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Citations of
Luis M. Viceira

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Dewachter, Hans & Iania, Leonardo, 2009. "An Extended Macro-Finance Model with Financial Factors," MPRA Paper 17634, University Library of Munich, Germany. [Downloadable!]
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  2. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Stefano Nobili & Gerardo Palazzo, 2008. "A beta based framework for (lower) bond risk premia," Temi di discussione (Economic working papers) 689, Bank of Italy, Economic Research Department. [Downloadable!]
    2. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," NBER Working Papers 15014, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    4. Joseph G. Haubrich & George Pennacchi & Peter Ritchken, 2008. "Estimating real and nominal term structures using treasury yields, inflation, inflation forecasts, and inflation swap rates," Working Paper 0810, Federal Reserve Bank of Cleveland. [Downloadable!]
    5. Jonathan H. Wright, 2008. "Term premiums and inflation uncertainty: empirical evidence from an international panel dataset," Finance and Economics Discussion Series 2008-25, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  3. Francisco J. Gomes & Laurence J. Kotlikoff & Luis M. Viceira, 2008. "Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds," NBER Working Papers 13966, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Juergen Jung, 2008. "The Timing of Redistribution," Caepr Working Papers 2008-015, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington. [Downloadable!]
    2. James B. Davies & Susanna Sandstrom & David Laidler & David Laidler, 2009. "The Level and Distribution of Global Household Wealth," University of Western Ontario, RBC Financial Group Economic Policy Research Institute Working Papers 20091, University of Western Ontario, RBC Financial Group Economic Policy Research Institute. [Downloadable!]
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  4. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Angelo Ranaldo & Paul Söderlind, 2007. "Safe Haven Currencies," University of St. Gallen Department of Economics working paper series 2007 2007-22, Department of Economics, University of St. Gallen. [Downloadable!]
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    2. Lane, Philip R. & Shambaugh, Jay C, 2007. "Financial Exchange Rates and International Currency Exposures," CEPR Discussion Papers 6473, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    3. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS. [Downloadable!]
    4. Gian Maria Milesi-Ferretti & Philip R. Lane, 2007. "Europe and Global Imbalances," IMF Working Papers 07/144, International Monetary Fund. [Downloadable!]
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    5. Tarek A. Hassan, 2009. "Country Size, Currency Unions, and International Asset Returns," Working Papers 154, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]

  5. Francisco Gomes & Laurence Kotlikoff & Luis Viceira, 2006. "The Excess Burden of Government Indecision," Working Papers wp123, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
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    Cited by:

    1. Siciliani, Luigi, 2007. "Paying for Performance with Altruistic or Motivated Providers," CEPR Discussion Papers 6452, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Alex Armstrong & Nick Draper & André Nibbelink & Ed Westerhout, 2007. "Fiscal Prefunding in Response to Demographic Uncertainty," CPB Discussion Papers 85, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]

  6. Jakub W. Jurek & Luis M. Viceira, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers 12017, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  7. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    2. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
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    3. Martín Gonzales-Eiras & Dirk Niepelt, 2007. "Population Ageing, Government Budgets, and Productivity Growth in Politico-Economic Equilibrium," Working Papers 07.05, Swiss National Bank, Study Center Gerzensee. [Downloadable!]
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    4. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank. [Downloadable!]
    5. Peter Vlaar, 2005. "Defined Benefit Pension Plans and Regulation," DNB Working Papers 063, Netherlands Central Bank, Research Department. [Downloadable!]
    6. Aleksandar Murdzhev & Marc Tomljanovich, 2006. "What Color is Alan Greenspan's Tie? How Central Bank Policy Announcements Have Changed Financial Markets," Eastern Economic Journal, Eastern Economic Association, vol. 32(4), pages 571-593, Fall. [Downloadable!]
    7. Martín Gonzalez-Eiras & Dirk Niepelt, 2005. "Sustaining Social Security," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    8. Marie Brière & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]

  8. John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003. "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers 9547, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129. [Downloadable!]
    2. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    4. Bernd Scherer, 2009. "A note on portfolio choice for sovereign wealth funds," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 315-327, September. [Downloadable!] (restricted)
    5. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany, revised 25 May 2009. [Downloadable!]
    6. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May. [Downloadable!] (restricted)
    8. Jaime A. Londo\~no, 2006. "State Dependent Utility," Quantitative Finance Papers math/0603316, arXiv.org. [Downloadable!]

  9. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Cited by:

