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

by John Y. Campbell & Luis M. Viceira

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  1. Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009. "Inflation Risk And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, Cambridge University Press, vol. 13(S1), pages 58-75, May.
  2. Kim, Jinill & Kim, Sunghyun Henry, 2003. "Spurious welfare reversals in international business cycle models," Journal of International Economics, Elsevier, Elsevier, vol. 60(2), pages 471-500, August.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Kim, Don H. & Orphanides, Athanasios, 2005. "Term Structure Estimation with Survey Data on Interest Rate Forecasts," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5341, C.E.P.R. Discussion Papers.
  8. 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.
  9. Burton Hollifield & Armir Yaron, . "The Foreign Exchange Risk Premium: Real and Nominal Factors," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2001-E13, Carnegie Mellon University, Tepper School of Business.
  10. 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.
  11. Monika Piazzesi & Martin Schneider, 2007. "Equilibrium Yield Curves," NBER Chapters, in: NBER Macroeconomics Annual 2006, Volume 21, pages 389-472 National Bureau of Economic Research, Inc.
  12. 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.
  13. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, . "The Role of Real Annuities and Indexed Bonds In An Individual Accounts Retirement Program," Pension Research Council Working Papers, Wharton School Pension Research Council, University of Pennsylvania 99-2, Wharton School Pension Research Council, University of Pennsylvania.
  14. 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.
  15. Mariotti, Francesco & Mumford, Karen A. & Pena-Boquete, Yolanda, 2014. "Household Asset Holding Diversification in Australia," IZA Discussion Papers 8302, Institute for the Study of Labor (IZA).
  16. 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.
  17. 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.
  18. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, Elsevier, vol. 76(3), pages 471-508, June.
  19. Carolin E. Pflueger & Luis M. Viceira, 2011. "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," Harvard Business School Working Papers 11-094, Harvard Business School, revised Sep 2013.
  20. 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.
  21. 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.
  22. Andreas Reschreiter, 2010. "Indexed bonds and revisions of inflation expectations," Annals of Finance, Springer, Springer, vol. 6(4), pages 537-554, October.
  23. 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.
  24. 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.
  25. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
  26. Su, Yongyang & Lau, Marco Chi Keung, 2010. "Strategic asset allocation and intertemporal demands: with commodities as an asset class," MPRA Paper 26337, University Library of Munich, Germany.
  27. Gollier Christian, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, De Gruyter, De Gruyter, vol. 4(1), pages 1-35, September.
  28. Günter Franke & Harris Schlesinger & Richard C. Stapleton, 2011. "Risk Taking with Additive and Multiplicative Background Risks," Working Paper Series of the Department of Economics, University of Konstanz 2011-25, Department of Economics, University of Konstanz.
  29. 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.
  30. 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.
  31. 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.
  32. John Y. Campbell, 2006. "Household Finance," Journal of Finance, American Finance Association, American Finance Association, vol. 61(4), pages 1553-1604, 08.
  33. Joao Cocco & John Campbell, 2004. "Household Risk Management and Optimal Mortgage Choice," Econometric Society 2004 North American Winter Meetings, Econometric Society 646, Econometric Society.
  34. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche, CIRPEE 0635, CIRPEE.
  35. 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.).
  36. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 491, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  37. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers, Federal Reserve Bank of St. Louis 2005-002, Federal Reserve Bank of St. Louis.
  38. John Y. Campbell & Joao F. Cocco & Francisco J. Gomes & Pascala J. Maenhout, 2000. "Investing Retirement Wealth? A Life-Cycle Model," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1896, Harvard - Institute of Economic Research.
  39. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
  40. Joseph Gagnon & Matthew Raskin & Julie Remache & Brian Sack, 2011. "Large-scale asset purchases by the Federal Reserve: did they work?," Economic Policy Review, Federal Reserve Bank of New York, Federal Reserve Bank of New York, issue May, pages 41-59.
  41. 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.
