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

by John Y. Campbell & Luis M. Viceira

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  1. Alexander David & Pietro Veronesi, 2009. "What Ties Return Volatilities to Price Valuations and Fundamentals?," NBER Working Papers 15563, National Bureau of Economic Research, Inc.
  2. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated," Journal of Finance, American Finance Association, vol. 62(5), pages 2123-2167, October.
  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.
  4. 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.
  5. H. Lloyd-Ellis & Xiaodong Zhu, 1998. "Fiscal Shocks and Fiscal Risk Management," Working Papers lloydell-98-01, University of Toronto, Department of Economics.
  6. Reschreiter, Andreas, 2006. "Indexed Bonds and Revisions of Inflation Expectations," Economics Series 199, Institute for Advanced Studies.
  7. Taboga, Marco, 2007. "Structural change and the bond yield conundrum," MPRA Paper 4965, University Library of Munich, Germany.
  8. John Y. Campbell & João F. Cocco & Francisco J. Gomes & Pascal J. Maenhout, 2001. "Investing Retirement Wealth: A Life-Cycle Model," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 439-482 National Bureau of Economic Research, Inc.
  9. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
  10. Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, 08.
  11. Glenn Boyle & Graeme Guthrie, 2005. "Human Capital and Popular Investment Advice," Review of Finance, Springer, vol. 9(2), pages 139-164, 06.
  12. Marcel Lever & Ilja Boelaars (University of Chicago) & Ryanne Cox (DNB) & Roel Mehlkopf (DNB & Netspar), 2015. "The allocation of financial risks during the life cycle in individual and collective DC pension contracts," CPB Discussion Paper 317, CPB Netherlands Bureau for Economic Policy Analysis.
  13. Zaremba, Adam, 2015. "Inflation, Business Cycles, and Commodity Investing in Financialized Markets," Business and Economics Research Journal, Uludag University, Faculty of Economics and Administrative Sciences, vol. 6(1), pages 1-18, January.
  14. 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, vol. 37(3), pages 341-381.
  15. Koijen, Ralph S.J. & Hemert, Otto Van & Nieuwerburgh, Stijn Van, 2009. "Mortgage timing," Journal of Financial Economics, Elsevier, vol. 93(2), pages 292-324, August.
  16. Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
  17. Jingjing Chai & Wolfram Horneff & Raimond Maurer & Olivia S. Mitchell, 2009. "Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts," Working Papers wp204, University of Michigan, Michigan Retirement Research Center.
  18. Jeffrey R. Brown & Olivia S. Mitchell & James M. Poterba, 2001. "The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program," NBER Chapters, in: Risk Aspects of Investment-Based Social Security Reform, pages 321-370 National Bureau of Economic Research, Inc.
  19. Gonzalo, Jesús & Olmo, José, 2016. "Long-term optimal portfolio allocation under dynamic horizon-specific risk aversion," UC3M Working papers. Economics 23599, Universidad Carlos III de Madrid. Departamento de Economía.
  20. Ahmad Telfah, "undated". "" 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.
  21. 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.
  22. 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.
  23. Burton Hollifield & Armir Yaron, "undated". "The Foreign Exchange Risk Premium: Real and Nominal Factors," GSIA Working Papers 2001-E13, Carnegie Mellon University, Tepper School of Business.
  24. Sørensen, Carsten & Trolle, Anders Bjerre, 2006. "Dynamic asset allocation and latent variables," Working Papers 2004-8, Copenhagen Business School, Department of Finance.
  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.
  26. Francesco Mariotti & Karen Mumford & Yolanda Pena-Boquete, 2015. "Household Asset-Holding Diversification in Australia," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 48(1), pages 43-64, 03.
  27. 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.
  28. Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
  29. 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.
  30. Guidolin, Massimo & Timmermann, Allan, 2006. "Term structure of risk under alternative econometric specifications," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 285-308.
  31. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
  32. Juan Angel Garcia & Adrian van Rixtel, 2007. "Inflation-linked bonds from a Central Bank perspective," Occasional Paper Series 62, European Central Bank.
  33. 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.
  34. Thomas Flavin & Dolores Lagoa-Varela, 2016. "Do long-term bonds hedge equity risk? Evidence from Spain," Economics, Finance and Accounting Department Working Paper Series n275-16.pdf, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  35. 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.
  36. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
  37. Shiller, Robert J. & Campbell, John Y. & Viceira, Luis Manuel, 2009. "Understanding Inflation-Indexed Bond Markets," Scholarly Articles 10885503, Harvard University Department of Economics.