    1. Nicola Carcano, 2007. "Country and currency diversification of bond investments: do they really make sense for Swiss investors?," Financial Markets and Portfolio Management, Springer, vol. 21(1), pages 95-120, March. [Downloadable!] (restricted)
    2. Philip R. Lane, 2005. "Global bond portfolios and EMU," Working Paper Series 553, European Central Bank. [Downloadable!]
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    3. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics. [Downloadable!]
    4. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
    5. De Nicolo, Gianni & Honohan, Patrick & Ize, Alain, 2003. "Dollarization of the banking system : good or bad?," Policy Research Working Paper Series 3116, The World Bank. [Downloadable!]
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    6. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  10. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    3. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Nataliya Barasinska & Dorothea Schäfer & Andreas Stephan, 2008. "Financial Risk Aversion and Household Asset Diversification," SOEPpapers 117, DIW Berlin, The German Socio-Economic Panel (SOEP). [Downloadable!]
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    5. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchel & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," Working Papers wp177, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    6. Hintermaier, Thomas & Steinberger, Thomas, 2002. "Occupational Choice and the Private Equity Premium Puzzle," Economics Series 122, Institute for Advanced Studies. [Downloadable!]
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    7. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
    8. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Scott E. Hein & Jeffrey M. Mercer, 2003. "Are TIPS really tax disadvantaged? Rethinking the tax treatment of U.S. Treasury Inflation Indexed Securities," Working Paper 2003-9, Federal Reserve Bank of Atlanta. [Downloadable!]
    10. Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    11. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January. [Downloadable!] (restricted)
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    12. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    13. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
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    14. Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.03, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
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    15. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    16. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO. [Downloadable!]
    17. Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    18. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    19. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "Solving General Equilibrium Models with Incomplete Markets and Many Assets," NBER Technical Working Papers 0318, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    20. Brunner, Gregory & Hinz, Richard & Rocha, Roberto, 2008. "Risk-based supervision of pension funds : a review of international experience and preliminary assessment of the first outcomes," Policy Research Working Paper Series 4491, The World Bank. [Downloadable!]
    21. Tom Engsted, 2009. "Statistical vs. Economic Significance in Economics and Econometrics: Further comments on McCloskey & Ziliak," CREATES Research Papers 2009-17, School of Economics and Management, University of Aarhus. [Downloadable!]
    22. Vladislav KArgin, 2004. "Optimal Convergence Trading," Finance 0401003, EconWPA. [Downloadable!]
    23. Alaeddine Faleh & Fr\'ed\'eric Planchet & Didier Rulli\`ere, 2009. "Les G\'en\'erateurs de Sc\'enarios \'Economiques : quelle utilisation en assurance?," Quantitative Finance Papers 0911.3472, arXiv.org. [Downloadable!]
    24. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany, revised 25 May 2009. [Downloadable!]
    25. Don Kim, 2008. "Challenges in macro-finance modeling," Finance and Economics Discussion Series 2008-06, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    26. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May. [Downloadable!] (restricted)
    27. Vladislav Kargin, 2003. "Optimal Convergence Trading," Quantitative Finance Papers math/0302104, arXiv.org, revised Aug 2003. [Downloadable!]
    28. Bec, Frédérique & Gollier, Christian, 2006. "Assets Returns Volatility and Investment Horizon: The French Case," IDEI Working Papers 467, Institut d'Économie Industrielle (IDEI), Toulouse, revised 30 Nov 2008. [Downloadable!]
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    29. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics. [Downloadable!]
    30. Don H. Kim, 2009. "Challenges in macro-finance modeling," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 519-544. [Downloadable!]
    31. Raimond Maurer & Olivia S. Mitchell & Ralph Rogalla, 2008. "Managing Contribution and Capital Market Risk in a Funded Public Defined Benefit Plan: Impact of CVaR Cost Constraints," NBER Working Papers 14332, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    32. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    33. Fabrice Herve, 2002. "La persistance de la performance des fonds de pension individuels britanniques : une étude empirique sur des fonds investis en actions et des fonds obligataires," Working Papers 2002-3, Laboratoire Orléanais de Gestion - université d'Orléans. [Downloadable!]
    34. Didier, Tatiana & Lowenkron, Alexandre, 2009. "The current account as a dynamic portfolio choice problem," Policy Research Working Paper Series 4861, The World Bank. [Downloadable!]
    35. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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    36. Campbell, John Y & Chacko, George & Rodriguez, Jorge & Viceira, Luis M, 2003. "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers 4160, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    37. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, School of Economics and Management, University of Aarhus. [Downloadable!]
    38. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Banco de España Occasional Papers 0705, Banco de España. [Downloadable!]
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    39. Julie Agnew & Pierluigi Balduzzi, 2004. "Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-14, Center for Retirement Research. [Downloadable!]
    40. Martin D. D. Evans & Viktoria Hnatkovska, 2005. "International Capital Flows, Returns and World Financial Integration," NBER Working Papers 11701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    41. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
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    42. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers 14701, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    43. Fabrice Hervé, 2003. "La persistance de la performance des fonds de pension individuels britanniques:une étude empirique sur des fonds investis en actions et des fonds obligataires," Revue Finance Contrôle Stratégie, Editions Economica, vol. 6(3), pages 41-77, September. [Downloadable!]
    44. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2006. "Optimal portfolio choice with annuitization," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    45. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    46. Viktoria Hnatkovska & Martin Evans, 2005. "International Capital Flows in a World of Greater Financial Integration," Computing in Economics and Finance 2005 419, Society for Computational Economics. [Downloadable!]
    47. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper 2008-02, Federal Reserve Bank of Atlanta. [Downloadable!]
    48. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    49. Francisco Peñaranda, 2004. "Are Vector Autoregressions And Accurate Model For Dynamic Asset Allocation?," Working Papers wp2004_0419, CEMFI. [Downloadable!]
    50. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  11. John Y. Campbell & Joao Cocco & Francisco Gomes & Pascal Maenhout & Luis Viceira, 2000. "Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," Harvard Institute of Economic Research Working Papers 1899, Harvard - Institute of Economic Research. [Downloadable!]
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    Cited by:

    1. Hugo Benítez-Silva, 2003. "Labor Supply Flexibility and Portfolio Choice: An Empirical Analysis," Working Papers wp056, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    2. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    3. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    4. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
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    5. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    6. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2003. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities versus Phased Withdrawal Plans," Working Papers wp063, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    7. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    8. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging, University of Mannheim. [Downloadable!]
    9. Haliassos, Michalis & Michaelides, Alexander, 2001. "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers 2822, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    10. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    11. Ivica Dus & Raimond Maurer & Olivia S. Mitchell, 2005. "Betting on Death and Capital Markets in Retirement: A Shortfall Risk Analysis of Life Annuities," NBER Working Papers 11271, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Graciela Sanromán, 2002. "A Discrete Choice Analysis of the Household Shares of Risky Assets," Documentos de Trabajo (working papers) 0702, Department of Economics - dECON. [Downloadable!]

