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Citations for "Who Should Buy Long-Term Bonds?"

by Viceira, Luis & Campbell, John

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  1. Campbell, John Y. & Chan, Yeung Lewis & Viceira, Luis M., 2003. "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, Elsevier, vol. 67(1), pages 41-80, January.
  2. Reschreiter, Andreas, 2006. "Indexed Bonds and Revisions of Inflation Expectations," Economics Series, Institute for Advanced Studies 199, Institute for Advanced Studies.
  3. Luigi Guiso & Paolo Sodini, 2012. "Household Finance. An Emerging Field," EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) 1204, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2012.
  4. Reschreiter, Andreas, 2004. "Conditional funding costs of inflation-indexed and conventional government bonds," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(6), pages 1299-1318, June.
  5. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2011. "Variance Bounds on the Permanent and Transitory Components of Stochastic Discount Factors," Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics 2011-11, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  6. Christian Gollier & Edward Schlee, 2011. "Information And The Equity Premium," Journal of the European Economic Association, European Economic Association, European Economic Association, vol. 9(5), pages 871-902, October.
  7. John Y. Campbell & Adi Sunderam & Luis M. Viceira, 2009. "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," NBER Working Papers, National Bureau of Economic Research, Inc 14701, National Bureau of Economic Research, Inc.
  8. Hollifield, Burton & Yaron, Amir, 2001. "The Foreign Exchange Risk Premium: Real and Nominal Factors," Working Papers, University of Pennsylvania, Wharton School, Weiss Center 01-1, University of Pennsylvania, Wharton School, Weiss Center.
  9. Munk, Claus & Sorensen, Carsten, 2004. "Optimal consumption and investment strategies with stochastic interest rates," Journal of Banking & Finance, Elsevier, Elsevier, vol. 28(8), pages 1987-2013, August.
  10. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 79(2), pages 365-399, February.
  11. Franke, Guenter & Schlesinger, Harris & Stapleton, Richard C., 2011. "Risk taking with additive and multiplicative background risks," Journal of Economic Theory, Elsevier, Elsevier, vol. 146(4), pages 1547-1568, July.
  12. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series, CESifo Group Munich 2857, CESifo Group Munich.
  13. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers, National Bureau of Economic Research, Inc 18768, National Bureau of Economic Research, Inc.
  14. 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, Society for Computational Economics 329, Society for Computational Economics.
  15. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series, Uppsala University, Department of Economics 2001:4, Uppsala University, Department of Economics.
  16. Francesco Mariotti & Karen Mumford & Yolanda Pena-Boquete, 2014. "Household Asset Holding Diversification in Australia," Discussion Papers, Department of Economics, University of York 14/07, Department of Economics, University of York.
  17. Shu Wu & Yong Zeng, 2005. "A General Equilibrium Model Of The Term Structure Of Interest Rates Under Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., World Scientific Publishing Co. Pte. Ltd., vol. 8(07), pages 839-869.
  18. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value," Real Estate Economics, American Real Estate and Urban Economics Association, American Real Estate and Urban Economics Association, vol. 37(3), pages 341-381.
  19. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(3), pages 427-453, April.
  20. Huw Lloyd-Ellis & Xiaodong Zhu, 2004. "Using Financial Market Information to Enhance Canadian Fiscal Policy," Working Papers, Queen's University, Department of Economics 1041, Queen's University, Department of Economics.
  21. John Y. Campbell & Joao F. Cocco, 2003. "Household Risk Management and Optimal Mortgage Choice," NBER Working Papers, National Bureau of Economic Research, Inc 9759, National Bureau of Economic Research, Inc.
  22. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 1999. "Investing Retirement Wealth: A Life-Cycle Model," NBER Working Papers, National Bureau of Economic Research, Inc 7029, National Bureau of Economic Research, Inc.
  23. John Y. Campbell & Luis M. Viceira & Joshua S. White, 2002. "Foreign Currency for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc 9075, National Bureau of Economic Research, Inc.
