CCEFM Workshop
Yihong Xia, University of Pennsylvania, Wharton School
(Gutmann Center Research Fellow)
"Persistence, Predictability, and Portfolio Planning"
Friday, October 22nd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Rick Green, Carnegie Mellon University
(sponsored by Gutmann Center for Portfolio Management)
TBA
Wednesday (!), Nov 3rd, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074
CCEFM Workshop
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
"How inefficient are simple asset-allocation strategies?"
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------------------------------
The next CCEFM workshop is by
Yihong Xia, University of Pennsylvania
(Gutmann Center Research Fellow)
TBA
Friday, October 22th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
* 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: October 13th, 2004 (Wednesday), 4.00 p.m.
Speaker: Prof. Dr. Raman UPPAL
London Business School
http://faculty.london.edu/ruppal/
Title:
"PORTFOLIO SELECTION WITH PARAMETER AND MODEL UNCERTAINTY"
Abstract:
In this paper, we extend the mean-variance portfolio model where
expected returns are obtained using maximum likelihood
estimation to explicitly account for uncertainty about estimated
expected returns. In contrast to the Bayesian approach to
estimation error, where there is only a single prior and the
investor is neutral to uncertainty, we allow for multiple priors
and aversion to uncertainty. The multi-prior model has several
attractive features: One, just like the Bayesian model, the
multi-prior model is firmly grounded in decision theory; Two, it
is flexible enough to allow for uncertainty about expected
returns estimated jointly for all assets or different levels of
uncertainty about expected returns for different subsets of the
assets; Three, we show how in several special cases of the
multi-prior model one can obtain closed-form expressions for the
optimal portfolio, which can be interpreted as a shrinkage of
the mean-variance portfolio towards either he risk-free asset or
the minimum variance portfolio. We illustrate how to implement
the multi-prior model using both international and domestic
data. Our analysis suggests that allowing for parameter
uncertainty reduces the fluctuation of portfolio weights over
time and, for the data set considered, improves substantially
the out-of sample performance.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
CCEFM Workshop
Russ Wermers (University of Maryland), Eugene Kandel (Hebrew University)
(Gutmann Center International Research Grant 2002)
"Evaluating Asset Managers by Decomposing Their Active Decisions"
Friday, October 8th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper will be downloadable within the next few days from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
---------------------
The next CCEFM workshop is by
Raman Uppal, London Business School
(Gutmann Center Research Fellow)
Title: TBA
Friday, October 15th, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the following PUBLIC LECTURE:
- Apologies for any cross-postings!! -
Date: October 13th, 2004 (Wednesday), 4.00 p.m.
Speaker: Prof. Dr. Raman UPPAL
London Business School
http://faculty.london.edu/ruppal/
Title: "Portfolio Selection with Parameter and Model
Uncertainty"
Abstract:
In this paper, we extend the mean-variance portfolio model where
expected returns are obtained using maximum likelihood
estimation to explicitly account for uncertainty about estimated
expected returns. In contrast to the Bayesian approach to
estimation error, where there is only a single prior and the
investor is neutral to uncertainty, we allow for multiple priors
and aversion to uncertainty. The multi-prior model has several
attractive features: One, just like the Bayesian model, the
multi-prior model is firmly grounded in decision theory; Two, it
is flexible enough to allow for uncertainty about expected
returns estimated jointly for all assets or different levels of
uncertainty about expected returns for different subsets of the
assets; Three, we show how in several special cases of the
multi-prior model one can obtain closed-form expressions for the
optimal portfolio, which can be interpreted as a shrinkage of
the mean-variance portfolio towards either he risk-free asset or
the minimum variance portfolio. We illustrate how to implement
