The paper for the next CCEFM Workshop is now downloadable from:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
As announced in my last email, the seminar, titled "Liquidity Discovery
and Asset Pricing", will be given by Duane Seppi from Carnegie Mellon
University.
Date: 30th of April, 3:30 pm
Location: Wiener Börse, Wallnerstrasse, 1010 Wien
CCEFM Workshop
Duane Seppi (Carnegie Mellon University)
will present a paper titled
"Liquidity Discovery and Asset Pricing"
Date: April 30th, 3.30-5.00
Location: Wiener Börse, Wallnerstrasse 8, 1010 Wien
The paper is not yet available. I will send a separate email to
distribute a link to the paper.
CALL FOR PAPERS/ CONFERENCE ANNOUNCEMENT
- Apologies for any cross-postings! -
GUTMANN SYMPOSIUM ON HEDGE FUNDS
Gutmann Center for Portfolio Management
at the University of Vienna
http://www.gutmann-center.at
Monday, November 29th, 2004
University of Vienna, Austria
The Gutmann Center for Portfolio Management at the University of
Vienna is proud to announce its third annual symposium to be
held at the University of Vienna.
The objective of this year's symposium is to discuss new
empirical and theoretical advances in research on hedge funds.
We are delighted to invite interested researchers and
practitioners to participate and/or to submit research papers on
hedge fund related topics. We are particularly interested in
research on new strategies for investment funds, analysis of
alternative investments, style investing, and performance
evaluation.
PAPER SUBMISSION:
The symposium will consist of invited speakers and submitted
papers.
Papers on the topics mentioned above or on other subjects
related to hedge funds should be submitted by email (in Acrobat
PDF) not later than July 1st to the following address:
Email: gutmann.bwl(a)univie.ac.at
CONTACT:
Gutmann Center for Portfolio Management
University of Vienna
Director: Josef Zechner
Administrative Director: Dorothea Grimm
Bruenner Strasse 72
A-1210 Wien, Austria
Phone: +43-1-4277-38186
Fax: +43-1-4277-38074
Email: gutmann.bwl(a)univie.ac.at
Homepage : http://www.gutmann-center.at
All submissions will be reviewed by a committee composed of
members of the Gutmann Center's Academic Advisory Board and
decisions will be made by September 1st.
Submission and participation are free of charge.
The Gutmann Center will provide accommodation and cover
reasonable travel expenses for presenting authors.
---------- Forwarded message ----------
Date: Tue, 16 Mar 2004 12:47:49 +0100
From: Emiliano Brugnoni <e.brugnoni(a)gruppotriumph.it>
Subject: Fw: 8th International Congress on Insurance: Mathematics &
Economics- June 14-16 2004 ROME
http://www.ime2004rome.com
EIGHTH INTERNATIONAL CONGRESS ON INSURANCE: MATHEMATICS & ECONOMICS
June 14-16, 2004=20
The University Luiss "Guido Carli" and the Istituto Italiano degli
Attuari (Italian Institute of Actuaries) are pleased to invite you to
the eighth International Congress on Insurance: Mathematics &
Economics.
As in the previous congresses, researchers (actuaries and
non-actuaries) have the opportunity to present and discuss the latest
results of their studies in the insurance science. The fields of
insurance mathematics and insurance economics are the main issue of
the Congress, and the Scientific Committee welcomes papers concerning
models and computational methods of life insurance, non-life insurance
and reinsurance, of alternative risk transfers and other risk sharing
arrangements.
Also papers concerning applications to actuarial problems of
probability and statistics, computer science, numerical analysis,
economics, operations research, management science and risk management
may be submitted. Portfolio models, risk measures, premium calculation
principles, experience rating, claims reserving, dependency of risks,
strategy allocation and market finance are themes of great importance
in the context of IME Congresses.
The papers presented can be submitted for publication in a special
issue of Insurance: Mathematics and Economics dedicated to the
congress. They will be subjected to the same peer review process that
applies for regular issues of this journal.