  42. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  43. Gollier, Christian, 2008. "Understanding saving and portfolio choices with predictable changes in assets returns," Journal of Mathematical Economics, Elsevier, vol. 44(5-6), pages 445-458, April.
  44. 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.
  45. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8934, C.E.P.R. Discussion Papers.
  46. 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.
  47. 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.
  48. John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
  49. 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.
  50. 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.
  51. 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.
  52. Andreas Fagereng & Charles Gottlieb & Luigi Guiso, 2013. "Asset Market Participation and Portfolio Choice over the Life-Cycle," EIEF Working Papers Series 1326, Einaudi Institute for Economics and Finance (EIEF), revised Oct 2013.
  53. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
  54. 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.
  55. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and long run optimal portfolios: results for mixed asset menus," Working Papers, Federal Reserve Bank of St. Louis 2010-003, Federal Reserve Bank of St. Louis.
  56. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  57. 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.
  58. 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.
  59. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
  60. Lloyd-Ellis, Huw & Zhu, Xiaodong, 2001. "Fiscal shocks and fiscal risk management," Journal of Monetary Economics, Elsevier, Elsevier, vol. 48(2), pages 309-338, October.
  61. 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.
  62. 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.
  63. 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.
  64. 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.
  65. 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.
  66. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2009. "Time and risk diversification in real estate investments: assessing the ex post economic value," Working Papers, Federal Reserve Bank of St. Louis 2009-001, Federal Reserve Bank of St. Louis.
  67. 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.
  68. 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.
  69. 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.
  70. 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.
  71. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, EconWPA 0502018, EconWPA.
  72. 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.
  73. 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.
  74. 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.
  75. Han, Nan-wei & Hung, Mao-wei, 2012. "Optimal asset allocation for DC pension plans under inflation," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 172-181.
  76. Edward Schlee & Christian Gollier, . "Information and the Equity Premium," Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University.
  77. 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.).
  78. 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.
  79. 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.
  80. 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.
  81. Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers 2012_08, Department of Economics, University of Venice "Ca' Foscari".
  82. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  83. 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.
  84. 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.
  85. 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.
  86. 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.
  87. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak and Semi-Strong Form Stock Return Predictability Revisited," NBER Working Papers 11021, National Bureau of Economic Research, Inc.
  88. 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.
  89. 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.
  90. 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.
  91. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a Central Bank perspective," Occasional Paper Series 62, European Central Bank.
  92. George Chacko & Luis M. Viceira, 2005. "Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 18(4), pages 1369-1402.
  93. James Kung, 2008. "Dynamic strategies for fixed-income investment," Applied Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 40(10), pages 1341-1354.
  94. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  95. de Jong, Frank, 2008. "Pension fund investments and the valuation of liabilities under conditional indexation," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 1-13, February.
  96. Andreas Hubener & Raimond Maurer & Olivia S. Mitchell, 2013. "How Family Status and Social Security Claiming Options Shape Optimal Life Cycle Portfolios," NBER Working Papers 19583, National Bureau of Economic Research, Inc.
  97. 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.
  98. 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.
  99. Zvi Bodie, 2001. "Financial Engineering and Social Security Reform," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 291-320 National Bureau of Economic Research, Inc.
  100. 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.
  101. 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.
  102. 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.
  103. 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-.
  104. 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.
  105. Taboga, Marco, 2008. "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper 11585, University Library of Munich, Germany.
  106. 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.
  107. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  108. 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.
  109. 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.
  110. 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.
  111. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers, CIRANO 2009s-20, CIRANO.
  112. 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.
  113. 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.
  114. Cenesizoglu, Tolga & Timmermann, Allan, 2012. "Do return prediction models add economic value?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(11), pages 2974-2987.
  115. 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.
  116. 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.
  117. 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.
  118. 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.
  119. 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.
  120. 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.
  121. 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.
  122. Lioui, Abraham & Poncet, Patrice, 2005. "General equilibrium pricing of CPI derivatives," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(5), pages 1265-1294, May.
  123. 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.
  124. 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.
  125. 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.
  126. 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.
  127. 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.
  128. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  129. 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.