This file is part of IDEAS , which uses RePEc data
[ Papers |
Articles |
Software |
Books |
Chapters |
Authors |
Institutions |
JEL Classification |
NEP reports |
Search |
New papers by email |
Author registration |
Rankings |
Volunteers |
FAQ |
Blog |
Help! ]
Optimal Value and Growth Tilts in Long-Horizon Portfolios Author info | Abstract | Publisher info | Download info | Related research | Statistics Jurek, Jakub W
Viceira, Luis M
Additional information is available for the following
registered author(s):
No abstract is available for
this item.
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page . Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number
5773.
Download reference. The following formats are available: HTML
(with abstract ),
plain text
(with abstract ),
BibTeX ,
RIS (EndNote, RefMan, ProCite),
ReDIF
Length:
Date of creation: Jul 2006Date of revision:
Handle: RePEc:cpr:ceprdp:5773Contact details of provider: Postal: Centre for Economic Policy Research, 53--56 Great Sutton Street, London EC1V 0DG Phone: 44 - 20 - 7183 8801 Fax: 44 - 20 - 7183 8820
Order Information: Email:
For technical questions regarding this item, or to correct its listing, contact: ().
Keywords: growth investing ; intertemporal hedging ; portfolio choice ; risk and value ; Other versions of this item:
Find related papers by JEL classification: G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
This paper has been announced in the following NEP Reports :
References listed on IDEAS 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.: Fama, Eugene F. & Schwert, G. William, 1977.
"Asset returns and inflation ,"
Journal of Financial Economics ,
Elsevier, vol. 5(2), pages 115-146, November.
[Downloadable!] (restricted)
Brennan, Michael J. & Schwartz, Eduardo S. & Lagnado, Ronald, 1997.
"Strategic asset allocation ,"
Journal of Economic Dynamics and Control ,
Elsevier, vol. 21(8-9), pages 1377-1403, June.
[Downloadable!] (restricted)
Fama, Eugene F & French, Kenneth R, 1992.
" The Cross-Section of Expected Stock Returns ,"
Journal of Finance ,
American Finance Association, vol. 47(2), pages 427-65, June.
[Downloadable!] (restricted)
Merton, Robert C, 1973.
"An Intertemporal Capital Asset Pricing Model ,"
Econometrica ,
Econometric Society, vol. 41(5), pages 867-87, September.
[Downloadable!] (restricted)
Yihong Xia, 2001.
"Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation ,"
Journal of Finance ,
American Finance Association, vol. 56(1), pages 205-246, 02.
[Downloadable!] (restricted)
Campbell, John Y., 1987.
"Stock returns and the term structure ,"
Journal of Financial Economics ,
Elsevier, vol. 18(2), pages 373-399, June.
[Downloadable!] (restricted)
Other versions: Michael J. Brennan & Ashley W. Wang & Yihong Xia, 2004.
"Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing ,"
Journal of Finance ,
American Finance Association, vol. 59(4), pages 1743-1776, 08.
[Downloadable!] (restricted)
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:
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) 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) John Y. Campbell & Robert J. Shiller, 1989.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors ,"
NBER Working Papers
2100, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Robert J. Shiller & John Y. Campbell, 1986.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors ,"
Cowles Foundation Discussion Papers
812, Cowles Foundation, Yale University.
[Downloadable!] John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 1(3), pages 195-228.
[Downloadable!] (restricted) 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: Canner, Niko & Mankiw, N Gregory & Weil, David N, 1997.
"An Asset Allocation Puzzle ,"
American Economic Review ,
American Economic Association, vol. 87(1), pages 181-91, March.
[Downloadable!] (restricted)
Other versions: Balduzzi, Pierluigi & Lynch, Anthony W., 1999.
"Transaction costs and predictability: some utility cost calculations ,"
Journal of Financial Economics ,
Elsevier, vol. 52(1), pages 47-78, April.
[Downloadable!] (restricted)
John Y. Campbell & Samuel B. Thompson, 2005.
"Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? ,"
Harvard Institute of Economic Research Working Papers
2084, Harvard - Institute of Economic Research.