  12. John Y. Campbell & Luis M. Viceira, 2000. "Who Should Buy Long-Term Bonds?," Harvard Institute of Economic Research Working Papers 1895, Harvard - Institute of Economic Research. [Downloadable!]
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    Published as:

    Cited by:

    1. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129. [Downloadable!]
    2. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    4. Joao Cocco & John Campbell, 2004. "Household Risk Management and Optimal Mortgage Choice," Econometric Society 2004 North American Winter Meetings 646, Econometric Society. [Downloadable!]
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    5. Reschreiter, Andreas, 2006. "Indexed Bonds and Revisions of Inflation Expectations," Economics Series 199, Institute for Advanced Studies. [Downloadable!]
    6. John Y. Campbell, 2006. "Household Finance," NBER Working Papers 12149, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    7. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany. [Downloadable!]
    8. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers 01-1, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
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    9. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series 2001:4, Uppsala University, Department of Economics. [Downloadable!]
    10. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series 192, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
    11. Michael Brennan & Ashley Wang & Yihong Xia, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management 1011, Anderson Graduate School of Management, UCLA. [Downloadable!]
    12. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche 0635, CIRPEE. [Downloadable!]
    13. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
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    14. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    15. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    16. Stefania D'Amico & Don H. Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series 2008-30, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    17. Michael Brennan & Yihong Xia, 2000. "Dynamic Asset Allocation under Inflation," University of California at Los Angeles, Anderson Graduate School of Management 1069, Anderson Graduate School of Management, UCLA. [Downloadable!]
    18. Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    20. Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    22. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 1999. "Investing Retirement Wealth: A Life-Cycle Model," NBER Working Papers 7029, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    24. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    25. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers 2001-6, Copenhagen Business School, Department of Finance. [Downloadable!]
    26. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    27. Huw Lloyd-Ellis & Shiqiang Zhang & Xiaodong Zhu, 2001. "Tax Smoothing with Stochastic Interest Rates: A Re-assessment of Clinton's Fiscal Legacy," Cahiers de recherche CREFE / CREFE Working Papers 125, CREFE, Université du Québec à Montréal. [Downloadable!]
      Other versions:
    28. Stefano Nobili & Gerardo Palazzo, 2008. "A beta based framework for (lower) bond risk premia," Temi di discussione (Economic working papers) 689, Bank of Italy, Economic Research Department. [Downloadable!]
    29. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    30. Bhamra, Harjoat S. & Uppal, Raman, 2005. "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers 5020, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    31. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," NBER Working Papers 7005, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    32. Frechette, Darren L. & Wen, Fang-I, 2002. "Risk Aversion, Uncertainty Aversion, And Variation Aversion In Applied Commodity Price Analysis," 2002 Conference, April 22-23, 2002, St. Louis, Missouri 19062, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management. [Downloadable!]
    33. Jun Liu & Francis Longstaff & Jun Pan, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management 1001, Anderson Graduate School of Management, UCLA. [Downloadable!]
    34. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    35. Don H. Kim & Athanasios Orphanides, 2005. "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series 2005-48, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    36. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis. [Downloadable!]
    37. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers flwp_49, Finance Lab, Ibmec São Paulo. [Downloadable!]
    38. Javier Gil-Bazo, 2001. "Optimal Demand For Long-Term Bonds When Returns Are Predictable," Business Economics Working Papers wb012308, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    39. Christian Gollier, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
      Other versions:
    40. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics. [Downloadable!]
    41. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings 304, Econometric Society. [Downloadable!]
      Other versions:
    42. Gollier, Christian, 2005. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 392, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
      Other versions:
    43. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers 2006-035, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    44. Massimo Guidolin & Allan Timmerman, 2005. "Term structure of risk under alternative econometric specifications," Working Papers 2005-001, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    45. Campbell, John Y & Chacko, George & Rodriguez, Jorge & Viceira, Luis M, 2003. "Strategic Asset Allocation in a Continuous Time VAR Model," CEPR Discussion Papers 4160, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    46. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    47. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a central bank perspective," Banco de España Occasional Papers 0705, Banco de España. [Downloadable!]
      Other versions:
    48. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers 10689, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    49. P. R. Lane, 2001. "The National Pensions Reserve Fund: Pitfalls and Opportunities," Trinity Economics Papers 20017, Trinity College Dublin, Department of Economics. [Downloadable!]
    50. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    51. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    52. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago. [Downloadable!]
    53. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    54. Huw Lloyd-Ellis & Xiaodong Zhu, 2000. "Fiscal Shocks and Fiscal Risk Management," Cahiers de recherche CREFE / CREFE Working Papers 108, CREFE, Université du Québec à Montréal. [Downloadable!]
      Other versions:
    55. Edward Schlee & Christian Gollier, . "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University. [Downloadable!]
      Other versions:
