Details about Luis M. Viceira
Access statistics for papers by Luis M. Viceira.
Last updated 2020-09-06. Update your information in the RePEc Author Service.
Short-id: pvi31
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Working Papers
2018
- Global Portfolio Diversification for Long-Horizon Investors
NBER Working Papers, National Bureau of Economic Research, Inc  View citations (6)
- Macroeconomic Drivers of Bond and Equity Risks
Harvard Business School Working Papers, Harvard Business School View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (17)
See also Journal Article Macroeconomic Drivers of Bond and Equity Risks, Journal of Political Economy, University of Chicago Press (2020) View citations (60) (2020)
2014
- Monetary Policy Drivers of Bond and Equity Risks
2014 Meeting Papers, Society for Economic Dynamics View citations (68)
2013
- Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
Harvard Business School Working Papers, Harvard Business School View citations (13)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (16)
2011
- Inflation-Indexed Bonds and the Expectations Hypothesis
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
See also Journal Article Inflation-Indexed Bonds and the Expectations Hypothesis, Annual Review of Financial Economics, Annual Reviews (2011) View citations (21) (2011)
2010
- The Excess Burden of Government Indecision
Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (7)
NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (7)
Working Papers, University of Michigan, Michigan Retirement Research Center (2006) View citations (2)
See also Chapter The Excess Burden of Government Indecision, NBER Chapters, National Bureau of Economic Research, Inc (2012) View citations (26) (2012)
Journal Article The Excess Burden of Government Indecision, Tax Policy and the Economy, University of Chicago Press (2012) View citations (23) (2012)
- The euro as a reserve currency for global investors
Working Papers, Banco de España
2009
- Global Currency Hedging
Scholarly Articles, Harvard University Department of Economics View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (17)
See also Journal Article Global Currency Hedging, Journal of Finance, American Finance Association (2010) View citations (109) (2010)
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (49)
Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (2)
See also Journal Article Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, Critical Finance Review, now publishers (2017) View citations (75) (2017)
- Understanding Inflation-Indexed Bond Markets
NBER Working Papers, National Bureau of Economic Research, Inc View citations (68)
Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (48)
Scholarly Articles, Harvard University Department of Economics (2009) View citations (67)
See also Journal Article Understanding Inflation-Indexed Bond Markets, Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution (2009) View citations (72) (2009)
2008
- Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (89)
See also Journal Article Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds, American Economic Review, American Economic Association (2008) View citations (91) (2008)
2007
- PUTTY-CLAY TECHNOLOGY AND STOCK MARKET VOLATILITY
Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)
2006
- Optimal Value and Growth Tilts in Long-Horizon Portfolios
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) View citations (2)
See also Journal Article Optimal Value and Growth Tilts in Long-Horizon Portfolios, Review of Finance, European Finance Association (2011) View citations (19) (2011)
2005
- Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (182)
Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1999) View citations (34)
NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (49)
See also Journal Article Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets, The Review of Financial Studies, Society for Financial Studies (2005) View citations (184) (2005)
- The Term Structure of the Risk-Return Tradeoff
NBER Working Papers, National Bureau of Economic Research, Inc View citations (71)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (66)
2004
- Strategic Asset Allocation in a Continuous-Time VAR Model
Scholarly Articles, Harvard University Department of Economics View citations (39)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) View citations (3)
NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (2)
See also Journal Article Strategic asset allocation in a continuous-time VAR model, Journal of Economic Dynamics and Control, Elsevier (2004) View citations (41) (2004)
2003
- A Multivariate Model of Strategic Asset Allocation
Scholarly Articles, Harvard University Department of Economics View citations (229)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (20)
NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (31)
See also Journal Article A multivariate model of strategic asset allocation, Journal of Financial Economics, Elsevier (2003) View citations (230) (2003)
- Foreign Currency for Long-Term Investors
Scholarly Articles, Harvard University Department of Economics View citations (20)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (3)
CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (5)
See also Journal Article Foreign Currency for Long-Term Investors, Economic Journal, Royal Economic Society (2003) View citations (25) (2003)
2001
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
Scholarly Articles, Harvard University Department of Economics View citations (27)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000)
Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
See also Journal Article Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor, Review of Finance, European Finance Association (2001) View citations (26) (2001)
2000
- Who Should Buy Long-Term Bonds?