the multi-prior model using both international and domestic
data. Our analysis suggests that allowing for parameter
uncertainty reduces the fluctuation of portfolio weights over
time and, for the data set considered, improves substantially
the out-of sample performance.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Participation is free, but REGISTRATION required:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information:
Dorothea Grimm
Administrative Director
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: dorothea.grimm(a)univie.ac.at
web: www.gutmann-center.at
The Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
is pleased to announce the
GUTMANN CENTER SYMPOSIUM ON HEDGE FUNDS
Date: November 29th, 2004
Location: University of Vienna, Austria
In times of falling stock markets and not very promising bond
markets, investors are looking for alternatives. Hedge Funds
promise stable and attractive returns both during rising as well
as falling markets but come with the disadvantage that they are
frequently a black box for investors. The internationally
recognized speakers at our symposium will shed some light on
this hot topic from an academic as well as a practitioner's
point of view:
- George O. Aragon, Boston College
"Share Restrictions and Asset Pricing - Evidence from
the Hedge Fund Industry"
- Oleg Bondarenko, University of Illinois at Chicago
"Market Price of Variance Risk and Performance of Hedge
Funds"
- Yong Chen, Boston College
"Timing ability in the focus market of hedge funds"
- Ryan J. Davies, Babson College
"Fund of Hedge Funds Portfolio Selection: A
Multiple-Objective Approach"
- Mila Getmansky, Isenberg School of Management at UMASS,
Amherst
"The Life Cycle of Hedge Funds: Fund Flows, Size and
Performance"
- Julien Hugonnier, University of Lausanne
"Mutual Fund Portfolio Choice in the Presence of Dynamic
Flows"
- Narayan Naik , London Business School
"Flows, Performance, and Managerial Incentives in the
Hedge Fund Industry"
- Robert Kosowski, INSEAD
"Is Stellar Hedge Fund Performance for Real?"
- Martin Ruckes, University of Wisconsin-Madison
"Liquidity, Borrowing Structure, and Limits to
Arbitrage"
- Terry Marsh, Quantal/ UC Berkeley
"Equity Market Neutral Hedge Funds"
- Maria Vassalou, Columbia University
"Corporate Innovation and its Effects on Equity Returns"
- Kuan Xu, Dalhousie University
"Myopic Loss Aversion and Margin of Safety"
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 California, Irvine
- Josef Zechner, University of Vienna
The presentations will be followed by a PANEL DISCUSSION.
The participation is free, but all participants are required to
REGISTER:
mail: gutmann.bwl(a)univie.ac.at
Contact:
Gutmann Center for Portfolio Management
University of Vienna
Bruenner Str. 72
A-1210 Wien
Austria
phone: +43-1-4277-38186
fax: +43-1-4277-38074
mail: gutmann.bwl(a)univie.ac.at
web: www.gutmann-center.at
Apologies for cross postings!!
Ausschreibung an der Karl-Franzens-Universität Graz
Sozial- und Wirtschaftswissenschaftliche Fakultät
Am Institut für Banken und Finanzierung ist eine halbe Stelle einer
wissenschaftlichen Mitarbeiterin oder eines wissenschaftlichen
Mitarbeiters im Forschungs- und Lehrbetrieb gem. § 100 UG 02 (befristete
Ersatzkraft), ab
sofort befristet bis voraussichtlich 17. Mai 2005, zu besetzen.
Aufnahmebedingungen: Abgeschlossenes Doktoratsstudium der Sozial- und
Wirtschaftswissenschaften bzw. eine dem Doktorat gleich zu wertende
wissenschaftliche Befähigung.
Erwünschte Kenntnisse bzw. Qualifikationen: Ausgezeichneter Erfolg im
Prüfungsfach "Banking & Finance", Englisch in Wort und Schrift.
Ende der Bewerbungsfrist: 06. Oktober 2004 (Kennzahl: 23/68/99).
Bewerbungen (mit Lebenslauf und Zeugnissen) sind unter Angabe der
Kennzahl einzureichen an:
Karl-Franzens-Universität
Administration und Dienstleistungen
Personalwesen
Universitätsplatz 3
8010 Graz
AUSSCHREIBUNG
An der Abt. Finanzwirtschaft und Controlling
(http://info.tuwien.ac.at/E330/), Institut für Betriebswissenschaften,
Arbeitswissenschaft und Betriebswirtschaftslehre (Neue Bezeichung:
Institut für Managementwissenschaften), der Technischen Universität Wien
(http://www.tuwien.ac.at/), ist voraussichtlich
ab 1.10.2004
auf die Dauer von 6 Jahren
eine Stelle für einen/eine Universitätsassistenten/in zu besetzen.
