Conference in Memoriam of Jan Mossin on Asset Allocation,
Investments, and Asset Pricing, September 8-9, 2006
CONFERENCE IN MEMORIAM OF JAN MOSSIN
ASSET ALLOCATION, INVESTMENTS, AND ASSET PRICING
September 8-9, 2006,
Norwegian School of Economics and Business
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.
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.
(UCSB), Richard Roll (UCLA Anderson),
Bob Litterman (Goldman Sachs) and
Mark Anson (Hermes)
Kristian R. Miltersen, and
Kjell G. Nyborg
Travel (economy class round-trip) and accommodation expenses will be covered for
We also invite interested parties that are not presenting or discussing a paper
to attend the conference.
for further information. Alternatively, contact
Kristin Hjermann at the address
above for further information.
We have reserved a limited number of rooms at
Clarion Hotel Admiral
C.Sundtsgate 9, NO-5004 Bergen, Norway
fax: + 47 55
23 64 64, telephone: +47 55 23 64 00
to the special price NOK 770 per night.
||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
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
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 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.
Ph.D. Economics, Finance, Statistics, 1968, University of Chicago
MBA Business, 1963, University of Washington
B.A.E. Aeronautical Engineering, 1961, Auburn University
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 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 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
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.