The Bank of Canada - Rotman School of Management Workshop on Advances in Portfolio Management

NOTE: The papers listed here are reproduced as submitted by their respective authors, and do not necessarily reflect the opinions or policies of the Bank of Canada. Papers submitted by persons not in the employ of the Bank of Canada may be subject to the copyright policies of the submitters' organizations and/or countries, and therefore should not be reproduced in whole or in part without the permission of the author(s). Papers are presented in the language of the authors only.

"Optimal Asset Allocation in Asset Liability Management"

Jules H. van Binsbergen and Michael W. Brandt

"Dynamic Allocation Decisions in the Presence of Liability Constraints"

Lionel Martellini

"Implications of Sharpe Ratio as a Performance Measure in Multi-Period Settings"

Jaksa Cvitanic , Ali Lazrak, and Tan Wang

"Diversification in Illiquid Market"

Sergei Isaenko

"Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses"

Michael Gallmeyer, Sanjay Srivastava, and Stathis Tompaidis

"Portfolio Choice, Background Risk and University Endowment Funds"

Stephen G. Dimmock

"Investing in Disappearing Anomalies"

Christopher S. Jones and Lukasz Pomorski

"Why Mutual Funds "Underperform"

Vincent Glode

"Predictability of Interest Rates and Interest Rate Portfolios"

Turan Bali, Massoud Heidari, and Liuren Wu

"Mortgage Timing"

Ralph S.J. Koijen, Otto van Hemert, and Stijn Van Nieuwerburgh

"Higher-Moment Equity Risk and the Cross-Section of Hedge Fund Returns"

Vikas Agarwal, Gurdip Bakshi, and Joop Huij