Beschäftigungsausmaß:
vollbeschäftigt
Aufnahmebedingungen:
einschlägig abgeschlossenes Doktoratsstudium bzw eine gleichwertige
wissenschaftliche Befähigung
Sonstige Kenntnisse:
Rechnungswesen, Finanzwirtschaft, Controlling und Risikomanagement,
Statistik/Ökonometrie, Informatikkenntnisse und Programmiererfahrung
Bewerbungsfrist:
15.9.2004 bis 6.10.2004
Bewerbungen sind an die Personalabteilung I
(http://www.tuwien.ac.at/zv/pers1/ bzw.
http://info.tuwien.ac.at/histu/inst/0104.html) der TU Wien, Karlsplatz
13, A-1040 Wien, zu richten.
Für weitergehende Auskünfte steht
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
(Email: waussen(a)pop.tuwien.ac.at)
(www: http://info.tuwien.ac.at/E330/Staff/Aussenegg.htm)
zur Verfügung.
Mit freundlichen Grüßen,
Wolfgang Aussenegg
--
***********************************************************
a.o.Univ.-Prof. Dr. Wolfgang Aussenegg
Institut für Managementwissenschaften
Abt. 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
***** CALL FOR PAPERS *****
Der 19. Workshop der Austrian Working Group on Banking and Finance
findet am 26. und 27. November 2004 an der Wirtschaftsuniversität Wien
statt.
Angesprochen sind sowohl Forscher/inn/en an allen österreichischen
Universitäten und verwandten Institutionen als auch Praktiker/innen, die
wissenschaftliche Arbeiten im Bereich Banken und Finanzwirtschaft einem
kritischen Fachpublikum vorstellen möchten. Bei der Auswahl der Vorträge
wird besonders auf die Förderung des wissenschaftlichen Nachwuchses Wert
gelegt.
Alle Interessent/inn/en sind herzlich eingeladen Papers oder Extended
Abstracts bis 31. Oktober 2004 an Prof. Stefan Bogner
(stefan.bogner(a)wu-wien.ac.at)
oder Prof. Stefan Pichler (stefan.pichler(a)wu-wien.ac.at) zu senden.
Mit freundlichen Grüßen Stefan Pichler
*******************************************
Univ.-Prof. Mag. Dr. Stefan Pichler
Wirtschaftsuniversität Wien
Institut für Kreditwirtschaft
UZA 4, 6. Stock Kern B
Nordbergstraße 15
A-1090 Wien
Tel: ++43 1 31336 4691
Fax: ++43 1 3100580
E-mail: stefan.pichler(a)wu-wien.ac.at
Web: http://www.wu-wien.ac.at/wwwu/institute/ikw/
*******************************************
------ Ende der weitergeleiteten Nachricht ------
Second Announcement:
-------------------
Dear Ladies and Gentlemen,
We want to alert you to the forthcoming
Austrian Workshop on Asset Liability Management (ALM 2004)
for Insurance Companies and Pension Funds
from September 23 - 25 in Vienna, featuring
- an introductory crash course,
- a practicioners' day and
- a day of cutting edge research.
The workshop is jointly organised by
- the Vienna University of Technology,
- the FMA (Austrian Financial Market Authority),
- the University of Applied Sciences BFI in Vienna,
- the Actuarial Association of Austria,
- the Scientific Association "Insurance, Financial,
and Operational Risk Management" and
- the Vienna University of Economics and Business Administration.
Please find further information on the web page
http://alm.fam.tuwien.ac.at/
Best regards,
M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler,
M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock
We apologize for any cross-postings.