---------- Forwarded message ----------
From: Walter Schachermayer <wschach(a)fam.tuwien.ac.at>
---------- Forwarded message ----------
Date: Thu, 31 Mar 2005 11:50:12 +0200
From: Hans-Joachim Zwiesler <zwiesler(a)mathematik.uni-ulm.de>
Subject: SCOR-Preis für Aktuarwissenschaften 2005
Sehr geehrte Kolleginnen und Kollegen,
zum nunmehr neunten Mal stiftet das Rückversicherungsunternehmen SCOR
Deutschland, Tochtergesellschaft der französischen SCOR-Gruppe, die zu den
Top Ten unter den internationalen Rückversicherern zählt, in Zusammenarbeit
mit der Universität Ulm drei Preise zur Förderung von
Nachwuchswissenschaftlern deutschsprachiger Universitäten, deren Arbeiten
einen Bezug zu aktuarwissenschaftlichen Fragestellungen aufweisen. Die
Ausschreibung ist bewusst breit und interdisziplinär angelegt und erlaubt
auch die Einreichung von Dissertationen und Diplomarbeiten.
Im Namen der Jury und von SCOR Deutschland möchte ich Sie herzlich bitten,
die beiliegende Ausschreibung an geeignete Interessenten weiterzugeben.
Mit freundlichen Grüßen
Hans-Joachim Zwiesler
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CCEFM Workshop
The next CCEFM workshop is by
Thomas Steinberger
Defined Benefit Plans: Risk Sharing, Default and Regulation
Friday, April 1st, 3.30-5.00 pm,
Wiener Börse, Wallnerstrasse 8, 1010 Wien
---------------------
The next CCEFM workshop is by
Jun Liu
TBA
Friday, April 8th, 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
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: April 13th, 2005 - 5.00 p.m.
Speaker: Prof. Dr. Suleyman BASAK
London Business School
http://faculty.london.edu/sbasak/
Title: "IMPLICIT INCENTIVES AND BENCHMARKING IN MONEY
MANAGEMENT"
Abstract:
Money managers are rewarded for increasing the value of assets
under management, and predominantly so in the mutual fund
industry. This gives the manager an implicit incentive to
exploit the well-documented positive fund-flows to
relative-performance relationship by manipulating her risk
exposure. In a dynamic asset allocation framework, this
presentation
will argue that as the year-end approaches, the ensuing
convexities in the manager's objective induce her to closely
mimic the index, relative to which her performance is evaluated,
when the fund's year-to-date return is sufficiently high. As her
relative performance falls behind, she chooses to deviate from
the index by either increasing or decreasing the volatility of
her portfolio. The maximum deviation is achieved at a critical
level of underperformance. It may be optimal for the manager to
reach such deviation via selling the risky asset despite its
positive risk premium. Costs of misaligned
incentives to investors resulting from the manager's policy are
economically significant. The presentation then will demonstrate
how a simple risk management practice that accounts for
benchmarking can ameliorate the adverse effects of managerial
incentives.
Location: Bank Gutmann AG (http://www.gutmann.at),
Schwarzenbergplatz 16, A - 1010 Vienna,
Austria
Please REGISTER:
brigitte.juchelka(a)gutmann.at
phone: +43-1-50220-357
Further information about the Gutmann Center:
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
CCEFM Workshop
Doron Avramov, University of Maryland
Investing in Mutual Funds when Returns are Predictable
Friday, March 18th, 3.30-5.00 pm
!****** different location *******!
HS 2,Institute for advanced studies, Stumpergasse 56, 1060 Wien
!****** different location *******!
The paper is downloadable from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Thomas Steinberger,
Defined Benefit Plans: Risk Sharing, Default and Regulation
Friday, April 1st, 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
Christine Parlour, Carnegie Mellon University
"Credit Risk Transfer"
Friday, March 11th, 3.30-5.00 pm,
!****** different location *******!
HS 2,Institute for advanced studies, Stumpergasse 56,
1060 Wien
!****** different location *******!
The paper will be downloadable within the next few days from:
http://www.vgsf.ac.at/
---------------------
The next CCEFM workshop is by
Doron Avramov, University of Maryland
Title: TBA
Friday, March 18th, 3.30-5.00 pm,
Location: TBA
----------------------
Alfred Lehar
University of Vienna
Bruenner Strasse 72
A-1210 Wien
Austria / Europe
Tel: +43 1 4277 38077
Fax: +43 1 4277 38074