    56. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers 12609, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    57. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2006. "Optimal portfolio choice with annuitization," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    58. Stefania D'Amico & Don H Kim & Min Wei, 2008. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," BIS Working Papers 248, Bank for International Settlements. [Downloadable!]
    59. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper 2008-02, Federal Reserve Bank of Atlanta. [Downloadable!]
    60. Dong Fu, 2007. "Inflation expectations, real interest rate and risk premiums -- evidence from bond market and consumer survey data," Working Papers 0705, Federal Reserve Bank of Dallas. [Downloadable!]
    61. Huw Lloyd-Ellis & Xiaodong Zhu, 2004. "Using Financial Market Information to Enhance Canadian Fiscal Policy," Working Papers 1041, Queen's University, Department of Economics. [Downloadable!]
    62. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  13. George Chacko & Luis M. Viceira, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," NBER Working Papers 7377, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Sassan Alizadeh & Michael W. Brandt & Francis X. Diebold, 1999. "Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting Than You Think," Center for Financial Institutions Working Papers 00-28, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
    2. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Francesco, MENONCIN, 2003. "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2003015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    5. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers 9075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Francesco, MENONCIN, 2002. "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002033, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    7. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December. [Downloadable!]
      Other versions:
    8. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    9. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    10. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Doriana Ruffino & Jonathan Treussard, 2006. "Optimal Age-Based Portfolios with Stochastic Investment Opportunity Sets," Boston University - Department of Economics - Working Papers Series WP2006-041, Boston University - Department of Economics. [Downloadable!]
    12. John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003. "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers 9547, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Francesco Menoncin, 2006. "The role of longevity bonds in optimal portfolios," Working Papers 0601, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    14. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    15. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    16. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    17. Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2005. "Long-Run Cash-Flow and Discount-Rate Risks in the Cross-Section of US Returns," Finance 0505009, EconWPA, revised 17 Jan 2006. [Downloadable!]
      Other versions:
    18. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    19. Bhamra, Harjoat S. & Uppal, Raman, 2005. "The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility," CEPR Discussion Papers 5020, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    20. Jun Liu & Francis Longstaff & Jun Pan, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management 1001, Anderson Graduate School of Management, UCLA. [Downloadable!]
    21. Christian Gollier, 2005. "Optimal Portfolio Management for Individual Pension Plans," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    22. Christian Gollier, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
      Other versions:
    23. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics. [Downloadable!]
    24. Gollier, Christian, 2005. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 392, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
      Other versions:
    25. Francesco, MENONCIN, 2002. "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2002034, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    26. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    27. Didier, Tatiana & Lowenkron, Alexandre, 2009. "The current account as a dynamic portfolio choice problem," Policy Research Working Paper Series 4861, The World Bank. [Downloadable!]
    28. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    29. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
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    30. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen. [Downloadable!]
    31. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    32. Francisco Peñaranda, 2004. "Are Vector Autoregressions And Accurate Model For Dynamic Asset Allocation?," Working Papers wp2004_0419, CEMFI. [Downloadable!]
    33. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2004. "The Cross-Section of Volatility and Expected Returns," NBER Working Papers 10852, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    34. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  14. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129. [Downloadable!]
    2. Nicholas S. Souleles, . "Household Securities Purchases, Transactions Costs, and Hedging Motives," Rodney L. White Center for Financial Research Working Papers 24-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    3. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Raffaele Miniaci & Sergio Pastorello, 2008. "Mean-Variance Econometric Analysis of Household Portfolios," Working Papers 0807, University of Brescia, Department of Economics. [Downloadable!]
    5. Francisco Gomes & Alexander Michaelides, 2003. "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(4), pages 729-766, October. [Downloadable!] (restricted)
      Other versions:
    6. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Alessandro Bucciol, 2006. "The Roles of Temptation and Social Security in Explaining Individual Behavior," "Marco Fanno" Working Papers 0032, Dipartimento di Scienze Economiche "Marco Fanno". [Downloadable!]
    8. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series 2001:4, Uppsala University, Department of Economics. [Downloadable!]
    9. Kingston, Geoffrey, 2004. "Superannuation: A Guide to the Field for Australian Economists," Economic Analysis and Policy (EAP), Queensland University of Technology (QUT), School of Economics and Finance, vol. 34(2), pages 203-26, September. [Downloadable!]
    10. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    11. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: An Evaluation," Cowles Foundation Discussion Papers 1504, Cowles Foundation, Yale University. [Downloadable!]
    12. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    13. Thomas Post & Helmut Gründl & Joan Schmit & Anja Zimmer, 2008. "The Impact of Individual Investment Behavior for Retirement Welfare: Evidence from the United States and Germany," SFB 649 Discussion Papers SFB649DP2008-037, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
