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
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.