GUTMANN CENTER FOR PORTFOLIO MANAGEMENT at the University of Vienna - http//:www.gutmann-center.at invites to the following PUBLIC LECTURE: (Apologies for any cross-listings!): Date: January 25th, 2007, 4.00 pm Location: Bank Gutmann, Schwarzenbergplatz 16, 1010 Wien Speaker: Prof. Dr. PEDRO SANTA-CLARA, UCLA Anderson School of Management http://personal.anderson.ucla.edu/pedro.santa-clara/ Title: HOW TO OPTIMIZE PORTFOLIOS WITH A LARGE NUMBER OF ASSETS? Abstract: We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. Our approach is computationally simple, easily modified and extended, produces sensible portfolio weights, and offers robust performance in and out of sample. In contrast, the traditional approach of first modeling the joint distribution of returns and then solving for the corresponding optimal portfolio weights is not only difficult to implement for a large number of assets but also yields notoriously noisy and unstable results. About Pedro Santa-Clara: Pedro Santa-Clara is Associate Professor of Finance at UCLA's Anderson School of Management, where he has been since 1996. He received his Ph.D. degree in Management from INSEAD, France. He is a research associate of the National Bureau of Economic Research and an associate editor of the Journal of Financial and Quantitative Analysis, Journal of Business and Economic Statistics, and Management Science. Professor Santa-Clara's research interests are focused on theoretical models of asset pricing and the development of econometric methods to estimate them, particularly in the areas of equity and bond pricing, option valuation, and portfolio choice. His contributions, including the string model of the term structure, the MIDAS model of conditional variance, and dynamic portfolio choice by extending the asset space, have gained wide acceptance by academics and finance professionals. His research has been published in the Journal of Finance, Review of Financial Studies, Journal of Financial Economics, and other leading journals in Economics and Finance. Professor Santa-Clara founded Atrium Investments, an asset management company and has worked as a consultant to multiple investment banks and hedge funds on pricing derivatives and developing investment strategies. Please REGISTER: Mail: gutmann.bwl(a)univie.ac.at Phone: +43-1-4277-38186 - Fax: +43-1-4277-38074 Contact and further information: Gutmann Center for Portfolio Management University of Vienna - Mag. Dorothea GRIMM Bruenner Str. 72 - 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