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (45)
FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) View citations (14)
See also Journal Article Who Should Buy Long-Term Bonds?, American Economic Review, American Economic Association (2001) View citations (260) (2001)
1999
- Consumption and Portfolio Decisions When Expected Returns are Time Varying
Scholarly Articles, Harvard University Department of Economics View citations (455)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (15)
Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (23)
See also Journal Article Consumption and Portfolio Decisions when Expected Returns are Time Varying, The Quarterly Journal of Economics, President and Fellows of Harvard College (1999) View citations (466) (1999)
- Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
NBER Working Papers, National Bureau of Economic Research, Inc View citations (60)
See also Journal Article Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income, Journal of Finance, American Finance Association (2001) View citations (314) (2001)
Journal Articles
2020
- Macroeconomic Drivers of Bond and Equity Risks
Journal of Political Economy, 2020, 128, (8), 3148 - 3185 View citations (60)
See also Working Paper Macroeconomic Drivers of Bond and Equity Risks, Harvard Business School Working Papers (2018) View citations (9) (2018)
2017
- Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
Critical Finance Review, 2017, 6, (2), 263-301 View citations (75)
See also Working Paper Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds, NBER Working Papers (2009) View citations (49) (2009)
2012
- Bond risk, bond return volatility, and the term structure of interest rates
International Journal of Forecasting, 2012, 28, (1), 97-117 View citations (49)
- The Excess Burden of Government Indecision
Tax Policy and the Economy, 2012, 26, (1), 125 - 164 View citations (23)
See also Chapter The Excess Burden of Government Indecision, NBER Chapters, 2012, 125-163 (2012) View citations (26) (2012)
Working Paper The Excess Burden of Government Indecision, Boston University - Department of Economics - Working Papers Series (2010) (2010)
2011
- Inflation-Indexed Bonds and the Expectations Hypothesis
Annual Review of Financial Economics, 2011, 3, (1), 139-158 View citations (21)
See also Working Paper Inflation-Indexed Bonds and the Expectations Hypothesis, NBER Working Papers (2011) View citations (23) (2011)
- Optimal Value and Growth Tilts in Long-Horizon Portfolios
Review of Finance, 2011, 15, (1), 29-74 View citations (19)
See also Working Paper Optimal Value and Growth Tilts in Long-Horizon Portfolios, NBER Working Papers (2006) View citations (4) (2006)
2010
- Global Currency Hedging
Journal of Finance, 2010, 65, (1), 87-121 View citations (109)
See also Working Paper Global Currency Hedging, Scholarly Articles (2009) View citations (1) (2009)
2009
- Understanding Inflation-Indexed Bond Markets
Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 View citations (72)
See also Working Paper Understanding Inflation-Indexed Bond Markets, NBER Working Papers (2009) View citations (68) (2009)
2008
- Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds
American Economic Review, 2008, 98, (2), 297-303 View citations (91)
See also Working Paper Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds, NBER Working Papers (2008) View citations (89) (2008)
2005
- Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
The Review of Financial Studies, 2005, 18, (4), 1369-1402 View citations (184)
See also Working Paper Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets, CEPR Discussion Papers (2005) View citations (182) (2005)
2004
- Strategic asset allocation in a continuous-time VAR model
Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations (41)
See also Working Paper Strategic Asset Allocation in a Continuous-Time VAR Model, Scholarly Articles (2004) View citations (39) (2004)
2003
- A multivariate model of strategic asset allocation
Journal of Financial Economics, 2003, 67, (1), 41-80 View citations (230)
See also Working Paper A Multivariate Model of Strategic Asset Allocation, Scholarly Articles (2003) View citations (229) (2003)
- Foreign Currency for Long-Term Investors
Economic Journal, 2003, 113, (486), C1-C25 View citations (25)
See also Working Paper Foreign Currency for Long-Term Investors, Scholarly Articles (2003) View citations (20) (2003)
- Spectral GMM estimation of continuous-time processes
Journal of Econometrics, 2003, 116, (1-2), 259-292 View citations (134)
2001
- Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
Journal of Finance, 2001, 56, (2), 433-470 View citations (314)
See also Working Paper Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income, NBER Working Papers (1999) View citations (60) (1999)
- Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
Review of Finance, 2001, 5, (3), 269-292 View citations (26)
See also Working Paper Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor, Scholarly Articles (2001) View citations (27) (2001)
- Who Should Buy Long-Term Bonds?
American Economic Review, 2001, 91, (1), 99-127 View citations (260)
See also Working Paper Who Should Buy Long-Term Bonds?, Harvard Institute of Economic Research Working Papers (2000) View citations (5) (2000)
1999
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations (466)
See also Working Paper Consumption and Portfolio Decisions When Expected Returns are Time Varying, Scholarly Articles (1999) View citations (455) (1999)
Books
2002
- Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
OUP Catalogue, Oxford University Press View citations (740)
Chapters
2012
- The Excess Burden of Government Indecision
A chapter in Tax Policy and the Economy, Volume 26, 2012, pp 125-163 View citations (26)
See also Working Paper The Excess Burden of Government Indecision, Boston University - Department of Economics (2010) (2010)
Journal Article The Excess Burden of Government Indecision, University of Chicago Press (2012) View citations (23) (2012)
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