[Downloadable!]
Other versions: John Y. Campbell & Robert J. Shiller, 1996.
"A Scorecard for Indexed Government Data ,"
Harvard Institute of Economic Research Working Papers
1758, Harvard - Institute of Economic Research.
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:
George CHACKO & Luis M. VICEIRA, 1999.
"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets ,"
FAME Research Paper Series
rp11, International Center for Financial Asset Management and Engineering.
[Downloadable!] 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) 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) John Y. Campbell & Motohiro Yogo, 2003.
"Efficient Tests of Stock Return Predictability ,"
NBER Working Papers
10026, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
John Y. Campbell & Motohiro Yogo, 2002.
"Efficient Tests of Stock Return Predictability ,"
Harvard Institute of Economic Research Working Papers
1972, Harvard - Institute of Economic Research.
[Downloadable!] Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability ,"
Journal of Financial Economics ,
Elsevier, vol. 81(1), pages 27-60, July.
[Downloadable!] (restricted) 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:
John Y. CAMPBELL & Luis VICEIRA, 1998.
"Who Should Buy Long-Term Bonds? ,"
FAME Research Paper Series
rp5, International Center for Financial Asset Management and Engineering.
[Downloadable!] 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!] 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) Hodrick, Robert J, 1992.
"Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 5(3), pages 357-86.
[Downloadable!] (restricted)
Wachter, Jessica A., 2002.
"Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets ,"
Journal of Financial and Quantitative Analysis ,
Cambridge University Press, vol. 37(01), pages 63-91, March.
[Downloadable!]
Robert J. Shiller & John Y. Campbell & Kermit L. Schoenholtz, 1983.
"Forward Rates and Future Policy: Interpreting the Term Structure of Interest Rates ,"
Cowles Foundation Discussion Papers
667, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: 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:
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) 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) Venkat R. Eleswarapu, 2004.
"The Predictability of Aggregate Stock Market Returns: Evidence Based on Glamour Stocks ,"
Journal of Business ,
University of Chicago Press, vol. 77(2), pages 275-294, April.
[Downloadable!]
Jessica A. Wachter & Missaka Warusawitharana, 2007.
"Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? ,"
NBER Working Papers
13165, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted)
Other versions:
Jessica A. Wachter & Missaka Warusawitharana, 2006.
"Predictable returns and asset allocation: Should a skeptical investor time the market? ,"
2006 Meeting Papers
22, Society for Economic Dynamics.
Wachter, Jessica A. & Warusawitharana, Missaka, 2009.
"Predictable returns and asset allocation: Should a skeptical investor time the market? ,"
Journal of Econometrics ,
Elsevier, vol. 148(2), pages 162-178, February.
[Downloadable!] (restricted) Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model ,"
Journal of Economic Theory ,
Elsevier, vol. 3(4), pages 373-413, December.
[Downloadable!] (restricted)
Other versions: Lynch, Anthony W., 2001.
"Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability ,"
Journal of Financial Economics ,
Elsevier, vol. 62(1), pages 67-130, October.
[Downloadable!] (restricted)
Michael J. Brennan & Yihong Xia, 2002.
"Dynamic Asset Allocation under Inflation ,"
Journal of Finance ,
American Finance Association, vol. 57(3), pages 1201-1238, 06.
[Downloadable!] (restricted)
Fama, Eugene F. & French, Kenneth R., 1989.
"Business conditions and expected returns on stocks and bonds ,"
Journal of Financial Economics ,
Elsevier, vol. 25(1), pages 23-49, November.
[Downloadable!] (restricted)
Fama, Eugene F & Bliss, Robert R, 1987.
"The Information in Long-Maturity Forward Rates ,"
American Economic Review ,
American Economic Association, vol. 77(4), pages 680-92, September.
[Downloadable!] (restricted)
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:
John Y. Campbell & Tuomo Vuolteenaho, 2003.
"Bad Beta, Good Beta ,"
NBER Working Papers
9509, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) John Y. Campbell & Tuomo Vuolteenaho, 2003.
"Bad Beta, Good Beta ,"
Harvard Institute of Economic Research Working Papers
2016, Harvard - Institute of Economic Research.
