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The Innovest Austrian Pension Fund Financial Planning Model InnoALM

Event information
Date 4 February 2009
Time 13:00-14:00 BST
Venue ICMA Centre, Room G03/04
Event types:
Research Seminars

He is also a visiting professor at the Mathematical Institute, University of Oxford, ICMA Centre, University of Reading and at the Department of Mathematics, Statistics, Informatics and Applications, University of Bergamo. Previously he taught at many other universities, including Cambridge, London School of Economics, and Warwick in the UK, at Stanford, UCLA, Berkeley, Chicago and MIT in the US, Venice in Italy, Tsukuba in Japan and the National University of Singapore. He has been a consultant to a number of leading financial institutions including the Frank Russell Company, Morgan Stanley, Buchanan Partners and Gordon Capital. His PhD is from the University of California, Berkeley. His research is in hedge fund management, risk control of investment and hedge fund portfolios, global asset allocation, asset-liability management, portfolio theory and practice, Japanese and Asian financial markets, sports and lottery investments and applied stochastic programming etc. He has published widely in journals such as Operations Research, Management Science, Mathematics of OR, Mathematical Programming, American Economic Review, Bell Journal of Economics, Journal of Economic Perspectives, Economic Letters, Journal of Finance, Mathematical Finance, Journal of Economic Dynamics and Control, Financial Analysts Journal, Journal of Portfolio Management, JFQA, Journal of Banking and Finances, Finance Research Letters, Quantative Finance, and Interfaces and in many books and special journal issues. Recent books are Optimizing the Aging, Retirement and Pensions Dilemma (with M. Bertocchi, S.L Schwartz, forthcoming, 2009), The Kelly Capital Growth Criterion: Theory and Practice (with L.C. Maclean and E.O. Thorp, forthcoming, 2009) and Chinese Investment Markets and their Impact (with R. Ruoen and R.E.S. Ziemba). Other titles include Handbook of Futures Markets and Handbook of Sports and Lottery Markets. He has been a futures and equity trader and hedge fund and investment manager since 1983. He is the series editor for North Holland's Handbooks in Finance and from 1982 to 1992 was the department of finance editor of Management Science. He is an associate editor of several academic finance and management science journals.