  24. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, Elsevier, vol. 128(1), pages 136-163, May.
  25. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 31(11), pages 3503-3544, November.
  26. Bhamra, Harjoat S. & Uppal, Raman, 2006. "The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 30(6), pages 967-991, June.
  27. Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles, Harvard University Department of Economics 3163266, Harvard University Department of Economics.
  28. Massimo Guidolin & Allan Timmerman, 2005. "Optimal portfolio choice under regime switching, skew and kurtosis preferences," Working Papers, Federal Reserve Bank of St. Louis 2005-006, Federal Reserve Bank of St. Louis.
  29. Viceira, Luis & Rodriguez, Jorge & Chacko, George & Campbell, John, 2004. "Strategic Asset Allocation in a Continuous-Time VAR Model," Scholarly Articles, Harvard University Department of Economics 3294738, Harvard University Department of Economics.
  30. Jinill Kim & Sunghyun Henry Kim, 1999. "Spurious Welfare Reversals in International Business Cycle Models," Virginia Economics Online Papers, University of Virginia, Department of Economics 319, University of Virginia, Department of Economics.
  31. Luigi Guiso & Charles Gottlieb & Andreas Fagereng, 2012. "Asset Market Participation and Portfolio Choice over the Life-Cycle," 2012 Meeting Papers, Society for Economic Dynamics 783, Society for Economic Dynamics.
  32. George CHACKO & Luis M. VICEIRA, 1999. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp11, International Center for Financial Asset Management and Engineering.
  33. P. R. Lane, 2001. "The National Pensions Reserve Fund: Pitfalls and Opportunities," Trinity Economics Papers, Trinity College Dublin, Department of Economics 20017, Trinity College Dublin, Department of Economics.
  34. Monika Piazzesi & Martin Schneider, 2006. "Equilibrium Yield Curves," NBER Working Papers, National Bureau of Economic Research, Inc 12609, National Bureau of Economic Research, Inc.
  35. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "The Financial Market Effects of the Federal Reserve's Large-Scale Asset Purchases," International Journal of Central Banking, International Journal of Central Banking, International Journal of Central Banking, vol. 7(1), pages 3-43, March.
  36. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, American Finance Association, vol. 61(4), pages 1553-1604, 08.
  37. Huw Lloyd-Ellis & Xiaodong Zhu, 2000. "Fiscal Shocks and Fiscal Risk Management," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal 108, CREFE, Université du Québec à Montréal.
  38. Munk, Claus, 2008. "Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3560-3589, November.
  39. Jakub W. Jurek & Luis M. Viceira, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc 12017, National Bureau of Economic Research, Inc.
  40. Martin Evans, 2002. "Real Risk, Inflation Risk, and the Term Structure," Working Papers, Georgetown University, Department of Economics gueconwpa~02-02-10, Georgetown University, Department of Economics.
  41. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a Central Bank perspective," Occasional Paper Series, European Central Bank 62, European Central Bank.
  42. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 1999. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania 99-18, Wharton School Center for Financial Institutions, University of Pennsylvania.
  43. Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 51(1), pages 172-181.
  44. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks, Collegio Carlo Alberto 190, Collegio Carlo Alberto.
  45. 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, University of Michigan, Michigan Retirement Research Center wp177, University of Michigan, Michigan Retirement Research Center.
  46. d'Addona, Stefano & Kind, Axel H., 2006. "International stock-bond correlations in a simple affine asset pricing model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(10), pages 2747-2765, October.
  47. Olesya V. Grishchenko & Jing-zhi Huang, 2012. "Inflation risk premium: evidence from the TIPS market," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2012-06, Board of Governors of the Federal Reserve System (U.S.).
  48. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers, National Bureau of Economic Research, Inc 14698, National Bureau of Economic Research, Inc.
  49. Brennan, Michael & Wang, Ashley W & Xia, Yihong, 2003. "Estimation and Test of a Simple Model of Intertemporal Capital Asset Pricing," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt20r0j5t8, Anderson Graduate School of Management, UCLA.
