The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
- apologies for any cross-postings!! -
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
NO CONFERENCE FEE - ONLY REGISTRATION REQUIRED
PLEASE REGISTER VIA E-MAIL NOT LATER THAN MARCH 14th:
gutmann.bwl(a)univie.ac.at
PROGRAM
08.15-09.00 REGISTRATION
09.00-09.10 WELCOME AND PRESENTATION OF THE GUTMANN CENTER
PHD-SCHOLARSHIP 2005/2006
Josef Zechner, University of Vienna and Gutmann Center
Rudolf Stahl, CEO Bank Gutmann AG
Recipient: Jin Yu, Vienna Graduate School of Finance (VGSF)
09.10-10.40 SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN
CHARACTERISTICS
Chair: Engelbert Dockner, University of Vienna
09.10-09.40 “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Speaker: Loriana Pelizzon, Università Ca' Foscari di Venezia
Discussant: Walter Torous, UCLA
09.40-10.10 “Illiquidity and Pricing Biases in the Real Estate Market”
Speaker: Kerry D. Vandell, University of Wisconsin-Madison
Discussant: Charles Himmelberg, Goldman Sachs
10.10-10.40 “Hot and Cold Housing Markets: International Evidence”
Speaker: Javier Suarez, CEMFI
Discussant: Robert Korajczyk, Northwestern University
10.40-11.00 - Coffee Break -
11.00-12.30 SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
Chair: Tomas Björk, Stockholm School of Economics
11.00-11.30 “Comovement After Joining an Index: Spillovers of
Nonfundamental Effects”
Speaker: Dong Wook Lee, University of Kentucky
Discussant: Youchang Wu, University of Vienna
11.30-12.00 “Better Regulation and Underwriter Reputation have done
nothing for IPO Underpricing over the 20th Century: Empirical Evidence
from IPOs on the London Stock Exchange”
Speaker: Elroy Dimson, London Business School
Discussant: Neal Stoughton, University of Calgary
12.00-12.30 “Beautiful Asset: Art as Investment”
Speaker: Michael Moses, New York University
Discussant: Klaus Spremann, University St. Gallen
12.30-13.30 - Lunch Buffet -
13.30-14.15 KEY-NOTE-ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Speaker: Eduardo Schwartz, UCLA
14.15-14.45 - Coffee Break -
14.45-16.15 SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
Chair: Elroy Dimson, London Business School
14.45-15.15 “Determinants of Venture Capital Performance: Europe and the
United States”
Speaker: Ulrich Hege, HEC
Discussant: Michael Halling, University of Vienna
15.15-15.45 “Risk-Adjusted Returns of Private Equity Investments”
Speaker: Alexander Groh, TU Darmstadt
Discussant: Engelbert Dockner, University of Vienna
15.45-16.15 “The Performance of Private Equity Funds”
Speaker: Ludovic Phalippou, University of Amsterdam,
Discussant: Stefan Pichler, Vienna University of Economics and Business
Administration
16.15-16.30 - Coffee Break -
16.30-17.30 SESSION IV: EXPECTED RETURNS IN REAL ESTATE
Chair: Klaus Spremann, University St. Gallen
16.30-17.00 “Expected Returns and the Expected Growth in Rents of
Commercial Real Estate”
Speaker: Walter Torous, UCLA
Discussant: Alex Stomper, Institute for Advanced Studies, Vienna
17.00-17.30 “Assessing High House Prices: Bubbles, Fundamentals and
Misperceptions”
Speaker: Charles P. Himmelberg, Goldman Sachs
Discussant: Javier Suarez, CEMFI
CONCLUDING REMARKS
Josef Zechner, University of Vienna and Gutmann Center
- Refreshments –
The Gutmann Center Symposium 2006 is organized in cooperation with:
DIE PRESSE – www.diepresse.com
CONTACT AND FURTHER INFORMATION:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Strasse 72
1210 Wien (Vienna), Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
E-mail: gutmann.bwl(a)univie.ac.at
Homepage: www.gutmann-center.at
New Directions in Financial Modelling <http://www.unicom.co.uk/finance>
Seminar and Workshop Series,
22 May 2006 - 25 May 2006, London, UK
22 May: Pre-Seminar Workshop
Financial Innovation & New Structured Products in the Equity World
23-24 May: Two-day, multi-speaker seminar, with the following themes:
*
Day One: Recent Developments in Financial Modelling
*
Day Two: Recent Developments in Portfolio Planning
25 May: Demonstrations of specialist financial software systems
This meeting is organised by CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University in collaboration with a number of other leading research institutions:
Hermes Centre of Excellence, University of Cyprus
Department of Statistics and Decision Support Systems, University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge.
