INVITATION

WU GUTMANN CENTER PUBLIC LECTURE www.gutmann-center.at (apologies for cross-postings!)

DATE: May 26th (Thursday), 2011 - 4:00 pm LOCATION: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien

SPEAKER: Prof. Dr. MARK GRINBLATT, Anderson School at UCLA http://www.anderson.ucla.edu/x1927.xml

TITLE: "INVESTMENT, VALUATION, AND PARAMETER UNCERTAINTY"

ABSTRACT Financial decisions hinge on the values of key parameters like expected returns, volatilities, and discount rates. In any practical setting, these parameters have to be estimated. This talk will show that the standard estimation procedures, like estimating unbiased values of the expected return, volatility, or discount rate, almost always lead to inappropriate financial decisions. The talk will analyze simple finance problems to illustrate proper estimation of unknown parameters. The insights gained from this real world application of finance turns finance intuition on its head. For example, multi-period investments with negative risk premia can be profitable, there can be infinite demand for risky securities by risk averse investors, settings exist where risk averse investors should not diversify, and demand for mutual funds with negative alphas may be rational. We also expect to observe smile effects in option-implied volatilities, even in settings that use the Black-Scholes assumptions about the return generating process of the underlying asset.

ABOUT MARK GRINBLATT Mark Grinblatt is the J. Clayburn LaForce Professor of Finance at the UCLA Anderson School of Management, where he has been on the faculty since 1981. He received his Ph.D, M. Phil., and M.A. from Yale University, and his undergraduate degree from the University of Michigan. He served as a visiting professor at the Wharton School, as a visiting fellow at Yale University, and worked as a vice president for Salomon Brothers, Inc. He is a former president of the Western Finance Association and a founding member of the Foundation for the Advancement of Research in Financial Economics. He currently serves on the board of directors of the National Bureau of Economic Research and of Citi (formerly Salomon) Swapco, Inc., as an advisory or associate editor of four journals, and as Senior Associate Dean and Director of the UCLA Anderson Ph.D. Program. Professor Grinblatt has authored numerous scholarly papers in finance and economics, as well as a corporate finance textbook and an edited book volume. His research, which appears in most of the major journals in finance and economics, focuses on asset pricing, rational expectations equilibria, performance evaluation, stock market anomalies, corporate finance, derivatives valuation, and investor behavior.

Please REGISTER: Mail: gutmann-center@wu.ac.at Phone: +43-1-31336-4244

CONTACT AND FURTHER INFORMATION: WU Gutmann Center for Portfolio Management, WU (Wirtschaftsuniversität Wien) Department of Finance, Accounting and Statistics, Mag. Dorothea GRIMM, Heiligenstädter Str. 46-48, 1190 Wien - www.gutmann-center.at