  50. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, Elsevier, vol. 93(2), pages 292-324, August.
  51. 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, Arab Planning Institute - Kuwait, Information Center 0604, Arab Planning Institute - Kuwait, Information Center.
  52. Stefania D'Amico & Don H. Kim & Min Wei, 2010. "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2010-19, Board of Governors of the Federal Reserve System (U.S.).
  53. Gollier, Christian, 2003. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 250, Institut d'Économie Industrielle (IDEI), Toulouse.
  54. Don H. Kim & Athanasios Orphanides, 2005. "Term structure estimation with survey data on interest rate forecasts," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-48, Board of Governors of the Federal Reserve System (U.S.).
  55. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 471-508, June.
  56. Munk, Claus & Sorensen, Carsten & Nygaard Vinther, Tina, 2004. "Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty: Are popular recommendations consistent with rational behavior?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 13(2), pages 141-166.
  57. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers, National Bureau of Economic Research, Inc 15563, National Bureau of Economic Research, Inc.
  58. Caldara, Dario & Fernández-Villaverde, Jesús & Rubio-Ramirez, Juan Francisco & Yao, Wen, 2009. "Computing DSGE Models with Recursive Preferences," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7312, C.E.P.R. Discussion Papers.
  59. Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp34, International Center for Financial Asset Management and Engineering.
  60. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche, CIRPEE 0635, CIRPEE.
  61. Hagelin, Niclas & Pramborg, Bengt, 2004. "Dynamic investment strategies with and without emerging equity markets," Emerging Markets Review, Elsevier, Elsevier, vol. 5(2), pages 193-215, June.
  62. Wolfram Horneff & Raimond Maurer & Michael Stamos, 2006. "Life-Cycle Asset Allocation with Annuity Markets: Is Longevity Insurance a Good Deal?," Working Papers, University of Michigan, Michigan Retirement Research Center wp146, University of Michigan, Michigan Retirement Research Center.
  63. Moerman, Gerard A. & van Dijk, Mathijs A., 2010. "Inflation risk and international asset returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(4), pages 840-855, April.
  64. Andreas Hubener & Raimond Maurer & Olivia S. Mitchell, 2013. "How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc 19583, National Bureau of Economic Research, Inc.
  65. Munk, Claus & Sørensen, Carsten, 2010. "Dynamic asset allocation with stochastic income and interest rates," Journal of Financial Economics, Elsevier, Elsevier, vol. 96(3), pages 433-462, June.
  66. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers, Copenhagen Business School, Department of Finance 2004-8, Copenhagen Business School, Department of Finance.
  67. Varas, Felipe & Walker, Eduardo, 2011. "Optimal close-to-home biases in asset allocation," Journal of Business Research, Elsevier, Elsevier, vol. 64(3), pages 328-337, March.
  68. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers, National Bureau of Economic Research, Inc 7170, National Bureau of Economic Research, Inc.
  69. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, Springer, vol. 6(2), pages 187-208, May.
  70. 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, CREFE, Université du Québec à Montréal 125, CREFE, Université du Québec à Montréal.
  71. Taboga, Marco, 2009. "Macro-finance VARs and bond risk premia: A caveat," Review of Financial Economics, Elsevier, Elsevier, vol. 18(4), pages 163-171, October.
  72. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2010. "Large-scale asset purchases by the Federal Reserve: did they work?," Staff Reports, Federal Reserve Bank of New York 441, Federal Reserve Bank of New York.
  73. William T. Gavin & Benjamin D. Keen & Michael R. Pakko, 2007. "Inflation risk and optimal monetary policy," Working Papers, Federal Reserve Bank of St. Louis 2006-035, Federal Reserve Bank of St. Louis.
  74. Weinbaum, David, 2005. "Subsistence consumption, habit formation and the demand for long-term bonds," Journal of Economics and Business, Elsevier, Elsevier, vol. 57(4), pages 273-287.
  75. Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers, Department of Economics, University of Venice "Ca' Foscari" 2012_08, Department of Economics, University of Venice "Ca' Foscari".