Abstracts should be submitted by March 26, 2004 and the full papers
should be sent in by May 14, 2004, both by e-mail to
ime2004rome(a)luiss.it. The acceptable formats for the abstracts are
PDF, Word, TeX and LaTeX.
All the decisions by the Scientific Committee regarding acceptance or
rejection for presentation at the conference will be final: there will
be no opportunities for revision by the author.
Organising Committee: C. Angela (chairperson), F. Cacciafesta, G. di
Tria, F. Gozzi, G. Foschini, C. Mottura, G. Olivieri (chairperson), R.
Ottaviani, N. Savelli, M.S. Staffa, E. Volpe di Prignano. =20
Scientific Committee: C. Angela, F. Cacciafesta, M. Denuit, H.U.
Gerber, M.J. Goovaerts, F. Gozzi, R. Kaas, C. Mottura, G. Olivieri, R.
Ottaviani, E. Pitacco, N. Savelli, E. Shiu, E. Volpe di Prignano.
SECRETARIAL OFFICE OF THE CONGRESS: Emiliano Brugnoni(tel:
+39-(0)6.355.30.281; Fax: +39-06.355.30.282; Cell: +39-348.07.15.418;
email ime2004rome(a)luiss.it)
Emiliano Brugnoni
Gruppo Triumph
Via Lucilio 60
00136 Rome
Italy
Phone +39-(0)6-35530281
Fax +39-(0)6-35530282
e.brugnoni(a)gruppotriumph.it
First 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/
***PLEASE, BE SURE TO REGISTER EARLY***
Best regards,
M. Fulmek, T. Hudetz, M. Jeckle, Ch. Krischanitz, S. Pichler,
M. Predota, W. Schachermayer, H. Schicketanz, U. Schmock
* IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT * IMPORTANT *
* NEW LOCATION * NEW LOCATION * NEW LOCATION * NEW LOCATION *
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
www.gutmann-center.at
is pleased to announce the following
PUBLIC LECTURE:
(We apologize for any cross-postings!)
Date: March, 25th (Thursday), 4.30 p.m.
!! LOCATION!! : UNIVERISTÄT WIEN (HAUPTGEBÄUDE-MAIN BUILDING)
KLEINER FESTSAAL
Dr. Karl Lueger-Ring 1
1010 Wien
Title: "Asset Allocation Optimization: Theory and Practice"
Abstract:
Markowitz optimization procedure is widely used by investment
advisors and pension fund consultants to help determine the
allocation of their clients funds among major asset classes.
However, in practice optimization is typically used in ways that
differ from the theory presented in most textbooks. This lecture
reviews the fundamental aspects of asset allocation
optimization, describes a typical practical application, and
highlights some of the reasons for discrepancies between theory
and practice. Finally, the major source of the problem is
identified and a better solution offered.
Speaker: Prof. Dr. William F. SHARPE
STANCO 25 Professor of Finance, Emeritus
at Stanford University's Graduate School of
Business
Nobel Prize in Economic Sciences, 1990
http://gobi.stanford.edu/facultybios/bio.asp?ID=151
Please register: dorothea.grimm(a)univie.ac.at
Contact and further information:
Mag. Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
phone: +43-1-4277-38186
web: http://www.gutmann-center.at
18. Workshop der Austrian Working Group on Banking and Finance
Das Institut für Betriebliche Finanzwirtschaft (o. Univ.-Prof. Dr. K.
Schredelseker / o. Univ.-Prof. Dr. M. Bank, CFA) an der
Leopold-Franzens-Universität Innsbruck veranstaltet mit Unterstützung der
Österreichischen Bankwissenschaftlichen Gesellschaft am
18. und 19. Juni 2004 in Innsbruck
den 18. Workshop der Austrian Working Group on Banking and Finance
Der Workshop findet am Freitag, dem 18. Juni 2004, nachmittags, und am
Samstag,
dem 19. Juni 2004, vormittags, an der Leopold-Franzens-Universität
Innsbruck statt.
Bezüglich der Themen ist keine Einschränkung vorgesehen.
First CALL for PAPERS
Papers oder Extended Abstracts (ca. zwei Seiten) können bis spätestens 30.
