Browsing by Author "Viceira, Luis"

Now showing items 1-12 of 12

    • Consumption and Portfolio Decisions When Expected Returns are Time Varying 

      Campbell, John; Viceira, Luis (MIT Press, 1999)
      This paper presents an approximate analytical solution to the optimal consumption and portfolio choice problem of an infinitely lived investor with Epstein-Zin-Weil utility who faces a constant riskless interest rate and ...

    • Foreign Currency for Long-Term Investors 

      Campbell, John; Viceira, Luis; White, Joshua (Blackwell Publishing, 2003)
      Conventional wisdom holds that conservative investors should avoid exposure to foreign currency risk. Even if they hold foreign equities, they should hedge the currency exposure of these positions and hold only domestic ...

    • Global Currency Hedging 

      Campbell, John; Serfaty-de Medeiros, Karine; Viceira, Luis (Blackwell Publishing, 2009)
      Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these ...

    • Inflation and Asset Prices 

      Pflueger, Carolin (2013-02-12)
      Do corporate bond spreads reflect fear of debt deflation? Most corporate bonds have fixed nominal face values, so unexpectedly low inflation raises firms' real debt burdens and increases default risk. The first chapter ...

    • Macroeconomic Drivers of Bond and Equity Risks 

      Campbell, John; Pflueger, Carolin; Viceira, Luis (University of Chicago Press, 2020-08)
      Our new model of consumption-based habit generates time-varying risk premia on bonds and stocks from loglinear, homoskedastic macroeconomic dynamics. Consumers' first-order condition for the real risk-free bond generates ...

    • Monetary Policy Drivers of Bond and Equity Risks 

      Campbell, John Y.; Pflueger, Carolin; Viceira, Luis Manuel (National Bureau of Economic Research, 2014)
      The exposure of US Treasury bonds to the stock market has moved considerably over time. While it was slightly positive on average in the period 1960-2011, it was unusually high in the 1980s and negative in the 2000s, a ...

    • A Multivariate Model of Strategic Asset Allocation 

      Campbell, John; Chan, Yeung Lewis; Viceira, Luis (Elsevier, 2003)
      We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein–Zin utility who faces a set of asset returns described by a vector ...

    • Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor 

      Campbell, John Y.; Cocco, Joao; Gomes, Francisco; Maenhout, Pascal J.; Viceira, Luis Manuel (Oxford University Press, 2001)
      This paper solves numerically the intertemporal consumption and portfolio choice problem of an infinitely-lived investor who faces a time-varying equity premium. The solutions we obtain are very similar to the approximate ...

    • Strategic Asset Allocation in a Continuous-Time VAR Model 

      Campbell, John; Chacko, George; Rodriguez, Jorge; Viceira, Luis (Elsevier, 2004)
      This paper derives an approximate solution to a continuous-time intertemporal portfolio and consumption choice problem. The problem is the continuous-time equivalent of the discrete-time problem studied by Campbell and ...

    • The Term Structure of the Risk–Return Trade-Off 

      Campbell, John Y.; Viceira, Luis Manuel (CFA Institute, 2005)
      Expected excess returns on bonds and stocks, real interest rates, and risk shift over time in predictable ways. Furthermore, these shifts tend to persist for long periods. Changes in investment opportunities can alter the ...

    • Understanding Inflation-Indexed Bond Markets 

      Campbell, John Y.; Shiller, Robert J.; Viceira, Luis Manuel (Brookings Institution Press, 2009)
      This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates ...

    • Who Should Buy Long-Term Bonds? 

      Campbell, John; Viceira, Luis (American Economic Association, 2001)
      According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive ...