Youchang Wu from the University of Vienna is giving a VGSF research seminar
on "Intermediated Investment Management" on FRIDAY, Nov. 24th, from 15:30 to
17:00 at the WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090
Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Best,
Michael Halling
Abstract
Investment advisers perform the role of assisting clients with their
investments and distributing portfolio management services. While the vast
majority of clients employ advisory services, an important issue is how well
advisers perform in this capacity. Our theoretical model analyzes the
impacts on portfolio performance, fund flows, fund sizes and welfare from
the use of advisers. An important aspect of our analysis is the extent to
which conflicts of interest such as influence activity can bias the asset
allocation decisions of advisers. Interestingly advisory services are
utilized to a greater extent under this circumstance. We show that
investment advisers help to improve social welfare, but much of the welfare
gain is extracted by the portfolio manager. When influence activity is
feasible, investors welfare is adversely affected by the presence of
advisers.
A doctoral position ("Wissenschaftlicher MitarbeiterIn in Ausbildung")
is available at the Department of Finance (Prof. Zechner). The first
contract would be until July 31st 2007 but there is a significant chance
that the contract can be extended. Interested candidates should apply at
Personalabteilung <http://www.univie.ac.at/personalabteilung> der
Universität Wien <http://www.univie.ac.at/>, Dr. Karl Lueger-Ring 1,
A-1010 Wien. *Kennzahl: 37565/MB***
*Prerequisite for Employment:* Degree in Business Administration or
Economics (Diplom- oder Magistergrad).
Please observe the SHORT DEADLINE: November 27^th , 2006
For more information you may contact
Martina Schlichting
University of Vienna
Department of Finance
Brünner Straße 72
1210 Vienna
Austria
Tel.: +43 (0)1 4277-38072
Fax: +43 (0)1 4277-38074
E-Mail: martina.schlichting(a)univie.ac.at
<mailto:martina.schlichting@univie.ac.at>
www.univie.ac.at/finance
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: DECEMBER 5th, 2006, (Tuesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. PETER BOSSAERTS, California Institute of Technology
(Caltech)
http://www.hss.caltech.edu/~pbs/
Title: NEURO-FINANCE
Abstract:
Finance has always treated humans as black boxes, whereby behavioral
rules are either imposed by decision theory (neoclassical finance) or
derived from observation of actual or hypothetical choice (behavioral
finance). In contrast, neuro-finance attempts to understand behavior by
examining the physiological processes in the human brain when exposed to
financial risk. The talk will illustrate this with the recent discovery
that the brain analyzes monetary gambles by separately encoding their
expected payoff and the payoff variance (even when subjects have never
heard of these concepts). As such the brain uses the same inputs as
Markowitz' portfolio theory. This is in sharp contrast with economics
(which includes Prospect Theory), which represents desirability of
gambles through scores on a single-dimensional utility scale.
About Peter Bossaerts:
Peter Bossaerts is William D. Hacker Professor of Economics and
Management and Professor of Finance at the California Institute of
Technology (Caltech). At present, he is at the Université de Lausanne as
Swiss Finance Institute Visiting Professor. Prof. Bossaerts holds a PhD
in Management (Finance) from UCLA. His current research area is
experimental finance, in particular, neuro-finance. He investigates
cognitive biases and their impact on asset prices, through observation
of individual behavior, observation of price formation in large-scale
experimental financial markets, and through analysis of brain activation
while individuals face financial risk.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
AUSSCHREIBUNG
An der TU-Wien (Bereich Finanzwirtschaft und Controlling*,
http://www.imw.tuwien.ac.at/fc/*) sind (bis *22.11.2006*) 2
Assistentenstellen ausgeschrieben. Details siehe unten:
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling
(http://www.imw.tuwien.ac.at/fc/), ab sofort für die Dauer der Karenz
(voraussichtlich 2 Jahre)
*_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *Informatik, Finanzwirtschaft*
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
*1 Stelle für eine/n teilbeschäftigte/n Assistenten/in (20
Wochenstunden, Karenzvertretung) am Institut für
Managementwissenschaften, Fachbereich Finanzwirtschaft und Controlling**
(http://www.imw.tuwien.ac.at/fc/)**, ab sofort für die Dauer der
Karenz** (voraussichtlich 2 Jahre)*
_Aufnahmebedingungen:_ abgeschlossenes Magister- oder Diplomstudium der
Fachrichtung *Sozial- und Wirtschaftswissenschaften* (inkl.