  76. Carl Chiarella & Chih-Ying Hsiao & Willi Semmler, 2007. "Intertemporal Investment Strategies under Inflation Risk," Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney 192, Quantitative Finance Research Centre, University of Technology, Sydney.
  77. Eduardo Walker, 2006. "Optimal Portfolios In Defined Contribution Pension Systems," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 9(2), pages 99-129.
  78. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers, Federal Reserve Bank of St. Louis 2005-034, Federal Reserve Bank of St. Louis.
  79. John Y. Campbell & Robert J. Shiller & Luis M. Viceira, 2009. "Understanding Inflation-Indexed Bond Markets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1696, Cowles Foundation for Research in Economics, Yale University.
  80. Jér�me B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, American Finance Association, vol. 58(1), pages 401-446, 02.
  81. Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2974-2987.
  82. Antonios Sangvinatsos & Jessica A. Wachter, 2003. "Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors," NBER Working Papers, National Bureau of Economic Research, Inc 10086, National Bureau of Economic Research, Inc.
  83. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers, Banque de France 261, Banque de France.
  84. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive, The Johns Hopkins University,Department of Economics 575, The Johns Hopkins University,Department of Economics.
  85. Yuanfeng Hou & Xiangrong Jin, 2002. "Optimal Investment With Default Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp46b, International Center for Financial Asset Management and Engineering.
  86. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," Working Paper, Federal Reserve Bank of Atlanta 2008-02, Federal Reserve Bank of Atlanta.
  87. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, Elsevier, vol. 131(1-2), pages 285-308.
  88. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers, National Bureau of Economic Research, Inc 19238, National Bureau of Economic Research, Inc.
  89. Ahmad Telfah, . "Strategic Asset Allocation in Stochastic Environment And Incomplete Markets: Evidence on Horizon And Hedging Effects," API-Working Paper Series, Arab Planning Institute - Kuwait, Information Center 0603, Arab Planning Institute - Kuwait, Information Center.
  90. Gollier, Christian, 2008. "Understanding saving and portfolio choices with predictable changes in assets returns," Journal of Mathematical Economics, Elsevier, Elsevier, vol. 44(5-6), pages 445-458, April.
  91. Geert Bekaert & Xiaozheng Wang, 2010. "Inflation risk and the inflation risk premium," Economic Policy, CEPR;CES;MSH, CEPR;CES;MSH, vol. 25, pages 755-806, October.
  92. Pettenuzzo, Davide & Timmermann, Allan, 2011. "Predictability of stock returns and asset allocation under structural breaks," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 60-78, September.
  93. Reschreiter, Andreas, 2006. "Real and Nominal UK Interest Rates, ERM Membership and Inflation Targeting," Economics Series, Institute for Advanced Studies 193, Institute for Advanced Studies.
  94. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24481, London School of Economics and Political Science, LSE Library.
  95. Buraschi Andrea & Carnelli Andrea, 2013. "The economic value of predictability in portfolio management," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, Società editrice il Mulino, issue 1, pages 11-25, January.
  96. Wayne E. Ferson & Andrea Heuson & Tie Su, 2004. "Weak and Semi-Strong Form Stock Return Predictability, Revisited," NBER Working Papers, National Bureau of Economic Research, Inc 10689, National Bureau of Economic Research, Inc.
  97. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers, Finance Lab, Insper Instituto de Ensino e Pesquisa flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  98. Horneff, Wolfram J. & Maurer, Raimond H. & Stamos, Michael Z., 2008. "Life-cycle asset allocation with annuity markets," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 32(11), pages 3590-3612, November.
  99. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers, CIRANO 2009s-20, CIRANO.
  100. Damgaard, Anders & Fuglsbjerg, Brian & Munk, Claus, 2003. "Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 28(2), pages 209-253, November.
  101. 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, New York University, Leonard N. Stern School of Business- 99-073, New York University, Leonard N. Stern School of Business-.
