1992 AUTUMN SEMINAR

MARKET . EXECUTION: STRATEGIES AND . TECHNIQUES del Coronado California THE INSTITUTE FOR QUANTITATIVE AUTUMN Q RESEARCH IN FINANCE Gt 1992 October 11 • 14, 1992 PROGRAM OUTLINE

SUNDAY 5:00 p.m. Reception October 11 6:00 p.m. Dinner 7:00 p.m WORDS OF WELCOME JAMES L. FARRELL, Jr., Institute Chairman and Chairman, Farrell ·Wako Global Investment Management DINNER SPEAKER JOSEPH GRUNDFEST, Professor, Stanford Law School

MONDAY SWAPS October 12 9:00-10:15 a.m. AN OVERVIEW OF THE FOUNDATIONS OF FINANCIAL ENGINEERING WITH AN APPLICATION TO SWAPS Speaker: CHI·FU HUANG, J. C. Penney Professor of Finance, MIT, Alfred P. Sloan School of Management 10:15-10:45 a.m. Coffee Break 10:45· 12:00 noon FUTURE OF RISK MANAGEMENT: SWAPS AND CONTRACTUALS Speaker: MYRON S. SCHOLES, Managing Director, Inc. 12:00-4:00 p.m. Luncheon and Person-to-Person Conferences 4:00-5:15 p.m. RECENT INNOVATIONS IN THE SWAP MARKET Speakers: ROBERT LITZENBERGER, Edward Hopkinson, Jr. Professor of , Wharton School and Chief Economist, AIG Financial Products Corp. and STEVEN SITVER, Vice President, AIG Financial Products Corp . 5:15-5:45 p.m. Coffee Break 5:45-7:00 p.m. THE ROLE OF REGULATION Speaker: WILLIAM J. McDONOUGH, Executive Vice President, Federal Reserve Bank of 7:00 p.m . Reception : STRATEGIES AND TECHNIQUES

TUESDAY AUCTION THEORY October 13 8:30-9:45 a.m AUCTION THEORY I Speaker: JOHN MacMillAN, Professor, University of California at San Diego

9 : ~10 : 15 ·a . m. Coffee Break 10:15-11 :30 a.m. AUCTION THEORY II Speaker : PRESTON McAFEE , Professor , Department of Economics , University of Texas at Austin 11 :30-12:00 noon BUSINESS MEETING OF THE INSTITUTE 12:0Q-4:00 p.m. Luncheon and Person-to--Person Conferences 4:00-5:15 p.m. AUCTIONS: THEORY AND LABORATORY APPROACH TO BEHAVIOR Speaker : CHARLES R. PLOTT , The Edward S. Harkness Professor of Economics and Political Sc ience , California Institute of Technology , Division of Human ities & Soc ial Sciences 5:1 5-5:45 p.m. Coffee Break 5:45-7:00 p.m. Speaker : Professor Charles R. Plott . continued 7:00p.m. Reception

WEDNESDAY 8:00-9:15 a.m. October 14 DUTCH AUCTION REPURCHASES Speaker : lAURIE SIMON BAGWEll, Assoc iate Professor. Kellogg Graduate School of Management . Northwestern University 9:15-9:45 a.m. Coffee Break

9 : ~11 :00 a.m. THE PROSPECTIVE REAL YIELD AND ITS RELEVANCE TO ACTIVE GLOBAL MANAGEMENT Speakers : ROBERT BERNSTEIN , sen ior Vice PreSident, Director of , De laware Investment Advisers , and IAN SIMS , Managing DlreGtor , Fixed Income , Delaware International Advisers, Ltd . 11 :00 a.m. Seminar Conclusion JAMES L FARRELL, JR.. Chalnnan Farren-Wako GIoballnvestmenl Management

ROBERT E. ANGELICA AT&T DARWIN M. BAYSTON AIMR GILBERT L. BEEBOWER SEI CO!pOraton KATHLEEN A. CONDON Bank8rs TlUSt Company CHARLES A. D'AMBROSIO Financial Analysts Joumal H. GIFFOR'D FONG Gilford Fong Associates WILLIAM L. FOUSE MeRon Capital Management Corp. GILBERT HAMMER Wilshire Associates, Inc. MARTIN L. LEIBOWITZ Salomon Brothers Inc. RICHARD O. MICHAUD Acadian Asset Management, Inc. EUGENE E. RECORD, JR. WelMngton Management Company DANIEL RIE Colonial Managemenl Associates, Inc. ROBERT E. SHULTZ Trust Company of the West JACK L. TREYNOR Treynor Cap~a1 Management, Inc. ROBERT L. WHAlEN Cigna THOMAS A. WICK Harris Investment Management