Wirtschaftsingenieur und Wirtschaftsinformatik) bzw. gleichwertiges
Universitätsstudium im In- oder Ausland
_Sonstige Voraussetzungen:_ Kenntnisse in *internationaler
Rechnungslegung, Finanzwirtschaf*t
_Bewerbungsfrist:_ bis 22.11.2006
Bewerbungen schriftlich an die Personalabteilung für das
wissenschaftliche Personal (http://www.tuwien.ac.at/zv/pers1/) der
Technischen Universität Wien (http://www.tuwien.ac.at/), Karlsplatz 13,
1040 Wien, mit den üblichen Bewerbungsunterlagen.
Für weitergehende Auskünfte steht a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at) zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Bereich Finanzwirtschaft und Controlling
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
Prof. Nicole Branger from the University of Muenster is giving a VGSF
research seminar on "Rational Laymen versus Over-Confident Experts: Who
Survives in the Long Run?" on FRIDAY, Nov. 17th, from 15:30 to 17:00 at the
WU Wien (Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Nicole is going to be available for meetings on Friday. If you are
interested, please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
In this paper we study the equilibrium in a heterogeneous economy with two
groups of investors. Over-confident experts incorrectly assume that their
signal for the drift of the dividend process is correlated with the true
drift, but interpret the signal otherwise perfectly. Rational laymen avoid
the experts' error, but their signal is noisier than that received by the
experts. We investigate which of these two problems is more severe by
computing long-run equilibrium consumption shares for the two groups. Our
results indicate that overconfidence might be a more serious problem than
limited information processing capability.
---------- Forwarded message ----------
Date: Tue, 7 Nov 2006 09:50:57 -0000
From: Xiaochen Sun <Xiaochen.Sun(a)brunel.ac.uk>
Subject: CONTINUOUS TIME FINANCE Workshop
Dear list, we are pleased to announce the following workshop:
1. CONTINUOUS TIME FINANCE
CONTINUOUS TIME FINANCE
27-29 November 2006, Brunel University, West London, UK
( http://www.unicom.co.uk/finance )
Background
Three-day workshop presented by Dr Paresh Date and Mr Luka Jalen,
CARISMA: The Centre for the Analysis of Risk and Optimisation Modelling
Applications, Brunel University
Whether it is mergers and acquisitions, derivative asset pricing,
optimal portfolio choice or risk management, success in modern finance
is unthinkable without a solid grasp of mathematics. Continuous time
models now play a central role in pricing of financial assets under more
challenging circumstances than can be handled with discrete time models.
This course introduces models in continuous time and the advanced
mathematics required for their analysis such as stochastic analysis
(Brownian motion), partial differential equations and martingale
measures, and shows how these can be used for asset and derivative
valuation in continuous time.
Given the fast pace of development of finance theory and product
innovation in recent times, the course will be of great value to banking
professionals who want to learn basic modeling and pricing methods in
investment banking as well as to graduate students starting their
doctoral studies in finance.
Course Outline
Day 1
o Introduction to stochastic calculus
Wiener processes
Linear stochastic differential equations: asset price dynamics
Ito's lemma
o Introduction to Splus for mathematical finance
Writing functions
Random number generation and generating sample paths
Day 2
o Introduction to pricing and hedging of derivatives
Pricing of futures contracts
Hedging using futures
European Option payoffs and hedging using options
Black-Scholes formula
Delta hedging
o Pricing European options using Monte Carlo in Splus
Day 3
o Stochastic interest rate models
Spot rates, forward rates and arbitrage
Bond prices and yield curve
Short rate models, Vasicek model
o Calibration of Vasicek model from real yield data using Splus
Each day will include hands-on demonstrations of Splus
Benefits of Attending
You will learn about the latest developments in the field from
acknowledged research leaders, gathered together in London. By
networking and listening to the presentations, you will gain valuable
knowledge and practical techniques to apply your own area of practice or
research. You will gain first hand experience of the innovative thinking
and best practices currently being developed in some of the worlds
leading educational institutions.
The target audience
Graduate students who are starting their doctoral studies in finance
PhD Research Students
Academics
Banking professionals who want to learn basic modeling and pricing
methods in investment banking.
This workshop is organized by The Centre for the Analysis of Risk and
Optimisation Modelling Applications (CARISMA) at Brunel University and
managed by UNICOM Seminars. It takes place at Brunel University campus,
West London.
For further details please go to www.unicom.co.uk/finance or email
info(a)unicom.co.uk for a PDF flier.
Alternatively you may telephone UNICOM on +44 1895 256 484 for further
information.
We look forward to welcoming you to the CONTINUOUS TIME FINANCE, 27-29
November 2006; please also make your colleagues aware of it.
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Michael(Xiaochen) Sun
CARISMA, www.carisma.brunel.ac.uk
Centre for the Analysis of Risk and Optimisation Modelling Application;
School of Computing, Information Systems and Mathematics
Brunel University
Uxbridge, UB8 3PH
United Kingdom
Email: xiaochen.sun (at) brunel.ac.uk
http://optirisk.googlepages.com/http://people.brunel.ac.uk/~mapgxcs
Blog: http://mam3xs.blogspot.com
Tel: (+44) (0)1895 265625
Mobile: (+44) (0)7841873292
~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~~
Prof. Dirk Hackbarth from Washington University in St. Louis is giving a
VGSF research seminar on "Corporate Bond Credit Spreads and Forecast
Dispersion" on FRIDAY, Nov. 3rd, from 15:30 to 17:00 at the WU Wien
(Seminarraum D204, UZA 4, Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Dirk asked me NOT to put his paper onto our webpage. If you want to get the
paper, please contact me via email and I send it to you.
Dirk is going to be available for meetings on Friday. If you are interested,
please contact Michael Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
Recent research establishes a negative relation between stock returns and
dispersion of analysts' earnings forecasts, arguing that, due to short-sale
constraints in equity markets, asset prices more reflect the views of
optimistic investors. In this article, we examine whether a similar effect
prevails in corporate bond markets. After controlling for common bond-level,
firm-level, and macroeconomic variables, we find evidence that bonds of
firms with higher dispersion demand significantly higher credit spreads than
otherwise similar bonds and that changes in dispersion reliably predict
changes in credit spreads. We argue the dominating effect of dispersion is
to proxy for future cash flow uncertainty due to the limited role of
short-sale constraints in corporate bond markets.
Prof. Will Goetzmann from Yale University is giving a VGSF research seminar
on "Risk Aversion and Clientele Effects" on TUESDAY, October 31st, from
15:30 to 17:00 at the WU Wien (Room H.DE03, UZA 4, Base Floor,
Nordbergstrasse 15, 1090 Wien, see
http://www.wu-wien.ac.at/portal/ueber_wu/standorte/lageplan4 for a detailed
plan). Please find the paper's abstract below.
Prof. Goetzmann is going to be in Vienna on Monday and Tuesday. If you like
to meet him and to discuss your research with him, please contact Michael
Halling (michael.halling(a)univie.ac.at).
Best,
Michael Halling
Abstract
We estimate preferences toward risk of investors in growth and value stock
indices, which represent two widely followed investment styles. We find
differences in risk preferences for the two clienteles. Value investors are
more averse to risk, while growth investors are more willing to accept risk.
Estimated preferences also exhibit different time series patterns. Risk
preferences of value investors show stronger persistence in the time series
during our time period. This is consistent with investors in value stocks
being a more stable clientele. We find evidence that indicates the presence
of switchers-investors who move funds between the two styles. Switchers
react to returns on the styles, and also react to changes in risk of the
styles. Further, we construct trading strategies in the value growth index
options markets and find that the strategies generate positive returns.
Overall, the evidence is consistent with the hypothesis that different
clienteles, characterized by differences in risk preferences and trading
habits, exist. Further, trading strategies can be formed to exploit the
existence of clienteles.
GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna - http//:www.gutmann-center.at
invites to the following
PUBLIC LECTURE:
(Apologies for any cross-listings!):
Date: OCTOBER 30th, 2006 (Monday), 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker:
Prof. Dr. WILLIAM N. GOETZMANN, Yale School of Management -
International Center for Finance; Harvard Business School
http://viking.som.yale.edu/
Title: LESSONS FROM HEDGE FUND REGISTRATION
Abstract:
In February, 2006, hedge funds operating in the U.S. were required to
register with the Securities and Exchange Commission. This paper
addresses the question of the relevance of the information contained in
these filings. We find that hedge funds filing with the SEC had better
past performance and more assets than non-filers - supporting the
assertion that filing is a potential signal of quality. We also find a
strong positive association between potential conflicts and past legal
and regulatory problems - supporting that SEC filings provides
information relevant to detecting operational risk. Finally we find that
while information contained in SEC filings may be redundant to some
market participants such as creditors, it may be very useful to hedge
fund investors.
About William N. Goetzmann:
Will Goetzmann is the Edwin J. Beinecke Professor of Finance and
Management Studies and Director of the International Center for Finance
at the Yale School of Management.
He is an expert on a diverse range of investments, including stocks,
hedge funds, mutual funds, real estate, and paintings. His research
topics include global investing, forecasting stock markets, selecting
mutual fund managers, housing as investment, and the risk and return of
art. His work has been featured in the Wall Street Journal, the New York
Times, Business Week, the Economist, Forbes, and Art and Auction.
Professor Goetzmann has a background in arts and media management. As a
documentary film-maker, he has written and co-produced programs for
"Nova" and the "American Masters" series, including a profile of the
artist Thomas Eakins. A former director of Denver's Museum of Western
Art, Professor Goetzmann co-authored the award winning book, The West of
the Imagination.
Please REGISTER:
Mail: gutmann.bwl(a)univie.ac.at
Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074
Contact and further information:
Gutmann Center for Portfolio Management
University of Vienna - Mag. Dorothea GRIMM
Bruenner Str. 72 - 1210 Wien (Austria)
phone: +43-1-4277-38186 - fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at - web: www.gutmann-center.at
Dear colleague:
I would like to invite you to participate and give us a presentation
in the Stream "Dynamics and Control of Economic Processes" at
the 22nd European Conference on Operational Research, which
will take place in Prague, capital of the Czech Republic, from
July 8-11, 2007.
Perhaps you are also interested in organizing a Session in this
stream (containing 3-4 papers) related to a topic of your research
fields in the area of Dynamical Systems. If you are interested,
please send us the name of your possible session(s), and your
data.
You can find information about the related areas and contacts on
the conference web page: http://euro2007.vse.cz/. In this week,
the Invited Streams will be inserted into the Electronical
Submission system of the conference; then, your possible Invited
Session could become added there, before the abstract
submission of will start.
With friendly regards
and best wishes,
Gustav Feichtinger