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Quantitative Finance

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Behavioral Finance: The Closed-End Fund Puzzle

To cite this Article (2004) 'Behavioral Finance: The Closed-End Fund Puzzle', Quantitative Finance, 4: 1, C17 To link to this Article: DOI: 10.1080/14697680400000015 URL: http://dx.doi.org/10.1080/14697680400000015

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Behavioral Finance: The Closed-End Fund Puzzle

Stephen A Ross of the MIT Sloan School of Management presents a public lecture at the Institute for Mathematics and its Applications (IMA) at the University of Minnesota on 30 March 2004 at 7pm. Frustrated by difficulties in explaining seemingly aberrant financial market behaviour using contemporary methods of financial economics, a new school of behavioural finance has arisen that mixes psychology and economics. Despite the superficial appeal of this multi-disciplinary approach, this talk critiques behavioural finance by using the analytical tools of option pricing theory to solve a canonical puzzle of behavioural finance-the closed-end fund discount. A widely published author in finance and economics, Stephen Ross is best known as the inventor of the arbitrage pricing theory of agency, as well as being the co-discoverer of risk-neutral pricing and the binomial model for pricing derivatives. His book Corporate Finance is in its fourth edition. Ross' current research efforts involve a variety of phenomena in financial markets. He is a principal of Roll & Ross Asset Management Corporation, which employs technology, that Ross helped develop, to manage over $3 billion in investments worldwide. See listing for further details.

MARCH IMA Public Lecture: Behavioral Finance: The Closed-End Fund Puzzle (presented by-Stephen A Ross, MIT Sloan School of Management), University of Minnesota, MN, USA 7pm on 30 March 2004 www.ima.umn.edu/public-lecturel2003-04/ross/ APRIL IMA Workshop 7: Risk Management and Model Specifications Issues in Finance, University of Minnesota, MN, USA 12-16 April 2004 www.ima.umn.edu/complex/spring/c7.html First International Conference on Computational Finance and its Applications (organized by the Wessex Institute of Technology, UK), Bologna, Italy 21-23 April 2004 +44 (0) 238 029 3223, Katie Banham (kbanham@wessex.ac.uk), www.wessex.ac.uk/conferences/2004/finance04/ 14th Annual Derivative Securities and Risk Management Conference, CTC-Manhattan, Broad Street, Manhattan, NY, USA 23-24 April 2004 001 607 254 8757, Stephanie Specchio (specchio@tc.cornell.edu), www.tc.cornell.edu/news/events/2004/14th-Derivatives/ MAY GARP's 3rd Credit & Counterparty Risk Summit, London, UK 21-23 May 2004 Andreas Simou (andreas.simou@garp.com), +44 (0) 20 7626 9301, www.garp.com/events/3rdcred IMA Workshop 9: Fin'ancial Data Analysis and Applications, University of Minnesota, MN, USA 24-28 May 2004 www.ima.umn.edu/complex/spring/c9.html Global Derivatives and Risk Management 2004, Madrid, Spain 25-28 May 2004 +44 (0)20 7915 5198, Aden Watkins, ICBI (awatkiris@iirltd.co.uk), www.icbi-uk.com/globalderivatives/ JUNE MC2QMC 2004 International Conference on Monte Carlo and Quasi-Monte~Carlo Methods, Juan-les-Pins, C8te d'Azur, France 7-10June2004 Monique Simonetti (Monique.Simonetti@sophia.inria.fr), +33 4 92 38 78 64, www-sop.inria.fr/omega/MC2QMC2004/ 10th Annual Global Alternative Investment Management Forum (GAIM 2004), Beaulieu, Lausanne, Switzerland 8-11June2004 +44 (0)20 7915 5103, www.ic;bi-uk.com/gaim/ JULY Bachelier Finance Society Third World Congress, IntercontinentalHotel, Chicago, IL, USA 21-24 July 2004 bfs2004@uic.edu,www.uic.edu/orgs/bachelier/

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Computational Finance in Bologna

The First International Conference on Computational Finance and Applications will be held on 21-23 April 2004 in Bologna, Italy, and aims to bring together professionals and the scientific community in the fields of financial engineering and computational intelligence in finance. The event will be co-chaired by Dr Marco Costantino from the Royal Bank of Scotland Financial Markets, UK, and Professor Carlos Brebbia from Wessex Institute of Technology, UK. Intelligent computational systems have become increasingly important in many financial applications, such as portfolio selection, proprietary trading, risk management etc. At the same time, traditional techniques, which represent the basic building blocks of any financial application, have been constantly improved and developed as a result of the increased power of modern computer systems. This international conference has been organized because of the considerable interest and ever-increasing amount of development work going on in this field and will provide a forurn for discussing these advances. See listing for further details.

SEPTEMBER
If you would like to submit an event for inclusion, please contact the Publishing Administrator at quant@iop.org
First Bonzenfreies Colloquium on Market Dynamics and Quantitative Economics, Alessandria, Palazzo Borsalino, Italy 9-10 September 2004 colloquium@unipmn.it,www.rnfn.unipmn.it/~colloqui/