DALE BERMAN . Secretary-Treasurer VBlElS Inc. ANDREW C. McCULLOCH, Administrative Director The Q Grol4' LAWRENCE HARRIS, Research Coordinator School of Business, USC J. PETER WILLIAMSON , Seminar Summarizer Amos Tuck School. Dartmouth College JOHN F. WALSH, Legal Counsel 00108 cA John F. Walsh

SPONSORS OF THE INSTITUTE ACADIAN ASSET MANAGEMENT, INC. AMERICAN CAPITAL MANAGEMENT & RESEARCH ARONSON + FOGLER AT&T BANKERS TRUST COMPANY BARRA BEAASSOCIATES, INC BELL ATlANTIC CORP. THE BOSTON COMPANY BOSTON INTERNATIONAL ADVISORS, INC. BRINSON PARTNERS, INC . BUCK PENSION FUND SERVICES, INC. CALIFORNIA PUBLIC EMPlOYEES RETIREMENT SYSTEM CHANCELLOR CAPITAL MANAGEMENT, INC. THE CHASE MANHATTAN BANK CIGNA CORPORATION COLONIAL MANAGEMENT ASSOCIATES, INC. COUNTY NATWEST SECURITIES THE DAIS GROUP, INC. DElAWARE INVESTMENT ADVISERS DIMENSIONAL FUND ADVISORS, INC . ELF AQUITANE, INC EQUITABLE CAPITAL MANAGEMENT CORP. EVALUATION ASSOCIATES, INC. FARRELL-WAKO GLOBAL INVESTMENT MANAGEMENT FIRST ASSET MANAGEMENT FIRST QUADRANT CORP. THEFORDFOUNDAT~ FRANK RUSSELL COMPANY FRANKLIN PORTFOLIO ASSOCIATES GE INVESTMENT CORP. GENERALMOTORSINVESTMENTMANAGEMENTCORPORAT~ GIFFORD FONG ASSOCIATES GOLDMAN SACHS ASSET MANAGEMENT GRANTHAM, MAYO. VAN OTTERLOO & CO. GTE INVESTMENT MANAGEMENT CORPORATION HARRIS INVESTMENT MANAGEMENT VBlEIS INC. IBM RETIREMENT FUND INTERNATIONAL MONETARY FUND INTERNATIONAL PAPER JACOBS LEVY EQUITY MANAGEMENT, INC . KIDDER PEABODY & CO., INC. KPMG PEAT MARWICK LOOMIS, SAYLES & COMPANY, INC. MacKAY SHIELDS FINANCIAL CORP. MARTINGALE ASSET MANAGEMENT MASSACHUSETTS McKINSEY & COMPANY, INC. MELLON CAPITAL MANAGEMENT CORP. MELLON EQUITY ASSOCIATES CORP. MERRILL LYNCH & CO . MILLER, ANDERSON & SHERRERD MONSANTO COMPANY J. P. MORGAN INVESTMENT MANAGEMENT, INC. MORGAN STANLEY & CO., INC . NEW AMSTERDAM PARTNERS, L.P. THE NIKKO RESEARCH CENTER, LTD. NOMURA CAPITAL MANAGEMENT, INC. THE NORTHERN TRUST COMPANY OPPENHEIMER CAPITAL PAC lAC TELESIS PANAGORA ASSET MANAGEMENT, INC. PlEXUS GROUP PRUDENTIAL INVESTMENT CORPORATION RJR NABISCO, INC. SALOMON BROTHERS INC . SANFORD C. BERNSTEIN & CO., INC. SEI CORPORATION STANFORD MANAGEMENT COMPANY STATE STREET BANK & TRUST CO. SUN LIFE ASSURANCE COMPANY 01 CANADA TIAA-CREF INVESTMENT MANAGEMENT, INC . THE TRAVELERS INVESTMENT MANAGEMENT CO. TREYNOR CAPITAL MANAGEMENT, INC. T. ROWE PRICE ASSOCIATES TRUST COMPANY OF THE WEST U.S. TRUST COMPANY OF NEW YORK THE VANGUARD GROUP VESTEK SYSTEMS WELLINGTON MANAGEMENT COMPANY WELLS FARGO NIKKO INVESTMENT ADVISORS WILSHIRE ASSOCIATES INCORPORATED WINDHAM CAPITAL MANAGEMENT XEROX CORPORATION YALE UNIVERSITY INVESTMENTS OFFICE YORK MANAGEMENT & RESEARCH, INC.

THE INSTITUTE FOR QUANTITATIVE RESEARCH IN FINANCE clo John F. Walsh, The Office of John F. Walsh - 230 Park Avenue - Suite 1550· New York, NY 10169