    14. Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006. [Downloadable!]
      Other versions:
    15. Jeffrey Wenger & Christian E. Weller, 2008. "The Interplay between Labor and Financial Markets: What are the Implications for Defined Contribution Accounts?," Working Papers wp162, Political Economy Research Institute, University of Massachusetts at Amherst. [Downloadable!]
    16. John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    17. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 1999. "Investing Retirement Wealth: A Life-Cycle Model," NBER Working Papers 7029, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    18. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    19. DEGEORGE, François & JENTER, Dirk & MOEL, Alberto & TUFANO, Peter, 2000. "Selling company shares to reluctant employees : France Télécom's experience," Les Cahiers de Recherche 703, HEC Paris. [Downloadable!]
      Other versions:
    20. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    22. Steven J. Davis & Paul Willen, 2000. "Occupation-Level Income Shocks and Asset Returns: Their Covariance and Implications for Portfolio Choice," NBER Working Papers 7905, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    23. Robert J. Shiller, 2005. "The Life-Cycle Personal Accounts Proposal for Social Security: A Review," NBER Working Papers 11300, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Raven E. Saks & Stephen H. Shore, 2005. "Risk and Career Choice," The B.E. Journal of Economic Analysis & Policy, Berkeley Electronic Press, vol. 0(1). [Downloadable!]
    25. John Y. Campbell & Joao F. Cocco, 2002. "Household Risk Management and Optimal Mortgage Choice," Harvard Institute of Economic Research Working Papers 1946, Harvard - Institute of Economic Research. [Downloadable!]
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    26. Miquel Faig & Pauline Shum, 2006. "What Explains Household Stock Holdings?," Working Papers tecipa-218, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    27. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging, University of Mannheim. [Downloadable!]
    28. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
    29. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    30. Luc Arrondel & Stefan Lollivier, 2004. "Transaction costs, Income Risk and Household Portfolio Allocation: Evidence from French Panel Data," DELTA Working Papers 2004-19, DELTA (Ecole normale supérieure). [Downloadable!]
    31. Christiansen, Charlotte & Joensen, Juanna Schröter & Rangvid, Jesper, 2005. "Do More Economists Hold Stocks?," Finance Research Group Working Papers F-2005-02, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
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    32. Jaime Ruiz-Tagle, 2006. "Financial Markets Incompleteness and Inequality Over the Life-Cycle," Working Papers Central Bank of Chile 405, Central Bank of Chile. [Downloadable!]
    33. Jan Bonenkamp & Martijn van de Ven, 2006. "A small stochastic model of a pension fund with endogenous saving," CPB Memoranda 168, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    34. Gene Amromin, 2005. "Precautionary savings motives and tax efficiency of household portfolios: an empirical analysis," Finance and Economics Discussion Series 2005-01, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    35. Luc Arrondel & Hector Calvo-Pardo, 2002. "Portfolio Choice with a Correlated Background Risk : Theory and Evidence," DELTA Working Papers 2002-16, DELTA (Ecole normale supérieure). [Downloadable!]
    36. Eduardo Walker, 2004. "Portafolios ÓPtimos Para Los Nuevos Sistemas De Pensiones De Paãses Emergentes," Econometric Society 2004 Latin American Meetings 234, Econometric Society. [Downloadable!]
    37. Haliassos, Michalis & Michaelides, Alexander, 2001. "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers 2822, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    38. Koeniger, Winfried, 2001. "Labor and Financial Market Interactions: The Case of Labor Income Risk and Car Insurance in the UK 1969-95," IZA Discussion Papers 240, Institute for the Study of Labor (IZA). [Downloadable!]
    39. Gene Amromin & Steven A. Sharpe, 2005. "From the horse's mouth: gauging conditional expected stock returns from investor surveys," Finance and Economics Discussion Series 2005-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    40. P. R. Lane, 2001. "The National Pensions Reserve Fund: Pitfalls and Opportunities," Trinity Economics Papers 20017, Trinity College Dublin, Department of Economics. [Downloadable!]
    41. Julie Agnew & Pierluigi Balduzzi, 2004. "Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-14, Center for Retirement Research. [Downloadable!]
    42. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago. [Downloadable!]
    43. Eduardo S. Schwartz & Claudio Tebaldi, 2006. "Illiquid Assets and Optimal Portfolio Choice," NBER Working Papers 12633, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    44. Yulei Luo, 2006. "Rational Inattention, Portfolio Choice, and the Equity Premium," Computing in Economics and Finance 2006 56, Society for Computational Economics. [Downloadable!]
    45. Luc Arrondel & André Masson, 2002. "Stockholding in France," DELTA Working Papers 2002-09, DELTA (Ecole normale supérieure). [Downloadable!]
    46. James Feigenbaum & Geng Li, 2008. "A Nonparametric Characterization of Income Uncertainty over the Lifecycle," Working Papers 359, University of Pittsburgh, Department of Economics, revised Jul 2008. [Downloadable!]
    47. Graciela Sanromán, 2002. "A Discrete Choice Analysis of the Household Shares of Risky Assets," Documentos de Trabajo (working papers) 0702, Department of Economics - dECON. [Downloadable!]
    48. Borja Larrain, 2005. "The stock market and cross country differences in relative prices," Working Papers 05-6, Federal Reserve Bank of Boston. [Downloadable!]
    49. Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2007. "Are Economists More Likely to Hold Stocks?," CREATES Research Papers 2007-08, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    50. Steven J. Davis & Felix Kubler & Paul Willen, 2005. "Borrowing costs and the demand for equity over the life cycle," Working Papers 05-7, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    51. Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    52. Klos, Alexander & Weber, Martin, 2004. "Portfolio Choice in the Presence of Nontradeable Income: An Experimental Analysis," Sonderforschungsbereich 504 Publications 04-01, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    53. Trond Døskeland, 2007. "Strategic asset allocation for a country: the Norwegian case," Financial Markets and Portfolio Management, Springer, vol. 21(2), pages 167-201, June. [Downloadable!] (restricted)
    54. Wolfram J. Horneff & Raimond H. Maurer & Olivia S. Mitchell & Michael Z. Stamos, 2008. "Asset Allocation and Location over the Life Cycle with Survival-Contingent Payouts," NBER Working Papers 14055, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    55. Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Sonderforschungsbereich 504 Publications 02-49, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.