The Centre for Quantitative Finance, Imperial College
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida
The theme of the final day is to present specialist financial software systems. Some systems are commercial and others have been developed in academic labs and are migrating to commercial applications. Those presenting/demonstrating systems will include:
CARISMA
University of Vienna
The Centre for Financial Research, Judge Business School, Cambridge
The Centre for Quantitative Finance, Imperial College
APT
Insightful
Speakers for 23-24 May confirmed to date include:
Nicos
Christofides
The Centre for Quantitative Finance, Imperial College (confirmed)
Michael
Dempster
The Centre for Financial Research, Judge Business School, Cambridge (confirmed)
Gerd
Infanger
Stanford University (confirmed)
Dilip
Madan
Robert H Smith School of Business, University of Maryland/Consultant to Morgan Stanley (confirmed)
Gautam
Mitra
CARISMA (The Centre for the Analysis of Risk and Optimisation Modelling Applications), Brunel University (confirmed)
Georg
Pflug
Department of Statistics and Decision Support Systems, University of Vienna (confirmed)
Stan
Uryasev
The Risk Management and Financial Engineering (RMFE) Lab, University of Florida (confirmed)
Stavros
Zenios
Hermes Centre of Excellence, University of Cyprus (confirmed)
Daniel
Di Bartolomeo
Northfield Systems (confirmed)
Norbert
Jobst
Standard & Poor's (confirmed)
Zari
Rachev
FinAnalytica (confirmed)
Andrew
Robinson
APT (confirmed)
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 world's leading educational institutions.
The target audience is
Academics
PhD Research Students
Project leaders and Quants from Financial Institutions
For further details please go to www.unicom.co.uk/finance <http://www.unicom.co.uk/finance> , either download brochure or email info(a)unicom.co.uk <mailto:info@unicom.co.uk> for a PDF filer.
We look forward to welcoming you to the workshops; please also make your colleagues aware of it. I believe this information will be of interest to you and your colleagues
With regards
Michael Sun
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
Middlesex
Uxbridge, UB8 3PH
United Kingdom
* xiaochen.sun(a)brunel.ac.uk <mailto:xiaochen.sun@brunel.ac.uk>
http://mam3xs.blogspot.com/
*(+44) (0)1895 265625
*(+44) (0)7841873292
Sehr verehrte Damen, sehr geehrte Herren,
am Institut für Finanzierung und Finanzmärkte der Wirtschaftsuniversität
Wien, Abteilung für Investmentbanking und Katallaktik, o.Univ.Prof. Dr.
Otto Loistl, sind voraussichtlich ab Anfang März 2006 bis 30. September
2008 zwei Stellen eines Wissenschaftlichen Mitarbeiters/einer
Wissenschaftlichen Mitarbeiterin vollbeschäftigt zu besetzen.
Nähere Informationen entnehmen Sie bitte der Ausschreibung obiger zwei
Stellen unter:
http://www.wu-wien.ac.at/home/jobs/ausschrwisspers#w48
(Bewerbungsfrist: 1. März 2006).
Mit der Bitte um wohlwollende Kenntnisnahme und gegebenenfalls
Weiterleitung an InteressentInnen verbleibe ich
mit freundlichen Grüßen
Christopher Casey
--------------------------------------------------------------------
ao.Univ.-Prof. Dr. Christopher Casey
Institut fuer Finanzierung und Finanzmaerkte
Abteilung für Investmentbanking und Katallaktik
Wirtschaftsuniversität Wien
Althanstrasse 39-45, 1090 Wien, Oesterreich
Tel.: 0043-1-31336-4167
Fax: 0043-1-31336-761
Email: Christopher.Casey(a)wu-wien.ac.at
http://ifm.wu-wien.ac.at/
--------------------------------------------------------------------
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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in finance.
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
Prof. Vasant Naik from Lehman Brothers (London) is giving a VGSF research
seminar on "Global Savings - Investment Imbalances: A Look Through the
Life-Cycle Model" on MONDAY, Feb. 20th, from 15:30 to 17:00 at the BWZ,
Lecture Room (HS) 3.
There is going to be the possibility to talk to Vasant on Tuesday. If you
would like to discuss your research projects and ideas with him, please
contact michael.halling(a)univie.ac.at.
Best,
Michael Halling
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM 2006:
"REAL ASSETS AND PORTFOLIO MANAGEMENT"
March 27th, 2006, 9.00 am – 6.00 pm
University of Vienna - "Kleiner Festsaal"
Dr. Karl-Lueger-Platz 1, 1010 Wien
Real estate, a major driver of both the overall economy and of
individual wealth, has become an increasingly important asset class for
portfolio managers. Other real assets such as private equity and venture
capital have also generated a lot of interest recently as additional
opportunities to optimize asset allocation. However, for most investors,
these alternative investment opportunities remain rather opaque.