  102. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, INFORMS, vol. 51(10), pages 1582-1592, October.
  103. Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
  104. Wachter, Jessica A., 2003. "Risk aversion and allocation to long-term bonds," Journal of Economic Theory, Elsevier, Elsevier, vol. 112(2), pages 325-333, October.
  105. Bakshi, Gurdip & Chabi-Yo, Fousseni, 2012. "Variance bounds on the permanent and transitory components of stochastic discount factors," Journal of Financial Economics, Elsevier, Elsevier, vol. 105(1), pages 191-208.
  106. 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, Federal Reserve Bank of Chicago WP-07-11, Federal Reserve Bank of Chicago.
  107. Su, Yongyang & Lau, Marco Chi Keung, 2010. "Strategic asset allocation and intertemporal demands: with commodities as an asset class," MPRA Paper, University Library of Munich, Germany 26337, University Library of Munich, Germany.
  108. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper, University Library of Munich, Germany 4965, University Library of Munich, Germany.
  109. Lioui, Abraham & Poncet, Patrice, 2005. "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(5), pages 1265-1294, May.
  110. Larsen, Linda Sandris & Munk, Claus, 2012. "The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(2), pages 266-293.
  111. Zvi Bodie, 2001. "Financial Engineering and Social Security Reform," NBER Chapters, National Bureau of Economic Research, Inc, in: Risk Aspects of Investment-Based Social Security Reform, pages 291-320 National Bureau of Economic Research, Inc.
  112. Han, Nan-Wei & Hung, Mao-Wei, 2006. "Estimated inflation rate, consumption and portfolio decision," Economics Letters, Elsevier, Elsevier, vol. 92(3), pages 402-408, September.
  113. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, Elsevier, vol. 235(1), pages 159-169.
  114. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper, Tilburg University, Center for Economic Research 2006-78, Tilburg University, Center for Economic Research.
  115. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, Elsevier, vol. 36(C), pages 244-251.
  116. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," NBER Working Papers, National Bureau of Economic Research, Inc 16892, National Bureau of Economic Research, Inc.
  117. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(5), pages 721-740.
  118. Otto van Hemert & Franck de Jong & Joost Driessen, 2005. "Dynamic portfolio and mortgage choice for homeowners," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24650, London School of Economics and Political Science, LSE Library.
  119. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers, National Bureau of Economic Research, Inc 8246, National Bureau of Economic Research, Inc.
  120. Luis M. Viceira, 1999. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers, National Bureau of Economic Research, Inc 7409, National Bureau of Economic Research, Inc.
  121. Munk, Claus & Sørensen, Carsten & Vinther, Tina Nygaard, 2001. "Portfolio Choice under Inflation: Are Popular Recommendations Consistent with Rational Behavior?," Working Papers, Copenhagen Business School, Department of Finance 2001-6, Copenhagen Business School, Department of Finance.
  122. 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, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management 19062, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  123. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers, Federal Reserve Bank of St. Louis 2005-007, Federal Reserve Bank of St. Louis.
  124. 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, National Bureau of Economic Research, Inc 14055, National Bureau of Economic Research, Inc.
  125. Javier Gil-Bazo, 2001. "Optimal Demand For Long-Term Bonds When Returns Are Predictable," Business Economics Working Papers, Universidad Carlos III, Departamento de Economía de la Empresa wb012308, Universidad Carlos III, Departamento de Economía de la Empresa.
  126. James Kung, 2008. "Dynamic strategies for fixed-income investment," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(10), pages 1341-1354.
  127. Lynch, Anthony W., 2001. "Portfolio choice and equity characteristics: characterizing the hedging demands induced by return predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 62(1), pages 67-130, October.
  128. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, Elsevier, vol. 42(1), pages 1-13, February.
  129. In, Francis & Kim, Sangbae & Gençay, Ramazan, 2011. "Investment horizon effect on asset allocation between value and growth strategies," Economic Modelling, Elsevier, Elsevier, vol. 28(4), pages 1489-1497, July.