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Details about Luis M. Viceira

E-mail:
Homepage:http://www.people.hbs.edu/lviceira
Postal address:Luis M. Viceira Graduate School of Business Administration Harvard University Baker Library 367 Boston, MA 02163
Workplace:Finance Unit, Harvard Business School, Harvard University, (more information at EDIRC)
Harvard Business School, Harvard University, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Luis M. Viceira.

Last updated 2020-09-06. Update your information in the RePEc Author Service.

Short-id: pvi31


Jump to Journal Articles Books Chapters

Working Papers

2018

  1. Global Portfolio Diversification for Long-Horizon Investors
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Macroeconomic Drivers of Bond and Equity Risks
    Harvard Business School Working Papers, Harvard Business School Downloads View citations (9)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (14)

    See also Journal Article in Journal of Political Economy (2020)

2014

  1. Monetary Policy Drivers of Bond and Equity Risks
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (35)

2013

  1. Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity
    Harvard Business School Working Papers, Harvard Business School Downloads View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (14)

2011

  1. Inflation-Indexed Bonds and the Expectations Hypothesis
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
    See also Journal Article in Annual Review of Financial Economics (2011)

2010

  1. The Excess Burden of Government Indecision
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (5)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (5)
    Working Papers, University of Michigan, Michigan Retirement Research Center (2006) Downloads View citations (2)

    See also Journal Article in Tax Policy and the Economy (2012)
    Chapter (2012)
  2. The euro as a reserve currency for global investors
    Working Papers, Banco de España Downloads

2009

  1. Global Currency Hedging
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (13)

    See also Journal Article in Journal of Finance (2010)
  2. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (38)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads

    See also Journal Article in Critical Finance Review (2017)
  3. Understanding Inflation-Indexed Bond Markets
    Yale School of Management Working Papers, Yale School of Management Downloads View citations (25)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) Downloads View citations (30)
    Scholarly Articles, Harvard University Department of Economics (2009) Downloads View citations (29)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (30)

    See also Journal Article in Brookings Papers on Economic Activity (2009)

2008

  1. Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (39)
    See also Journal Article in American Economic Review (2008)

2007

  1. PUTTY-CLAY TECHNOLOGY AND STOCK MARKET VOLATILITY
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations (3)

2006

  1. Optimal Value and Growth Tilts in Long-Horizon Portfolios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2006) Downloads

    See also Journal Article in Review of Finance (2011)

2005

  1. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (116)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (48)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1999) Downloads View citations (24)

    See also Journal Article in Review of Financial Studies (2005)
  2. The Term Structure of the Risk-Return Tradeoff
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (45)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (53)

2004

  1. Strategic Asset Allocation in a Continuous-Time VAR Model
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (27)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2003) Downloads View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)

    See also Journal Article in Journal of Economic Dynamics and Control (2004)

2003

  1. A Multivariate Model of Strategic Asset Allocation
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (177)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (27)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) Downloads View citations (16)

    See also Journal Article in Journal of Financial Economics (2003)
  2. Foreign Currency for Long-Term Investors
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (17)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) Downloads View citations (3)

    See also Journal Article in Economic Journal (2003)

2001

  1. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (13)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (13)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads

    See also Journal Article in Review of Finance (2001)

2000

  1. Who Should Buy Long-Term Bonds?
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research Downloads View citations (5)
    Also in FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1998) Downloads View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (41)

    See also Journal Article in American Economic Review (2001)

1999

  1. Consumption and Portfolio Decisions When Expected Returns are Time Varying
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (333)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (9)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (23)

    See also Journal Article in The Quarterly Journal of Economics (1999)
  2. Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (61)
    See also Journal Article in Journal of Finance (2001)

Journal Articles

2020

  1. Macroeconomic Drivers of Bond and Equity Risks
    Journal of Political Economy, 2020, 128, (8), 3148 - 3185 Downloads
    See also Working Paper (2018)

2017

  1. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
    Critical Finance Review, 2017, 6, (2), 263-301 Downloads View citations (34)
    See also Working Paper (2009)

2012

  1. Bond risk, bond return volatility, and the term structure of interest rates
    International Journal of Forecasting, 2012, 28, (1), 97-117 Downloads View citations (30)
  2. The Excess Burden of Government Indecision
    Tax Policy and the Economy, 2012, 26, (1), 125 - 164 Downloads View citations (6)
    See also Chapter (2012)
    Working Paper (2010)

2011

  1. Inflation-Indexed Bonds and the Expectations Hypothesis
    Annual Review of Financial Economics, 2011, 3, (1), 139-158 Downloads View citations (12)
    See also Working Paper (2011)
  2. Optimal Value and Growth Tilts in Long-Horizon Portfolios
    Review of Finance, 2011, 15, (1), 29-74 Downloads View citations (11)
    See also Working Paper (2006)

2010

  1. Global Currency Hedging
    Journal of Finance, 2010, 65, (1), 87-121 Downloads View citations (61)
    See also Working Paper (2009)

2009

  1. Understanding Inflation-Indexed Bond Markets
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 Downloads View citations (28)
    See also Working Paper (2009)

2008

  1. Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds
    American Economic Review, 2008, 98, (2), 297-303 Downloads View citations (47)
    See also Working Paper (2008)

2005

  1. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
    Review of Financial Studies, 2005, 18, (4), 1369-1402 Downloads View citations (115)
    See also Working Paper (2005)

2004

  1. Strategic asset allocation in a continuous-time VAR model
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 Downloads View citations (29)
    See also Working Paper (2004)

2003

  1. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 Downloads View citations (185)
    See also Working Paper (2003)
  2. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 Downloads View citations (17)
    See also Working Paper (2003)
  3. Spectral GMM estimation of continuous-time processes
    Journal of Econometrics, 2003, 116, (1-2), 259-292 Downloads View citations (118)

2001

  1. Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
    Journal of Finance, 2001, 56, (2), 433-470 Downloads View citations (211)
    See also Working Paper (1999)
  2. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Review of Finance, 2001, 5, (3), 269-292 Downloads View citations (9)
    See also Working Paper (2001)
  3. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 Downloads View citations (120)
    See also Working Paper (2000)

1999

  1. Consumption and Portfolio Decisions when Expected Returns are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 Downloads View citations (339)
    See also Working Paper (1999)

Books

2002

  1. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
    OUP Catalogue, Oxford University Press View citations (512)

Chapters

2012

  1. The Excess Burden of Government Indecision
    A chapter in Tax Policy and the Economy, Volume 26, 2012, pp 125-163 Downloads View citations (10)
    See also Working Paper (2010)
    Journal Article in Tax Policy and the Economy (2012)
 
Page updated 2020-09-30