  15. John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
    Other versions:
    Published as:

    Cited by:

    1. François Ortalo-Magné & Matteo Iacoviello, . "Hedging Housing Risk in London," Wisconsin-Madison CULER working papers 02-03, University of Wisconsin Center for Urban Land Economic Research. [Downloadable!]
      Other versions:
    2. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Jurek, Jakub W & Viceira, Luis M, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," CEPR Discussion Papers 5773, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Giorgio Santis & Bruno Gerard & Pierre Hillion, 1999. "International Portfolio Management, Currency Risk and the Euro," University of California at Los Angeles, Anderson Graduate School of Management 1095, Anderson Graduate School of Management, UCLA. [Downloadable!]
    7. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers 2008-005, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. Doron Avramov, . "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    9. Kogan, Leonid & Uppal, Raman, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    10. Alexandros Kostakis, 2007. "Mind Coskewness: A Performance Measure for Prudent, Long-Term Investors," Discussion Papers 07/07, Department of Economics, University of York. [Downloadable!]
    11. Fabio Panetta & Roberto Violi, 1999. "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers) 353, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    12. John Y. Campbell, 2006. "Household Finance," NBER Working Papers 12149, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    13. Francesco Menoncin, 2005. "Risk management and asset allocation with jump-diffusion exogenous risks: Some algebraic approximated solutions," European Journal of Finance, Taylor and Francis Journals, vol. 11(3), pages 223-246, June. [Downloadable!] (restricted)
    14. Lorenzo Garlappi & Georgios Skoulakis, 2009. "Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration using Taylor Approximation," Computational Economics, Springer, vol. 33(2), pages 193-207, March. [Downloadable!] (restricted)
    15. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series 2001:4, Uppsala University, Department of Economics. [Downloadable!]
    16. Jack Ochs & Li Qi, 2006. "Information Use and Transference," Working Papers 236, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
    17. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
    19. John Y. Campbell & Tuomo Vuolteenaho, 2004. "Bad Beta, Good Beta," American Economic Review, American Economic Association, vol. 94(5), pages 1249-1275, December. [Downloadable!]
      Other versions:
    20. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers 2005-002, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    21. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers wp146, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    22. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    23. Gollier, Christian, 2007. "Assets Relative Risk for Long-term Investors," IDEI Working Papers 466, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    24. Michel Normandin & Pascal St-Amour, 2005. "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.03, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
      Other versions:
    25. Bradley S. Paye & Allan Timmermann, 2002. "How stable are Financial Prediction Models? Evidence from US and International Stock Market Data," University of California at San Diego, Economics Working Paper Series 2002-13, Department of Economics, UC San Diego. [Downloadable!]
    26. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2006. "Investing for the long-run in European real estate," Working Papers 2006-028, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    27. Claudio Campanale, 2008. "Life-Cycle Portfolio Choice: The Role of Heterogeneity and Under-diversification," Working Papers. Serie AD 2008-06, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    28. F. DePenya & L. Gil-Alana, 2006. "Testing of nonstationary cycles in financial time series data," Review of Quantitative Finance and Accounting, Springer, vol. 27(1), pages 47-65, August. [Downloadable!] (restricted)
      Other versions:
    29. Spyros Skouras, 2001. "Decisionmetrics: A Decision-Based Approach to Econometric Modeling," Working Papers 01-11-064, Santa Fe Institute.
      Other versions:
    30. John Y. Campbell & George Chacko & Jorge Rodriguez & Luis M. Viciera, 2003. "Strategic Asset Allocation in a Continuous-Time VAR Model," NBER Working Papers 9547, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    31. John Y. Campbell & Luis M. Viceira, 1998. "Who Should Buy Long-Term Bonds?," NBER Working Papers 6801, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    32. Marco Aiolfi & Carlo Ambrogio Favero, . "Model Uncertainty, Thick Modelling and the predictability of Stock Returns," Working Papers 221, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    33. Henning Bohn, 1999. "Should the Social Security Trust Fund Hold Equities," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 2(3), pages 666-697, July. [Downloadable!] (restricted)
      Other versions:
    34. Andrew Ang & Geert Bekaert & Jun Liu, 2000. "Why Stocks May Disappoint," NBER Working Papers 7783, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    35. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers 10086, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    36. Ravi Bansal & Magnus Dahlquist & Campbell R. Harvey, 2004. "Dynamic Trading Strategies and Portfolio Choice," NBER Working Papers 10820, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    37. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 1999. "Investing Retirement Wealth: A Life-Cycle Model," NBER Working Papers 7029, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    38. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    39. Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    40. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    41. Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    42. Gianluca Cassesse & Massimo Guidolin, 2005. "Modelling the MIB30 implied volatility surface. Does market efficiency matter?," Working Papers 2005-008, Federal Reserve Bank of St. Louis. [Downloadable!]
    43. A.B. Berkelaar & R. Kouwenberg, 1999. "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Report 181, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    44. A. Berkelaar & R. Kouwenberg, 2000. "Optimal portfolio choice under loss aversion," Econometric Institute Report 187, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    45. A.B. Berkelaar & R.R.P. Kouwenberg, 2000. "Dynamic asset allocation and downside-risk aversion," Econometric Institute Report 190, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
    46. Jondeau, E. & Rockinger, M., 2004. "Optimal Portfolio Allocation Under Higher Moments," Documents de Travail 108, Banque de France. [Downloadable!]
    47. Jun Liu & Francis Longstaff & Jun Pan, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management 1001, Anderson Graduate School of Management, UCLA. [Downloadable!]
    48. Vladislav KArgin, 2004. "Optimal Convergence Trading," Finance 0401003, EconWPA. [Downloadable!]
    49. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    50. Thorsten Hens & Peter Wöhrmann, 2007. "Strategic asset allocation and market timing: a reinforcement learning approach," Computational Economics, Springer, vol. 29(3), pages 369-381, May. [Downloadable!] (restricted)
    51. Ferstl, Robert & Weissensteiner, Alex, 2009. "Asset-Liability Management under time-varying Investment Opportunities," MPRA Paper 15068, University Library of Munich, Germany, revised 25 May 2009. [Downloadable!]