[Downloadable!] John Y. Campbell & Tuomo Vuolteenaho, 2002.
"Bad Beta, Good Beta ,"
Harvard Institute of Economic Research Working Papers
1971, Harvard - Institute of Economic Research.
[Downloadable!] Goetzmann, William Nelson & Jorion, Philippe, 1993.
" Testing the Predictive Power of Dividend Yields ,"
Journal of Finance ,
American Finance Association, vol. 48(2), pages 663-79, June.
[Downloadable!] (restricted)
Other versions: Fama, Eugene F. & French, Kenneth R., 1993.
"Common risk factors in the returns on stocks and bonds ,"
Journal of Financial Economics ,
Elsevier, vol. 33(1), pages 3-56, February.
[Downloadable!] (restricted)
John Y. Campbell & Robert J. Shiller, 1996.
"A Scorecard for Indexed Government Debt ,"
Cowles Foundation Discussion Papers
1125, Cowles Foundation, Yale University.
[Downloadable!]
Other versions:
John Y. Campbell & Robert J. Shiller, 1996.
"A Scorecard for Indexed Government Debt ,"
NBER Working Papers
5587, National Bureau of Economic Research, Inc.
[Downloadable!] (restricted) John Y. Campbell & Robert J. Shiller, 1996.
"A Scorecard for Indexed Government Debt ,"
NBER Chapters ,
in: NBER Macroeconomics Annual 1996, Volume 11, pages 155-208
National Bureau of Economic Research, Inc.
[Downloadable!] Nicholas Barberis, 2000.
"Investing for the Long Run when Returns Are Predictable ,"
Journal of Finance ,
American Finance Association, vol. 55(1), pages 225-264, 02.
[Downloadable!] (restricted)
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: Michael W. Brandt, 1999.
"Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach ,"
Journal of Finance ,
American Finance Association, vol. 54(5), pages 1609-1645, October.
[Downloadable!] (restricted)
Samuelson, Paul A, 1969.
"Lifetime Portfolio Selection by Dynamic Stochastic Programming ,"
The Review of Economics and Statistics ,
MIT Press, vol. 51(3), pages 239-46, August.
[Downloadable!] (restricted)
Fama, Eugene F. & French, Kenneth R., 1988.
"Dividend yields and expected stock returns ,"
Journal of Financial Economics ,
Elsevier, vol. 22(1), pages 3-25, October.
[Downloadable!] (restricted)
Lawrence R. Glosten & Ravi Jagannathan & David E. Runkle, 1993.
"On the relation between the expected value and the volatility of the nominal excess return on stocks ,"
Staff Report
157, Federal Reserve Bank of Minneapolis.
[Downloadable!]
Other versions: Brennan, Michael J & Xia, Yihong, 2001.
"Assessing Asset Pricing Anomalies ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 14(4), pages 905-42.
Kandel, Shmuel & Stambaugh, Robert F, 1996.
" On the Predictability of Stock Returns: An Asset-Allocation Perspective ,"
Journal of Finance ,
American Finance Association, vol. 51(2), pages 385-424, June.
[Downloadable!] (restricted)
Other versions: Merton, Robert C, 1969.
"Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case ,"
The Review of Economics and Statistics ,
MIT Press, vol. 51(3), pages 247-57, August.
[Downloadable!] (restricted)
John Y. Campbell & Robert J. Shiller, 2001.
"Valuation Ratios and the Long-run Stock Market Outlook: An Update ,"
Cowles Foundation Discussion Papers
1295, Cowles Foundation, Yale University.
[Downloadable!]
Other versions: Kim, Tong Suk & Omberg, Edward, 1996.
"Dynamic Nonmyopic Portfolio Behavior ,"
Review of Financial Studies ,
Oxford University Press for Society for Financial Studies, vol. 9(1), pages 141-61.
[Downloadable!] (restricted)
Full
references Cited by : (explanations , 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.)
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)
Access and
download statistics Did you know? A few items listed on IDEAS are over 2000 years old!
This page was last updated on 2009-11-25.
This information is provided to you by IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics .