposium can address but are not restricted to the following
TOPICS:
- Measuring and managing sovereign credit risk
- The implications of sovereign credit risk for asset management
- Sovereign credit risk and the banking sector
- Sovereign credit risk and prudential regulation
- The role of rating agencies
- Sovereign credit risk contagion
- Currency unions
- The political economics of sovereign credit risk
PAPER SUBMISSION:
Papers should be submitted by email (in Acrobat PDF) NOT LATER THAN DECEMBER 15, 2012 to the following address:
E-mail: gutmann-center(a)wu.ac.at
CONTACT:
WU Gutmann Center for Portfolio Management
Dorothea Grimm
WU (Vienna University of Economics and Business)
Heiligenstädter Straße 46-48, 1190 Wien (Vienna), Austria
Phone: +43-1-31336-4244
E-mail: gutmann-center(a)wu.ac.at - Web: http://www.gutmann-center.at/
All submissions will be reviewed by a committee composed of members of the WU Gutmann Center's Academic Advisory Board and decisions will be announced by March 15, 2013.
Submission and participation are free of charge. Accommodation and travel expenses (economy fare) of presenting authors will be covered by the WU Gutmann Center.
