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[VFN] Public Lecture Leonid Kogan May 17th
by Gutmann Center-D.Grimm 29 Apr '04

29 Apr '04

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-listings!! - Date: May 17th, 2004 (Monday), 5.00 p.m. Speaker: Prof. Dr. Leonid KOGAN Massachusetts Institute of Technology (MIT) http://web.mit.edu/lkogan2/www/ Title: "Evaluating Portfolio Policies: A Duality Approach" Abstract: The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable in which case a direct comparison is impossible. In this paper we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This construction is based on a dual formulation of the portfolio optimization problem. When the upper bound is close to the expected utility achieved by the given portfolio policy, the potential utility loss of this policy is guaranteed to be small. Our algorithm can be used to evaluate portfolio policies in models with incomplete markets and position constraints. We illustrate our methodology by analyzing the static and myopic policies in markets with return predictability and constraints on short sales and borrowing. Papers at: http://www.gutmann-center.at Location: Bank Gutmann AG (http://www.gutmann.at), Schwarzenbergplatz 16, A - 1010 Vienna, Austria Participation is free, but please register: 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

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[VFN] CCEFM Workshop
by Alex Stomper 26 Apr '04

26 Apr '04

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

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[VFN] CCEFM Workshop
by Alex Stomper 21 Apr '04

21 Apr '04

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.

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[VFN] Call for papers - Gutmann Center Symposium on Hedge Funds - Nov.29th 2004
by Gutmann Center-D.Grimm 19 Apr '04

19 Apr '04

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.

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[VFN] CCEFM Workshop
by Alex Stomper 29 Mar '04

29 Mar '04

CCEFM Workshop Ulf von Lilienfeld (Universität Frankfurt) "The Stock Market is just a Game" Friday, April 2nd, 3:30-5:00 pm Wiener Börse Wallnerstrasse 8 1010 Wien The paper can be downloaded from: http://www.bwl.univie.ac.at/bwl/fiwi3/members/stomper/ccefm/work.html

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[VFN] 8th Int. Congress on Insurance: Mathematics & Economics, June 14-162004 ROME (fwd)
by VFN-L admin * Andreas Schamanek 16 Mar '04

16 Mar '04

---------- 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

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[VFN] Austrian Workshop on Asset Liability Management (First Announcement)
by Sandra Trenovatz 16 Mar '04

16 Mar '04

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

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[VFN] Public Lecture Bill Sharpe March 25th - NEW LOCATION!!
by Gutmann Center-D.Grimm 16 Mar '04

16 Mar '04

* 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

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[VFN] 18. Workshop der AWG in Innsbruck, 18 & 19 Juni 2004
by office＠bwg.at 15 Mar '04

15 Mar '04

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

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[VFN] CCEFM workshops, 19th and 23rd of March
by Alex Stomper 08 Mar '04

08 Mar '04

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

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