  38. 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.).
  39. 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.
  40. Duarte, Jefferson., 2003. "Evaluating an Alternative Risk Preference in Affine Term Structure Models," Finance Lab Working Papers flwp_49, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  41. Gollier Christian, 2004. "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 4(1), pages 1-35, September.
  42. Viceira, Luis & Campbell, John & White, Joshua, 2003. "Foreign Currency for Long-Term Investors," Scholarly Articles 3128708, Harvard University Department of Economics.
  43. Gavin, William T. & Keen, Benjamin D. & Pakko, Michael R., 2009. "Inflation Risk And Optimal Monetary Policy," Macroeconomic Dynamics, Cambridge University Press, vol. 13(S1), pages 58-75, May.
  44. 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.
  45. M. Hashem Pesaran & Paolo Zaffaroni, 2009. "Optimality and Diversifiability of Mean Variance and Arbitrage Pricing Portfolios," CESifo Working Paper Series 2857, CESifo Group Munich.
  46. 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.
  47. 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 2010-19, Board of Governors of the Federal Reserve System (U.S.).
  48. Alexandros Kostakis & Nikolaos Panigirtzoglou & George Skiadopoulos, 2011. "Market Timing with Option-Implied Distributions: A Forward-Looking Approach," Management Science, INFORMS, vol. 57(7), pages 1231-1249, July.
  49. 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.
  50. 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-.
  51. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
  52. 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.
  53. Grishchenko, Olesya V. & Vanden, Joel M. & Zhang, Jianing, 2016. "The informational content of the embedded deflation option in TIPS," Journal of Banking & Finance, Elsevier, vol. 65(C), pages 1-26.
  54. P. R. Lane, 2001. "The National Pensions Reserve Fund: Pitfalls and Opportunities," Trinity Economics Papers 20017, Trinity College Dublin, Department of Economics.
  55. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2010. "1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus," Carlo Alberto Notebooks 190, Collegio Carlo Alberto.
  56. repec:gam:jrisks:v:4:y:2016:i:2:p:9:d:66628 is not listed on IDEAS
  57. Spierdijk, Laura & Umar, Zaghum, 2014. "Stocks for the long run? Evidence from emerging markets," Journal of International Money and Finance, Elsevier, vol. 47(C), pages 217-238.
  58. 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.
  59. 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.
  60. Edward Schlee & Christian Gollier, "undated". "Information and the Equity Premium," Working Papers 2133505, Department of Economics, W. P. Carey School of Business, Arizona State University.
  61. Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
  62. Koijen, R.S.J. & Nijman, T.E. & Werker, B.J.M., 2006. "Optimal Portfolio Choice with Annuitization," Discussion Paper 2006-78, Tilburg University, Center for Economic Research.
  63. 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.
  64. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  65. Taboga, Marco, 2008. "Macro-finance VARs and bond risk premia: a caveat," MPRA Paper 11585, University Library of Munich, Germany.
  66. Durham, J. Benson, 2015. "Betting against beta (and gamma) using government bonds," Staff Reports 708, Federal Reserve Bank of New York.
  67. 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.
  68. Caldara, Dario & Fernández-Villaverde, Jesús & Rubio-Ramírez, Juan Francisco & Yao, Wen, 2009. "Computing DSGE Models with Recursive Preferences," CEPR Discussion Papers 7312, C.E.P.R. Discussion Papers.
  69. Kwak, Minsuk & Lim, Byung Hwa, 2014. "Optimal portfolio selection with life insurance under inflation risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 59-71.
  70. Nick Draper & Casper Ewijk & Marcel Lever & Roel Mehlkopf, 2014. "Stochastic Generational Accounting Applied to Reforms of Dutch Occupational Pensions," De Economist, Springer, vol. 162(3), pages 287-307, September.
  71. John Y. Campbell, 2006. "Household Finance," NBER Working Papers 12149, National Bureau of Economic Research, Inc.
  72. Branger, Nicole & Hansis, Alexandra, 2015. "Earning the right premium on the right factor in portfolio planning," Journal of Banking & Finance, Elsevier, vol. 59(C), pages 367-383.
  73. Andersson, Björn, 2001. "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series 2001:4, Uppsala University, Department of Economics.
  74. 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.
  75. 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, vol. 235(1), pages 159-169.
  76. Oussama Chakroun & Georges Dionne & Amélie Dugas-Sampara, 2006. "Empirical Evaluation of Investor Rationality in the Asset Allocation Puzzle," Cahiers de recherche 0635, CIRPEE.