Internationally recognized experts will present their analyses of these
asset classes at our symposium from both an academic and practitioner’s
perspective.
KEY-NOTE ADDRESS
“Homeownership as a Constraint on Asset Allocation”
Eduardo Schwartz, UCLA
SESSION I: REAL ESTATE: PORTFOLIO CHOICE AND RETURN CHARACTERISTICS
- “Efficient Portfolios when Housing is a Hedge against Rent Risk”
Loriana Pelizzon, Università Ca' Foscari di Venezia
- “Illiquidity and Pricing Biases in the Real Estate Market”
Kerry D. Vandell, University of Wisconsin-Madison
- “Hot and Cold Housing Markets: International Evidence”
Javier Suarez, CEMFI
SESSION II: REAL ASSETS AND PORTFOLIO CHOICE
- “Comovement After Joining an Index: Spillovers of Nonfundamental Effects”
Dong Wook Lee, University of Kentucky
- “Better Regulation and Underwriter Reputation have done nothing for
IPO Underpricing over the 20th Century: Empirical Evidence from IPOs on
the London Stock Exchange”
Elroy Dimson, London Business School
- “Beautiful Asset: Art as Investment”
Michael Moses, New York University
SESSION III: PERFORMANCE OF PRIVATE EQUITY AND VENTURE CAPITAL
- “Determinants of Venture Capital Performance: Europe and the United
States”
Ulrich Hege, HEC
- “Risk-Adjusted Returns of Private Equity Investments”
Alexander Groh, Technische Universität Darmstadt
- “The Performance of Private Equity Funds”
Ludovic Phalippou, University of Amsterdam,
SESSION IV: EXPECTED RETURNS IN REAL ESTATE
- “Expected Returns and the Expected Growth in Rents of Commercial Real
Estate”
Walter Torous, UCLA
- “Assessing High House Prices: Bubbles, Fundamentals and Misperceptions”
Charles P. Himmelberg, Goldmann Sachs
Sessions will be chaired and discussed by members of the Academic
Advisory Board:
- Elroy Dimson, London Business School
- Engelbert Dockner, University of Vienna
- Robert Korajczyk, Northwestern University
- Klaus Spremann, University St. Gallen
- Neal Stoughton, University of Calgary
- Josef Zechner, University of Vienna
The participation is free, but all participants are required to REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Detailed program is available at www.gutmann-center.at !
Contact:
Gutmann Center for Portfolio Management
University of Vienna
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
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: February 21st, 2006 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Vasant NAIK, Lehman Brothers in London
Title: QUANTITATIVE INVESTING IN GLOBAL INTEREST RATE AND CURRENCY MARKETS
The talk will outline our ongoing research into applications of
quantitative approaches for investment decision making in global
fixed-income and currency markets.
We will consider tactical market-timing type decisions as well as
strategies aimed at exploiting risk premia over a long horizon.
About Vasant Naik:
Vasant Naik is the head of the Quantitative Market Strategies Group of
the Fixed Income Research division of Lehman Brothers in London. He has
been with Lehman Brothers for 7 years. He is responsible for a team that
is engaged in building quantitative models useful for investment
decision-making in global fixed income markets. As such, the group
conducts research projects characterizing risk and return in global
bond, currency and volatility markets. Vasant’s group also works on
questions of optimal portfolio construction, portfolio risk modeling and
investment process design. This research is made available to clients of
Lehman Brothers which include the largest institutional investors around
the globe. Quantitative research is one of the dimensions along which
Lehman Brothers excels in the financial industry.
Prior to joining Lehman Brothers, Vasant was a faculty member at the
University of British Columbia in Canada for 10 years. In his academic
research, he has developed models of equity returns, the yield curve,
derivatives valuation and hedging and real options. Also, he taught
under-graduate, graduate and doctoral students in different areas of
Finance. Vasant graduated from Indian Institute of Management Bangalore
in 1983 and from University of California, Berkeley in 1988 with a
doctorate in finance.
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
There are two VGSF research seminars in January (and an important
announcement regarding Lubos Pastor's seminar):
(A) on Friday, Jan. 20th, Engelbert Dockner is going to present the paper
"Leaders, Followers, and Risk Dynamics in Industry Equilibrium"; this
seminar is going to take place in lecture room 3 at the standard time.
(B) on Friday, Jan. 27th, Lubos Pastor from the University of Chicago is
going to present his paper "Technological Revolutions and Stock Prices". The
seminar takes place in lecture room 11 BUT THE TIME HAS CHANGED: the seminar
is going to be from 11:00 to 12:30!!!
By the way, Lubos is going to be in Vienna for the entire week. If you want
to meet him, please let me know.
