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

Working Papers

2018

1. Global Portfolio Diversification for Long-Horizon Investors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
2. 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 (16)
   See also Journal Article in Journal of Political Economy (2020)

2014

3. Monetary Policy Drivers of Bond and Equity Risks
   2014 Meeting Papers, Society for Economic Dynamics View citations (67)

2013

4. 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 (15)

2011

5. Inflation-Indexed Bonds and the Expectations Hypothesis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
   See also Journal Article in Annual Review of Financial Economics (2011)

2010

6. 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) View citations (7)
   Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (7)
   Working Papers, University of Michigan, Michigan Retirement Research Center (2006) View citations (2)
   See also Chapter (2012)
   Journal Article in Tax Policy and the Economy (2012)
7. The euro as a reserve currency for global investors
   Working Papers, Banco de España

2009

8. 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 in Journal of Finance (2010)
9. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
   Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) View citations (2)
   See also Journal Article in Critical Finance Review (2017)
10. Understanding Inflation-Indexed Bond Markets
    Scholarly Articles, Harvard University Department of Economics View citations (63)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2009) View citations (44)
    NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (63)
    See also Journal Article in Brookings Papers on Economic Activity (2009)

2008

11. 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 (84)
    See also Journal Article in American Economic Review (2008)

2007

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

2006

13. 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 in Review of Finance (2011)

2005

14. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (165)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (49)
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering (1999) View citations (34)
    See also Journal Article in Review of Financial Studies (2005)
15. The Term Structure of the Risk-Return Tradeoff
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (70)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (65)

2004

16. Strategic Asset Allocation in a Continuous-Time VAR Model
    Scholarly Articles, Harvard University Department of Economics View citations (38)
    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 in Journal of Economic Dynamics and Control (2004)

2003

17. A Multivariate Model of Strategic Asset Allocation
    Scholarly Articles, Harvard University Department of Economics View citations (220)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (30)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2001) View citations (19)
    See also Journal Article in Journal of Financial Economics (2003)
18. Foreign Currency for Long-Term Investors
    Scholarly Articles, Harvard University Department of Economics View citations (20)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2002) View citations (3)
    See also Journal Article in Economic Journal (2003)

2001

19. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Scholarly Articles, Harvard University Department of Economics View citations (25)
    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)
    See also Journal Article in Review of Finance (2001)

2000

20. 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 in American Economic Review (2001)

1999

21. Consumption and Portfolio Decisions When Expected Returns are Time Varying
    Scholarly Articles, Harvard University Department of Economics View citations (429)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (1998) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (14)
    See also Journal Article in The Quarterly Journal of Economics (1999)
22. Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
    NBER Working Papers, National Bureau of Economic Research, Inc 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 View citations (38)
   See also Working Paper (2018)

2017

2. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
   Critical Finance Review, 2017, 6, (2), 263-301 View citations (64)
   See also Working Paper (2009)

2012

3. Bond risk, bond return volatility, and the term structure of interest rates
   International Journal of Forecasting, 2012, 28, (1), 97-117 View citations (45)
4. The Excess Burden of Government Indecision
   Tax Policy and the Economy, 2012, 26, (1), 125 - 164 View citations (22)
   See also Working Paper (2010)
   Chapter (2012)

2011

5. Inflation-Indexed Bonds and the Expectations Hypothesis
   Annual Review of Financial Economics, 2011, 3, (1), 139-158 View citations (19)
   See also Working Paper (2011)
6. Optimal Value and Growth Tilts in Long-Horizon Portfolios
   Review of Finance, 2011, 15, (1), 29-74 View citations (16)
   See also Working Paper (2006)

2010

7. Global Currency Hedging
   Journal of Finance, 2010, 65, (1), 87-121 View citations (95)
   See also Working Paper (2009)

2009

8. Understanding Inflation-Indexed Bond Markets
   Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 79-138 View citations (67)
   See also Working Paper (2009)

2008

9. 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 (86)
   See also Working Paper (2008)

2005

10. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
    Review of Financial Studies, 2005, 18, (4), 1369-1402 View citations (169)
    See also Working Paper (2005)

2004

11. Strategic asset allocation in a continuous-time VAR model
    Journal of Economic Dynamics and Control, 2004, 28, (11), 2195-2214 View citations (40)
    See also Working Paper (2004)

2003

12. A multivariate model of strategic asset allocation
    Journal of Financial Economics, 2003, 67, (1), 41-80 View citations (227)
    See also Working Paper (2003)
13. Foreign Currency for Long-Term Investors
    Economic Journal, 2003, 113, (486), C1-C25 View citations (25)
    See also Working Paper (2003)
14. Spectral GMM estimation of continuous-time processes
    Journal of Econometrics, 2003, 116, (1-2), 259-292 View citations (131)

2001

15. Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income
    Journal of Finance, 2001, 56, (2), 433-470 View citations (302)
    See also Working Paper (1999)
16. Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor
    Review of Finance, 2001, 5, (3), 269-292 View citations (24)
    See also Working Paper (2001)
17. Who Should Buy Long-Term Bonds?
    American Economic Review, 2001, 91, (1), 99-127 View citations (256)
    See also Working Paper (2000)

1999

18. Consumption and Portfolio Decisions when Expected Returns are Time Varying
    The Quarterly Journal of Economics, 1999, 114, (2), 433-495 View citations (437)
    See also Working Paper (1999)

Books

2002

1. Strategic Asset Allocation: Portfolio Choice for Long-Term Investors
   OUP Catalogue, Oxford University Press View citations (713)

Chapters

2012

1. The Excess Burden of Government Indecision
   A chapter in Tax Policy and the Economy, Volume 26, 2012, pp 125-163 View citations (25)
   See also Journal Article in Tax Policy and the Economy (2012)
   Working Paper (2010)