  77. Wayne E. Ferson & Andrea Heuson & Tie Su, 2005. "Weak-Form and Semi-Strong-Form Stock Return Predictability Revisited," Management Science, INFORMS, vol. 51(10), pages 1582-1592, October.
  78. 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.
  79. Yuanfeng Hou & Xiangrong Jin, 2002. "Optimal Investment With Default Risk," FAME Research Paper Series rp46b, International Center for Financial Asset Management and Engineering.
  80. 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.
  81. René Garcia & Richard Luger, 2009. "Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates," CIRANO Working Papers 2009s-20, CIRANO.
  82. 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, vol. 7(1), pages 3-43, March.
  83. Ang, Andrew & Bekaert, Geert & Liu, Jun, 2005. "Why stocks may disappoint," Journal of Financial Economics, Elsevier, vol. 76(3), pages 471-508, June.
  84. Covarrubias, Enrique & Hernández-del-Valle, Gerardo, 2016. "Inflation expectations derived from a portfolio model," MPRA Paper 69489, University Library of Munich, Germany.
  85. Ahmad Telfah, "undated". "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.
  86. Jensen, Bjarne Astrup & Sørensen, Carsten, 2000. "Paying for minimum interest rate guarantees: Who should compensate who?," Working Papers 2000-1, Copenhagen Business School, Department of Finance.
  87. Andreas Tischbirek, 2016. "Long-Term Government Debt and Household Portfolio Composition," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 16.17, Université de Lausanne, Faculté des HEC, DEEP.
  88. 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.
  89. Umar, Zaghum, 2017. "The demand of energy from an optimal portfolio choice perspective," Economic Modelling, Elsevier, vol. 61(C), pages 478-494.
  90. Greg Duffee, 2010. "Sharpe ratios in term structure models," Economics Working Paper Archive 575, The Johns Hopkins University,Department of Economics.
  91. Gil-Bazo, Javier, 2001. "Optimal demand for long-term bonds when returns are predictable," DEE - Working Papers. Business Economics. WB wb012308, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
  92. Feldstein, Martin, 2001. "Economic Problems of Ireland in Europe - incorporating 2 other Papers The Cost and Distribution of Tax Expenditure on Occupational Pensions in Ireland by G Hughes and The National Pensions Reserve Fun," Research Series, Economic and Social Research Institute (ESRI), number GLS31.
  93. 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.
  94. Buraschi Andrea & Carnelli Andrea, 2013. "The economic value of predictability in portfolio management," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 1, pages 5-22, January.
  95. Björn Bick & Holger Kraft & Claus Munk, 2013. "Solving Constrained Consumption-Investment Problems by Simulation of Artificial Market Strategies," Management Science, INFORMS, vol. 59(2), pages 485-503, June.
  96. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2000. "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers 2000s-05, CIRANO.
  97. Gollier, Christian, 2007. "Understanding Saving and Portfolio Choices with Predictable Changes in Assets Returns," IDEI Working Papers 430, Institut d'Économie Industrielle (IDEI), Toulouse.
  98. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  99. 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.
  100. Monika Piazzesi, 2001. "An Econometric Model of the Yield Curve with Macroeconomic Jump Effects," NBER Working Papers 8246, National Bureau of Economic Research, Inc.
  101. Mirco Mahlstedt & Rudi Zagst, 2016. "Inflation Protected Investment Strategies," Risks, MDPI, Open Access Journal, vol. 4(2), pages 1-21, March.
  102. 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.
  103. Agnieszka Konicz & David Pisinger & Alex Weissensteiner, 2015. "Optimal annuity portfolio under inflation risk," Computational Management Science, Springer, vol. 12(3), pages 461-488, July.
  104. Dahlquist, Magnus & Farago, Adam & Tédongap, Roméo, 2015. "Asymmetries and Portfolio Choice," CEPR Discussion Papers 10706, C.E.P.R. Discussion Papers.
  105. Monika Piazzesi & Martin Schneider, 2008. "Bond positions, expectations, and the yield curve," FRB Atlanta Working Paper 2008-02, Federal Reserve Bank of Atlanta.
  106. Huw Lloyd-Ellis & Xiaodong Zhu, 2004. "Using Financial Market Information to Enhance Canadian Fiscal Policy," Working Papers 1041, Queen's University, Department of Economics.
  107. Liang, Zongxia & Zhao, Xiaoyang, 2016. "Optimal mean–variance efficiency of a family with life insurance under inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 164-178.
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