See you at the seminar,
Michael Halling
The VIENNA GRADUATE SCHOOL OF FINANCE
www.vgsf.ac.at
OFFERS
6 SCHOLARSHIPS FOR ITS PhD PROGRAM IN FINANCE
INVITATION TO APPLY
The Vienna Graduate School of Finance – a joint initiative of the
University of Vienna, the Institute for Advanced Studies, Vienna, and
the Vienna University of Economics and Business Administration – invites
applications for its doctoral program. Upon admission, applicants can
expect to obtain a top-quality education for an academic career or a
highly specialized position in business or international institutions.
HIGHEST ACADEMIC CREDENTIALS
The Vienna Graduate School of Finance draws on the academic resources of
three established academic institutions, with a faculty specializing in
various fields of finance, including asset pricing, corporate finance,
financial institutions, risk management, and market microstructure.
Well-established within the research community, the local faculty not
only focuses on questions of fundamental theoretical and empirical
importance in finance, but also on policy-oriented issues and practical
applications.
DISTINGUISHED INTERNATIONAL FACULTY
Leading scholars in the field are regularly invited to teach advanced
courses on a topic with either important practical applications or high
potential for future research. For example, in the last three years
courses have been taught by Kerry Back (St. Louis), David Bates (Iowa),
Tomas Björk (Stockholm), Tim Bollerslev (Durham), Michael Brennan
(UCLA), Zsuzsanna Fluck (Michigan State), David Lando (Copenhagen),
Antonio Mele (LSE), Mojmir Mrak (Ljubljana), Stefan Reichelstein
(Stanford), Neal Stoughton (UC Irwine), Suresh Sundaresan (Columbia),
Russ Wermers (Maryland), Jan Werner (Minnesota), and Stanley Zin
(Carnegie Mellon).
PROGRAM
The program consists of two years of intensive course work, followed by
thesis writing. All courses are taught in English. In addition to good
language skills, good skills in mathematics and statistics are
advantageous to successfully complete the program.
APPLICATION
The program is open for students from all countries with all academic
specializations, provided they hold a Master degree or equivalent and
have a sufficient level of formal training. Applicants should take a GRE
and/or GMAT and a TOEFL test, and provide proof of basic proficiency in
finance and/or economics (based on either the degree they hold or a
sample of original written work). The application package should also
contain a statement of purpose, as well as copies of any certificates
and diplomas obtained during prior studies, along with certified
translations into English. Finally, each applicant should arrange for at
least two letters of reference to be sent directly to the address stated
below.
SCHOLARSHIP
Successful applicants will receive generous financial support.
Approximately 6 applicants will be admitted to the program.
Please send your application package not later than
------FEBRUARY 15th, 2006-----
to the following address:
VGSF - Prof. Josef Zechner
University of Vienna
Department of Finance
Brünnerstrasse 72
1210 Vienna (Wien), Austria.
FURTHER INFORMATION AND APPLICATON DETAILS:
--------------- http://www.vgsf.ac.at--------------------------
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 19th, 2005 - 4.00 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
Speaker: Prof. Dr. Darrell DUFFIE, Stanford
http://www.stanford.edu/~duffie/
Title:
MEASURING AND PRICING CORPORATE DEFAULT RISK: WHERE ARE WE NOW?
Abstract:
Some of the fog surrounding the measurement and pricing of corporate
credit risk seems to be lifting, as the empirical evidence builds. There
are nevertheless some important puzzles to be explained, and we remain
in severe need of better models, especially for the pricing and risk
management of correlated credit risk products (for which the
market-standard copula models have significant inadequacies). Investors
are compensated for bearing corporate default risk with market premia
(credit yield spreads or credit derivative prices) that appear to be
large relative to expected losses, and highly variable across time.
There is evidence of significant clustering of defaults across corporate
issuers, above and beyond that suggested by the correlation of
observable risk factors such as equity returns, volatility, leverage,
interest rates, and broad macroeconomic business-cycle variables. This
is a clue to the surprisingly high prices of tranched credit products
that are exposed only to those portfolio default losses that are above
extremely high thresholds relative to historical losses. Drawing from a
number of new collaborative research projects, this talk will present
some recent evidence, suggest some new modelling approaches, and
speculate on the underlying economic causes of these puzzles, which may
include unobservable common risk factors, sluggish movement of capital
across market segments, and agency in the asset management business.
About Darrell Duffie:
Darrell Duffie is the James I. Miller Professor of Finance at The
Graduate School of Business, Stanford University, where he has been a
member of the finance faculty since receiving his Ph.D. at Stanford.
Duffie, recently a Director of The Board of The American Finance
Association, is a Fellow of the Econometric Society, a Research
Associate of the National Bureau of Economic Research, a member of
Moody's Academic Research Committee, and the 2003 IAFE/Sunguard
Financial Engineer of the Year. He is currently on the editorial boards
of Econometrica and The Journal of Financial Economics, among other
journals.
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