Conference in Memoriam of Jan Mossin on Asset Allocation, Investments, and Asset Pricing, September 8-9, 2006

Institutt for foretaksøkonomi

 

INVITATION

 

CONFERENCE IN MEMORIAM OF JAN MOSSIN
ON
ASSET ALLOCATION, INVESTMENTS, AND ASSET PRICING


September 8-9, 2006,
Norwegian School of Economics and Business Administration (NHH)
Bergen, Norway.

 

Jan Mossin (1936–1987) made several important contributions to modern finance. Most important is his work on the CAPM in his Econometrica article from 1966: Equilibrium in a Capital Asset Market. Another important contribution, central to the topic of the conference, is his Journal of Business article on long term asset management also from 1966: Optimal Multiperiod Portfolio Policies. He has inspired and influenced both academic research and practitioners all over the world. Mossin earned his PhD from Carnegie Mellon University in 1966 and became professor at NHH in 1968. He was a leading person in building up NHH, where he served until his death.

With this conference, we would like to remember Jan Mossin and his work by bringing together academics and practitioners for an exchange of new ideas on asset allocation, investments, and asset pricing.

FORMAT
The conference will start at 1:00pm on September 8. The first day will be oriented towards practitioners, while the second day will be more academic.

KEYNOTE SPEAKERS
Finn Kydland (UCSB), Richard Roll (UCLA Anderson), Bob Litterman (Goldman Sachs) and Mark Anson (Hermes)

ORGANIZING COMMITTEE
Thore Johnsen, Kristian R. Miltersen, and Kjell G. Nyborg

PROGRAM

EXPENSES
Travel (economy class round-trip) and accommodation expenses will be covered for academic speakers.

CONFERENCE REGISTRATION
We also invite interested parties that are not presenting or discussing a paper to attend the conference.

Please see http://www.nhh.no/for/conferences/mossin-memoriam-06/index.htm
for further information. Alternatively, contact Kristin Hjermann at the address above for further information.

ACCOMODATION
We have reserved a limited number of rooms at Clarion Hotel Admiral
C.Sundtsgate 9, NO-5004 Bergen, Norway
e-mail: cl.admiral@choice.no
fax: + 47 55 23 64 64, telephone: +47 55 23 64 00
to the special price NOK 770 per night.


OUR SPEAKERS
 

    Finn Kydland
  Finn Kydland holds the Jeff Henley Chair in Economics at University of California Santa Barbera (UCSB). He is also an Adjunct Professor at NHH, and consults as a Research Associate at the Federal Reserve Banks of Dallas, Minneapolis and Cleveland.

Finn Kydland Kydland received the 2004 Nobel Prize in Economics, shared with Edward C. Prescott, "for their contributions to dynamic macroeconomics: the time consistency of economic policy and the driving forces behind business cycles". Kydland and Prescott’s work on modelling the business cycle developed ideas and methodologies which have been widely adopted in modern macroeconomics. Their research has also had important effects on governments’ policymaking, and has led to a move towards greater independence of the monetary authorities from the political process in a number of countries. An major part of this work was done at NHH, while Kydland was an associate professor, and Prescott was a visiting professor during the academic year 1975/76.

Before joining the UCSB in 2004, Kydland was a professor at Carnegie-Mellon University from 1978, and at NHH in 1975-78. Kydland earned a Siviløkonom degree from NHH in 1968, and a PhD in Economics from Carnegie Mellon in 1973. He received the Alexander Henderson Award for his doctoral dissertation. Finn Kydland is a fellow of the Econometric Society.

His main areas of teaching and interest are business cycles, monetary and fiscal policy and labor economics. Aside from work, he nurtures a deep interest in blues music, and also in keeping fit, by running marathons, playing soccer, and riding his Ducati motorcycle.
     
     
    Richard Roll
  Richard Roll holds the Japan Alumni Chair in Finance at UCLA Anderson. He is also a principal of the consulting firm, Compensation Valuation, Inc. Other business experience includes the Boeing Company where, in the early 1960's, he worked on the 727 and wrote the operating manual for the first stage booster of the Saturn moon rocket. During 1985-87, he was a vice-president of Goldman, Sachs & Co., where he founded and directed the mortgage securities research group. He has been a consultant for many corporations, law firms, and government agencies, and has served on several boards.

Prof. Roll was on the faculty at Carnegie-Mellon University, The European Institute for Advanced Study of Management in Brussels, and the French business school, Hautes Etudes Commerciales, near Paris. He joined the UCLA faculty in 1976.

He has published two books and more than seventy articles in technical journals. His 1968 doctoral thesis won the Irving Fisher Prize as the best American dissertation in economics. He has won the Graham and Dodd Award for financial writing three times and the Leo Melamed Award for the best financial research by an American business school professor. Prof. Roll is the past president of the American Finance Association and is a fellow of the Econometric Society. He has been an associate editor of eleven different journals in finance and economics.

Education
Ph.D. Economics, Finance, Statistics, 1968, University of Chicago
MBA Business, 1963, University of Washington
B.A.E. Aeronautical Engineering, 1961, Auburn University

Interests
Arbitrage pricing theory, asset pricing, bond markets, derivatives, efficient markets, securities, hedging strategies, index funds, investment theory, interest rates, mutual funds, portfolio management, SEC, stock market analysis, banking
     
     
    Bob Litterman
  Bob Litterman is director of Quantitative Resources at Goldman Sachs. In this role, he oversees Quantitative Investment Strategies and Global Investment Strategies. Quantitative Investment Strategies is a portfolio management business formerly known individually as the Quantitative Equities and Quantitative Strategies Groups, and Global Investment Strategies is an institutional investment research group. Dr. Litterman is the codeveloper, along with the late Fischer Black, of the Black-Litterman Global Asset Allocation Model, a key tool in the Investment Management Division’s asset allocation process. Prior to moving to the Investment Management Division, he was head of the firmwide Risk Department. Preceding his time in the Operations, Technology & Finance Division, he spent eight years in the Fixed Income Division's research department, where he was co-director. He became a partner in 1994.

Before joining the firm in 1986, Dr. Litterman was an assistant vice president in the Research Department of the Federal Reserve Bank of Minneapolis and an assistant professor in the Economics Department at the Massachusetts Institute of Technology. He earned a BS from Stanford University in 1973 and a PhD in Economics from the University of Minnesota in 1980.
     
     
    Mark Anson
  Mark Anson is the Chief Executive Officer of Hermes Pensions Management Ltd. in London. Hermes manages over £60 billion for pension funds and other institutional clients across the asset classes of international equity, emerging markets, global bonds, real estate, private equity, commodities and hedge funds. He is responsible for a staff of 300 and a budget of £60 million.

Mark was formerly the Chief Investment Officer for the California Public Employees’ Retirement System (CalPERS) where he oversaw the growth in assets from $127 billion to $201 billion. Mark earned a BS in economics and chemistry from St. Olaf College, Minnesota, a Law degree with honors from Northwestern University, and a PhD in finance from Columbia University Graduate School of Business. Mark has been honored with the Distinguished Scholar Award from the Institute of International Education and Fulbright Foundation as well as the 2004 Best Paper award from the Journal of Portfolio Management.

Mark is the author of the Handbook of Alternative Assets as well as three other financial textbooks and has published over 80 research articles on the topics of corporate governance, hedge funds, real estate, currency overlay, credit risk, private equity, risk management, and asset allocation. Mark sits on editorial and advisory boards for The Journal of Portfolio Management, The Journal of Alternative Investments, The Journal of Private Equity, The Journal of Investment Consulting, and The Journal of Derivatives Accounting.