5 CURITV VALU~ ION: The Key to Active Management

THE INSTITUTE

FOR QUANTITATIVE

sn

RESEARCH

IN FINANCE

Spring 1977 Seminar

palm Springs California

t c olumbia UnJverslty GRADUATE SCHOOL OFBUS ESS

SPRING SEMINAR

1977

SUNDAY MAY 1

MONDA MAY 2

THE INSTITUTE FOR QUANTITATIVE RESEARCH IN FINANCE MAY 1 . MAY 4. 1977

6:00 p.m. Reception and Dinner

8:30 p.m. DOES THE FASB'S CONCEPTUAL FRAMEWORK MEET THE NEEDS OF THE OUTSIDE USER ? Speaker: William A. Beaver, Professor of

Accounting, Graduate School of Business, Stanford University

9:00 a.m. - 10:15 a.m.

TOWARD A THEORY OF INVESTMENT VALUE Speaker: Jack L. Treynor. Editor. Financial Analysts. Journal

10:15 - 10:30 a.m. Coffee Break

10:30 a.m. - 12 Noon

ON-LINE SECU RITY VALUATION MODELS Panelists: Arnold Bernhard. President. Arnold Bernhard & Co .• Inc.

Publishers of The Value Line Investment Survey Samuel Eisenstadt. Vice President. Arnold Bernhard & Co .• Inc. Publishers of The Vaiue Line Investment Survey William Gi llard . Vice President. Kidder Peabody & Company. Inc. William Jahnke. Vice President. Wells Fargo Bank

12:00 Noon - 4:30 p.m.

Luncheon and Person to Person Conferences

4:30 p.m. - 6:00 p.m.

ANALYZING GROWTH STOCK MODELS Speakers: David Fewlngs. Assistant Professor of Finance. McGill University

Robert Hamada. Associate Professor of Finance. University of Chicago

6:00 p.m. - 6:15 p.m. Refreshment Break

6:15 p.m. - 7:30 p.m.

INTEGRATING VALUATION MODEL OUTPUT I TO THE INVESTMENT PROCESS

Panelists: Charles Blood. Assistant Vice PreSident. Marine Midland Bank Ronald Lanstein. Vice President. Wells Fargo Bank John Nagorn iak. Di rector of Computer Applications. John Hancock Mutual Life Insurance Company

TUESDAY MAY 3

WEDNESDAY MAY 4

9:00 a.m. - 10:1 5 a.m.

SI MULATI ONS OF EQUILIBRI UM IN TH E CAPITAL MARKET Speaker: Richard Stapleton, Professor,

Manchester Business School

10:1 5 a.m. - 10:30 a.m .. CoHee Break

10:30 a.m. - 12 Noon

VALUING THE GENERAL MARKET Panelists: Timothy Dalton, Vice President,

Oppenheimer Capital Corporation David Nicholson, Executive Vice President and Director, MacKay-Shlelps Financial Corporation Richard Katz, Senior Vice President, The Boston Company

12:00 Noon - 4:30 p.m.

Luncheon and Person to Person Conferences

4:30 p.m. - 5:45 p.m.

THE APPLICATION OF UTILITY THEORY TO RISK ANALYSIS DECISION MAKING

Speaker: Irwin Kabus, Sen ior Research Officer, Morgan Guaranty Trust Com pany of New York

5:45 p.m. - 6:00 p.m.

Refreshment Break

6:00 p.m. - 7:00 p_m.

THE PRICING OF HAKANSSON CERTIFICATElS AND EUROPEAN OPTIONS

Speakers: Robert Ferguson, Vice President, Brad ford Trust Company ' Joel Rentzler, Doctoral Candidate, Finance Department, New York Universi ty

7:00 p.m. - 7:30 p.m.

BUSINESS MEETING OF THE INSTITUTE

9:00 a.m. - 10:30 a.m.

PORTFOLIO STRATEGY IN AN EFFICIENT MARKET Speaker: Edwin J. Elton , Professor of Finance,

New York University Martin J. Gruber, Professor of Finance, New York University

10:30 a.m. - 10:45 a.m. Coffee Break

10:45 a.m. - 12:00 Noon

SIMULATED STOCK-OPTION PORTFOLIOS FOR FIDUCIARIES Speaker: Sheen T. Kassouf, Professor of Economics,

University of California, Irvine

DIRECTORS OF THE INSTITUTE JAMES L. FARRELL, JR. (Chairman), College Retlrem nt Equltl.. Fund

RODERIC K BALDWIN, BA Investment Management Corporation SCOTT BAUMAN, The Institute of Chartered Financial Analysts

MICHAEL CARTY, Becker Securities Corporation SUSAN FISHER, Manufacturers Hanover Trust Company

WILLIAM FOUSE, Wells Fargo Bank THEODORE LILLEY, Financial Analysts Federation

HENRY NOTHOF, Sun Life Assurance Company of Canada HENRY RAINVILLE, Manufacturers Hanover Trust Company

JACK TREYNOR, Financial Analyst. Federation

SPONSORS OF THE INSTITUTE AMERICAN NATIONAL BANK AND TRUST COMPANY ALLIANCE CAPITAL MANAGEMENT CORPORATION

BA INVESTMENT MANAGEMENT CORPORATION BACHE & COMPANY BANK OF NEW YORK

BANKERS TRU ST COMPANY BEA ASSOCIATES, INC.

BECKER SECURITIES CORPORATION BOSTON COMPANY, THE

CHASE MANHATTAN BANK COLLEGE RETIREMENT EQUITIES FUND

CONNECTICUT GENERAL LI FE INSURANCE COMPANY EQUITABLE LIFE ASSURANCE SOCIETY

FIRST BOSTON CORPORATION, THE FRANK RUSSELL COMPAN Y, INC.

GIFFORD FONG ASSOCIATES - DIVISION OF OPPENHEIMER & CO., INC. HARRIS TRUST & SAVINGS BAN K

INA CAPITAL MANAGEMENT CORPORATION JESUP & LAMONT, INC.

MACKAY-SHIELDS FINANCIAL CORPORATiON MANUFACTURERS HANOVER TRU ST COMPANY

MERRILL LYNCH, PIERCE, FENNER & SMITH, INC. MORGAN GUARANTY TRUST COMPANY OF NEW YORK

NORTHERN TRUST COMPANY, THE STANFORD UNIVERSITY

SUN LIFE ASSURANCE COMPANY OF CANADA THE TRAVELERS INSU RANCE COMPANY

UNION CARBIDE CORPORATION U. S. TRUST COMPANY OF NEW YORK

WELLINGTON MANAGEMENT COMPANY WELLS FARGO BANK

THE INSTITUTE FOR QUANTITATIVE RESEARCH IN FINANCE COLUMBIA UNIVERSITY GRADUATE SCHOOL OF BUSINESS • URIS HALL

NEW YORK. N. V. 10027 • (212)280-2730