April 2004 bei
o. Univ.-Prof. Dr. M. Bank, CFA, Leopold-Franzens-Universität Innsbruck,
Institut für betriebliche Finanzwirtschaft, Hypo Tirol Stiftungsprofessur
für Banking & Finance, A-6020 Innsbruck, Universitätsstraße 15, oder
e-mail: ibf-banking(a)uibk.ac.at, eingereicht werden.
Um den angestrebten Workshop-Charakter der Veranstaltung zu fördern, können
Papers durch einen Discussant besprochen werden. Jene Teilnehmer, die eine
solche Vorgangsweise wünschen, werden gebeten, ihr Manuskript bis 16. April
2004 einzureichen.
Weitere Informationen finden Sie unter http://ibf.uibk.ac.at/awg.html
der Call for Papers kann unter http://www.bwg.at/bwg2/bwg.nsf/Menue/1.8
abgerufen werden
Upcoming CCEFM workshops
19. 3. 2004, 3.30-5.00 pm
Leo Kaas, University of Vienna
Financial Market Integration and Loan Competition: When is Entry
Deregulation Socially Benefitial?
Wiener Börse, Wallnerstrasse 8, 1010 Wien
The manuscript for the the talk is downloadable from the page cited
below.
23. 3. 2004, 4.30-6.00 pm
William F. Sharpe, Stanford
Asset Pricing and Portfolio Choice
HS5, BWZ, Brünnerstrasse 72, 1210 Wien
For information about further CCEFM workshops, see:
http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html
The GUTMANN CENTER FOR PORTFOLIO MANAGEMENT
at the University of Vienna
www.gutmann-center.at
is pleased to announce the following
PUBLIC LECTURE:
(We apologize for any cross-postings)
Date: March, 25th (Thursday), 4.30 p.m.
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010
Wien
www.gutmann.at
Title: "Asset Allocation Optimization: Theory and Practice"
Speaker: Prof. Dr. William F. SHARPE
STANCO 25 Professor of Finance, Emeritus
at Stanford University's Graduate School of
Business
Nobel Prize in Economic Sciences, 1990
http://gobi.stanford.edu/facultybios/bio.asp?ID=151
Prof. Sharpe was one of the originators of the Capital Asset
Pricing Model, developed the Sharpe Ratio for investment
performance analysis, the binomial method for the valuation of
options, the gradient method for asset allocation optimization,
and returns-based style analysis for evaluating the style and
performance of investment funds.
Dr. Sharpe has published articles in a number of professional
journals, including Management Science, The Journal of Business,
The Journal of Finance, The Journal of Financial Economics, The
Journal of Financial and Quantitative Analysis, The Journal of
Portfolio Management, and The Financial Analysts' Journal.
He has also written six books, including Portfolio Theory and
Capital Markets (McGraw-Hill, 1970 and 2000), Asset Allocation
Tools (Scientific Press, 1987), Fundamentals of Investments
(with Gordon J. Alexander and Jeffrey Bailey, Prentice-Hall,
2000) and Investments (with Gordon J. Alexander and Jeffrey
Bailey, Prentice-Hall, 1999).
Prof. Sharpe is past President of the American Finance
Association. In 1990 he received the Nobel Prize in Economic
Sciences.
He received his Ph.D., M.A. and B.A. in Economics from the
University of California at Los Angeles. He is also the
recipient of a Doctor of Humane Letters, Honoris Causa from
DePaul University, a Doctor Honoris Causa from the University of
Alicante (Spain), and the UCLA Medal, UCLA's highest honor.
Dr. Sharpe is a trustee of the AXA Rosenberg mutual funds and a
member of the board of Financial Engines, Incorporated.
Please register - Contact:
Brigitte Juchelka, Bank Gutmann AG
mail: brigitte.juchelka(a)gutmann.at
Tel.: +43-1-50220-357
Fax: +43-1-50220-249
Further information:
Dorothea Grimm
Gutmann Center for Portfolio Management
mail: dorothea.grimm(a)univie.ac.at
Phone: +43-1-4277-38186
web: http://www.gutmann-center.at