    52. Leonid Kogan & Raman Uppal, . "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," Rodney L. White Center for Financial Research Working Papers 13-00, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    53. Shu-Hsien Chen & Ming-Shu Hua & Richard Stuetz, 2006. "Domestic portfolio choice amid political instability," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(1), pages 37-41, January. [Downloadable!] (restricted)
    54. Mathias Sommer, 2005. "Trends in German households’ portfolio behavior - assessing the importance of age- and cohort-effects," MEA discussion paper series 05082, Mannheim Research Institute for the Economics of Aging, University of Mannheim. [Downloadable!]
    55. Christian Gollier, 2005. "Optimal Portfolio Management for Individual Pension Plans," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    56. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    57. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers 2005-006, Federal Reserve Bank of St. Louis. [Downloadable!]
    58. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May. [Downloadable!] (restricted)
    59. Javier Gil-Bazo, 2001. "Optimal Demand For Long-Term Bonds When Returns Are Predictable," Business Economics Working Papers wb012308, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    60. Granger, C.W.J. & Pesaran, M. H., 1999. "Economic and Statistical Measures of Forecast Accuracy," Cambridge Working Papers in Economics 9910, Faculty of Economics, University of Cambridge. [Downloadable!]
    61. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    62. Massimo Guidolin & Giovanna Nicodano, 2007. "Managing international portfolios with small capitalization stocks," Working Papers 2007-030, Federal Reserve Bank of St. Louis. [Downloadable!]
    63. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics. [Downloadable!]
    64. Angelos Kanas, 2009. "The relation between the equity risk premium and the bond maturity premium in the UK: 1900–2006," Journal of Economics and Finance, Springer, vol. 33(2), pages 111-127, April. [Downloadable!] (restricted)
    65. Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
    66. Gollier, Christian, 2005. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 392, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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    67. Albrecht, Peter & Kantar, Cemil, 2003. "Random Walk oder Mean Reversion? Eine statistische Analyse des Kurs/Gewinn-Verhältnisses für den deutschen Aktienmarkt," Sonderforschungsbereich 504 Publications 03-31, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    68. John Y. Campbell & Luis Viceira, 2005. "The Term Structure of the Risk-Return Tradeoff," NBER Working Papers 11119, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    69. Massimo Guidolin & Sadayuki Ono, 2005. "Are the dynamic linkages between the macroeconomy and asset prices time-varying?," Working Papers 2005-056, Federal Reserve Bank of St. Louis. [Downloadable!]
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    70. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco. [Downloadable!]
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    71. Anthony W. Lynch, 2000. "Portfolio Choice and Equity Characteristics: Characterizing the Hedging Demands Induced by Return Predictability," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-073, New York University, Leonard N. Stern School of Business-. [Downloadable!]
    72. David Rey, 2005. "Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market," Financial Markets and Portfolio Management, Springer, vol. 19(3), pages 239-260, October. [Downloadable!] (restricted)
    73. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    74. Peter N Smith & Michael R Wickens, . "Asset Pricing with Observable Stochastic Discount Factors," Discussion Papers 02/03, Department of Economics, University of York. [Downloadable!]
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    75. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers 2006-029, Federal Reserve Bank of St. Louis. [Downloadable!]
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    76. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers 2009-001, Federal Reserve Bank of St. Louis. [Downloadable!]
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    77. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," Working Paper 2005-13, Federal Reserve Bank of Atlanta. [Downloadable!]
    78. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, School of Economics and Management, University of Aarhus. [Downloadable!]
    79. David McCarthy, 2003. "A Lifecycle Analysis of Defined Benefit Pension Plans," Working Papers wp053, University of Michigan, Michigan Retirement Research Center. [Downloadable!]
    80. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    81. Julie Agnew & Pierluigi Balduzzi, 2004. "Large, Small, International: Equity Portfolio Choices In A Large 401(k) Plan," Working Papers, Center for Retirement Research at Boston College 2004-14, Center for Retirement Research. [Downloadable!]
    82. Michael W. Brandt & Pedro Santa-Clara, 2004. "Dynamic Portfolio Selection by Augmenting the Asset Space," NBER Working Papers 10372, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    83. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
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    84. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
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    85. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago. [Downloadable!]
    86. Yihong Xia, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management 1057, Anderson Graduate School of Management, UCLA. [Downloadable!]
    87. Francesco MENONCIN, 2001. "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) 2001035, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES). [Downloadable!]
    88. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers 7409, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    89. Edward Schlee & Christian Gollier, . "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University. [Downloadable!]
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    90. Koijen, Ralph S.J. & Nijman, Theo E. & Werker, Bas J.M., 2006. "Optimal portfolio choice with annuitization," Discussion Paper 78, Tilburg University, Center for Economic Research. [Downloadable!]
    91. ROCKINGER, Michael & JONDEAU, Eric, 2001. "Portfolio allocation in transition economies," Les Cahiers de Recherche 740, HEC Paris. [Downloadable!]
    92. Stephen E. Satchell & Shaun A. Bond, 2004. "Asymmetry, Loss Aversion and Forecasting," Econometric Society 2004 Australasian Meetings 160, Econometric Society. [Downloadable!]
    93. Soosung Hwang & Steve Satchell, 2005. "Valuing information using utility functions: how much should we pay for linear factor models?," European Journal of Finance, Taylor and Francis Journals, vol. 11(1), pages 1-16, February. [Downloadable!] (restricted)
    94. Farah, N. & Satchell, S.E., 2003. "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics 0333, Faculty of Economics, University of Cambridge. [Downloadable!]
    95. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers 12144, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    96. Rossen Valkanov, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management 1104, Anderson Graduate School of Management, UCLA. [Downloadable!]
    97. Christian E. Weller & Jeffrey Wenger, 2008. "Prudent Investors: The Asset Allocation of Public Pension Plans," Working Papers wp175, Political Economy Research Institute, University of Massachusetts at Amherst. [Downloadable!]
    98. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    99. Andrew Ang & Jun Liu, 2003. "How to Discount Cashflows with Time-Varying Expected Returns," NBER Working Papers 10042, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    100. Klos, Alexander & Langer, Thomas & Weber, Martin, 2002. "Über kurz oder lang - Welche Rolle spielt der Anlagehorizont bei Investitionsentscheidungen?," Sonderforschungsbereich 504 Publications 02-49, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim.

