2008 January 7

Jours fixes take place on the first monday of the month, starting at 5:00 p.m., in room 220C of the university´s main building.

[Prof. Raimond Maurer, Thanh Vo, E-Finance Lab]

Financial institutions seeking to invest their cash inflows in diversified portfolios of primary financial and derivative instruments on national and international financial markets face a wide array of uncertainties. Besides well-understood local capital market risk additional risk and return components due to fluctuating exchange rates have to be considered when investing abroad. In a world of parameter uncertainty, trying to hedge these risks bases on quantitative models comes at the cost of estimation risk. Researchers around the world have already and still develop a substantial set of methods to deal with these risks. However, there is a clear discrepancy between recent research and the methods implemented in the industry. Current research is often hardly accessible to real decision makers, because profound theoretical knowledge is required when applying the more and more complex models. In an effort to bridge the gap between cutting edge theory and their adoption in the industry, a powerful stand alone tool has been implemented in Matlab. It consists of a comprehensive procedure library covering recent models and methods of international portfolio management. Key feature is a web-based front-end granting decision makers easy access to state of the art portfolio management tools.