INVITATION
WU GUTMANN CENTER PUBLIC LECTURE
www.gutmann-center.at
(apologies for cross-postings!)
DATE: October, 13th, 2010 (Wednesday) - 4.00 pm
Location: Bank Gutmann AG, Schwarzenbergplatz 16, 1010 Wien
SPEAKER: Prof. Dr. Robert A. KORAJCZYK, Kellogg School of Management, Northwestern University
http://www.kellogg.northwestern.edu/faculty/directory/korajczyk_robert.aspx
TITLE: ALTERNATIVE ASSET RETURNS IN THE FINANCIAL CRISIS: RISK EXPOSURES AND RISK MISMEASUREMENT
ABSTRACT:
During the recent financial crisis an index of hedge funds had returns of -20% while the U.S. stock market return was -51%. These large negative returns on hedge funds, which often claim large diversification advantages due to their focus on absolute returns, has been viewed as anomalous by many observers. I argue that (a) hedge funds, on average, have significant market exposure even using standard risk estimation methods, (b) that standard methods of risk estimation underestimate market exposure, and (c) linear risk models further underestimate downside risk for certain funds. With proper methods for risk estimation, the returns on most hedge fund indices were as expected, given the crash in equity prices. This result has important implications for portfolio choice and asset management.
ABOUT ROBERT A. KORAJCZYK:
A member of the Kellogg School faculty since 1982, Robert A. Korajczyk is the Harry G. Guthmann Professor of Finance and Director of the Zell Center for Risk Research. He is a past Senior Associate Dean: Curriculum and Teaching and past Chair of the Finance Department.
Professor Korajczyk received his BA, MBA, and PhD degrees from the University of Chicago. His research interests are in the areas of investments and empirical asset pricing. He is a recipient of the 2009 Crowell Prize for best paper in the field of quantitative asset management, awarded by PanAgora Asset Management, and several other research and teaching awards.
Professor Korajczyk is a past editor and associate editor of several leading finance journals. He has held visiting faculty appointments at the University of Chicago, the University of Vienna, and the Hong Kong University of Science and Technology. He has served as a consultant to the World Bank and a number of other organizations.
Robert A. Korajczyk is a founding member of the WU Gutmann Center Academic Advisory Board.
Please REGISTER:
Mail: gutmann-center(a)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
CALL FOR PAPERS / CONFERENCE ANNOUNCEMENT
(apologies for cross-postings!)
WU GUTMANN CENTER SYMPOSIUM 2011
"LIQUIDITY AND ASSET MANAGEMENT"
JUNE 15, 2011
WU Gutmann Center for Portfolio Management
WU (Vienna University of Economics and Business), Austria
www.gutmann-center.at
The WU Gutmann Center for Portfolio Management is proud to announce its sixth symposium to be held at WU (Vienna University of Economics and Business), Austria.
The general topic of the symposium is "Liquidity and Asset Management". Papers submitted to this year's symposium can address but are not restricted to the following aspects of this general topic:
(i) Liquidity risks and their measurement
(ii) Liquidity management
(iii) Liquidity constraints and portfolio choice
(iv) Liquidity and expected asset returns
(v) Market liquidity during financial crises
(vi) Regulation and liquidity
(vii) Illiquidity contagion
(viii)Funding liquidity and market liquidity
PAPER SUBMISSION:
Papers covering topics mentioned above should be submitted by email (in Acrobat PDF) not later than December 1st, 2010 to the following address:
E-mail: gutmann-center(a)wu.ac.at
CONTACT:
WU Gutmann Center for Portfolio Management
Speaker: Alois Geyer
Administrative Manager: Dorothea Grimm
WU (Vienna University of Economics and Business)
Heiligenstädter Straße 46-48, 1190 Wien (Vienna), Austria
Phone: +43-1-31336-4244
E-mail: gutmann-center(a)wu.ac.at - Web: http://www.gutmann-center.at/
All submissions will be reviewed by a committee composed of members of the WU Gutmann Center's Academic Advisory Board and decisions will be announced by March 1st, 2011.
Submission and participation are free of charge. Presenting authors are invited to apply to WU Gutmann Center to cover their accommodation and travel expenses.
Im Institute for Finance, Banking and Insurance ist voraussichtlich ab 01. Dezember 2010 bis 30. November 2015 eine Stelle für einen Universitätsassistenten/eine Universitätsassistentin prae doc (Teaching and Research Associate) (Angestellte/r gemäß Kollektivvertrag für die Arbeitnehmer/innen der Universitäten) Beschäftigungsausmaß: 75%, 30 Std./Woche zu besetzen.
Wir weisen darauf hin, dass der WU-Personalentwicklungsplan für Universitätsassistent/in prae doc eine maximale Befristungsdauer von sechs Jahren vorsieht. Bewerber/innen, die bereits als Ersatzkräfte an der WU beschäftigt sind, können daher nur mehr für die auf die sechs Jahre fehlende Zeit eingestellt werden. Die Wiederbestellung von Personen, die bereits eine Stelle als Universitätsassistent/in prae doc inne hatten, ist lediglich auf eine Stelle eines Universitätsassistenten postdoc/einer Universitätsassistentin post doc im Tenure Track möglich.
Aufgabengebiet: Unterstützung und Mitarbeit in der Lehre und Forschung im Bereich Finance, Risk Management or Insurance.
Notwendige Kenntnisse und Qualifikationen: Abschluss eines wirtschaftswissenschaftlichen Studiums mit einem Schwerpunkt in Finanzwirtschaft bzw. einer benachbarten Wissenschaftsdisziplin oder Abschluss des Studienzweiges Wirtschaftsmathematik, Statistik oder Physik; Voraussetzungen für die Aufnahme bzw. Absolvierung eines wirtschaftswissenschaftlichen Doktoratsstudiums.
Erwünschte Kenntnisse und Qualifikationen: Starkes Interesse am wissenschaftlichen Arbeiten mit Anwendungen in Corporate Finance, Corporate Risk Management, Insurance oder Fair Value Accounting und Kapitalmarktregulierung mit dem Ziel der Promotion; sehr gute Kenntnisse im Bereich quantitativer und analytischer Methoden in den Wirtschaftswissenschaften; sehr gute Englischkenntnisse; Teamfähigkeit und Selbständigkeit.
Kennzahl: 1639
Bitte bewerben Sie sich auf unserer Homepage unter http://www.wu.ac.at/jobs.
Ende der Bewerbungsfrist: 13. Oktober 2010
Daniela Fuchs
Office Finance
Institute for Finance, Banking and Insurance
Department of Finance, Accounting and Statistics
WU
Wirtschaftsuniversität Wien
Vienna University of Economics and Business
Heiligenstädter Straße 46-48, A - 1190 Wien, Austria
Tel.: 01/31336/4691
Fax: 01/31336/904691
daniela.fuchs(a)wu.ac.at