Articles

  1. Francisco J. Gomes & Laurence J. Kotlikoff & Luis M. Viceira, 2008. "Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds," American Economic Review, American Economic Association, vol. 98(2), pages 297-303, May. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  2. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 18(4), pages 1369-1402. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Campbell, John Y. & Chacko, George & Rodriguez, Jorge & Viceira, Luis M., 2004. "Strategic asset allocation in a continuous-time VAR model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(11), pages 2195-2214, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  4. Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80, January. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  5. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2003. "Foreign Currency for Long-Term Investors," Economic Journal, Royal Economic Society, vol. 113(486), pages C1-C25, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  6. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 259-292. [Downloadable!] (restricted)

    Cited by:

    1. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations," Stan Hurn Discussion Papers 2006, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    2. Chacko, George & Viceira, Luis M, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," CEPR Discussion Papers 4913, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. Hao Zhou, 2001. "Jump-diffusion term structure and Ito conditional moment generator," Finance and Economics Discussion Series 2001-28, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    4. Paola Zerilli, 2005. "Option pricing and spikes in volatility: theoretical and empirical analysis," Money Macro and Finance (MMF) Research Group Conference 2005 76, Money Macro and Finance Research Group. [Downloadable!]
    5. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2," NCER Working Paper Series 2, National Centre for Econometric Research. [Downloadable!]
    6. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
      Other versions:
    7. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    8. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002. [Downloadable!]
      Other versions:
    9. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "There is a Risk-Return Tradeoff After All," NBER Working Papers 10913, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Federico M. Bandi & Peter C.B. Phillips, 2005. "A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions," Cowles Foundation Discussion Papers 1522, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    11. In Kim & In-Seok Baek & Jaesun Noh & Sol Kim, 2007. "The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics," Review of Quantitative Finance and Accounting, Springer, vol. 29(1), pages 69-110, July. [Downloadable!] (restricted)
    12. Ait-Sahalia, Yacine & Kimmel, Robert L., 2008. "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions," Working Paper Series 2008-19, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
      Other versions:
    13. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    14. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO. [Downloadable!]
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    15. Jie Zhu, 2009. "Pricing volatility of stock returns with volatile and persistent components," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 243-269, September. [Downloadable!] (restricted)
    16. Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO. [Downloadable!]
    18. Jie Zhu, 2008. "Pricing Volatility of Stock Returns with Volatile and Persistent Components," CREATES Research Papers 2008-14, School of Economics and Management, University of Aarhus. [Downloadable!]
    19. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    20. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series 0603, Arab Planning Institute - Kuwait, Information Center. [Downloadable!]
    21. René Garcia & Eric Ghysels & Éric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO. [Downloadable!]
    22. John Matovu, 2007. "Volatility and Jump Risk Premia in Emerging Market Bonds," IMF Working Papers 07/172, International Monetary Fund. [Downloadable!]
    23. Peter Christoffersen & Kris Jacobs & Karim Mimouni, 2007. "Models for S&P500 Dynamics: Evidence from Realized Volatility, Daily Returns, and Option Prices," CREATES Research Papers 2007-37, School of Economics and Management, University of Aarhus. [Downloadable!]
    24. Hao Zhou, 2003. "Itô conditional moment generator and the estimation of short rate processes," Finance and Economics Discussion Series 2003-32, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    25. Torben G. Andersen & Luca Benzoni & Jesper Lund, 2001. "An Empirical Investigation of Continuous-Time Equity Return Models," NBER Working Papers 8510, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    26. Li, Minqiang, 2008. "A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation," MPRA Paper 11185, University Library of Munich, Germany. [Downloadable!]
    27. Michael Sørensen & Julie Lyng Forman, 2007. "The Pearson diffusions: A class of statistically tractable diffusion processes," CREATES Research Papers 2007-28, School of Economics and Management, University of Aarhus. [Downloadable!]
    28. Tim Bollerslev & Hao Zhou, 2001. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Finance and Economics Discussion Series 2001-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    29. Jaime A. Londoño, 2003. "Parametric Estimation Of Diffusion Processes Sampled At First Exit Time," Econometrics 0305002, EconWPA, revised 16 Feb 2004. [Downloadable!]
    30. Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    31. Yacine Ait-Sahalia & Robert Kimmel, 2004. "Maximum Likelihood Estimation of Stochastic Volatility Models," NBER Working Papers 10579, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    32. Paola Zerilli, 2007. "Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis," Discussion Papers 07/08, Department of Economics, University of York. [Downloadable!]
    33. Stan Hurn & J.Jeisman & K.A. Lindsay, 2006. "Teaching an old dog new tricks: Improved estimation of the parameters of SDEs by numerical solution of the Fokker-Planck equation," Stan Hurn Discussion Papers 2006-01, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    34. Peter Carr & Jian Sun, 2007. "A new approach for option pricing under stochastic volatility," Review of Derivatives Research, Springer, vol. 10(2), pages 87-150, May. [Downloadable!] (restricted)
    35. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai & Yintian Wang, 2008. "Option Valuation with Long-run and Short-run Volatility Components," CREATES Research Papers 2008-11, School of Economics and Management, University of Aarhus. [Downloadable!]
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    36. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 1999. "A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation," CIRANO Working Papers 99s-48, CIRANO. [Downloadable!]
    37. Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen, 2002. "Alternative Models for Stock Price Dynamics," CIRANO Working Papers 2002s-58, CIRANO. [Downloadable!]
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    38. Noureddine Krichene, 2007. "Recent Dynamics of Crude Oil Prices," IMF Working Papers 06/299, International Monetary Fund. [Downloadable!]

  7. Luis M. Viceira, 2001. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, vol. 56(2), pages 433-470, 04. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. John Y. Campbell & Luis M. Viceira, 2001. "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, vol. 91(1), pages 99-127, March. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  9. John Y. Campbell & Luis M. Viceira, 1999. "Consumption And Portfolio Decisions When Expected Returns Are Time Varying," The Quarterly Journal of Economics, MIT Press, vol. 114(2), pages 433-495, May. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

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