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Working Papers   [--Back to Top--]


"Monetary Policy Drivers of Bond and Equity Risks," with John Y. Campbell and Carolin E. Pflueger, manuscript, Harvard University, March 2012 (This version: April 2014).

Appendix to "Monetary Policy Drivers of Bond and Equity Risks," with John Y. Campbell and Carolin E. Pflueger, manuscript, Harvard University, March 2012 (This version: April 2014).

Winner of the first Arthur Warga Award for the Best Paper in Fixed Income, The Society for Financial Studies, 2014 Finance Cavalcade.

"Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," with Carolin E. Pflueger, manuscript, Harvard University, July 2010 (This version: September 2013).

Appendix to "Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity," with Carolin E. Pflueger, manuscript, Harvard University, September 2013.

"Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds", with John Y. Campbell and Adi Sunderam, manuscript, Harvard University, June 2007 (This version: January 2013).

Appendix to "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," with John Y. Campbell and Adi Sunderam, manuscript, Harvard University, January 2013.

"Testing for Structural Change in the Predictability of Asset Returns," manuscript, Harvard University, January 1996.

"Asset Allocation with Endogenous Labor Income: The Case of Incomplete Markets ," with Yeung Lewis Chan, manuscript, Harvard University, December 2000.



Publications   [--Back to Top--]

"The Excess Burden of Government Indecision," with Francisco Gomes and Laurence J. Kotlikoff, NBER Book Series Tax Policy and the Economy, Volume 26, pp. 125-163, NBER and University of Chicago Press, 2012.

"Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates," International Journal of Forecasting, 28, pp. 97-117, 2012.

"Inflation-Indexed Bonds and the Expectations Hypothesis," with with Carolin E. Pflueger, manuscript, Annual Review of Financial Economics, Volume 3, pp. 139-158, 2011.

"Optimal Value and Growth Tilts in Long-Horizon Portfolios," with Jakub W. Jurek, Review of Finance, Volume 15, No. 1, pp. 29-74, 2011.

"The Euro as a Reserve Currency for Global Investors," with Ricardo Jimeno, in Spain and the Euro. The First Ten Years, Banco de Espaņa, 2010.

"Global Currency Hedging," with John Y. Campbell and Karine Serfaty-de Medeiros, Journal of Finance, Vol. 65, No. 1, February 2010.

Appendix to "Global Currency Hedging," with John Y. Campbell and Karine Serfaty-de Medeiros, manuscript, Harvard University, February 2010.

"Understanding Inflation-Indexed Bond Markets," with John Y. Campbell and Robert J. Shiller, Brookings Papers on Economic Activity, 79-120, Spring 2009.

Appendix to "Understanding Inflation-Indexed Bond Markets," with John Y. Campbell and Robert J. Shiller, manuscript, Harvard University, May 2009.

"Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds," with Francisco J. Gomes and Laurence J. Kotlikoff, American Economic Review: Papers and Proceedings, Vol. 98, pp. 297-303, May 2008.

"Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets," with George Chacko, Review of Financial Studies, Vol. 18, No. 4, Winter 2005.

"The Term Structure of the Risk-Return Tradeoff ," with John Y. Campbell, Financial Analysts Journal, Vol. 61, No. 1, January/February 2005.

Winner of the Graham and Dodd Award for Excellence in Financial Writing, Financial Analysts Journal and CFA Institute.

Awarded the Prize on Investment Potential at the 2004 Three-Way Symposium of Inquire Europe, Inquire UK, and the Q-Group.

"Long-Horizon Mean-Variance Analysis: A User Guide," with John Y. Campbell, manuscript, Harvard University, September 2004.

"Strategic Asset Allocation in a Continuous-Time VAR Model ," with John Y. Campbell, George Chacko, and Jorge Rodriguez, Journal of Economic Dynamics and Control, Vol. 28, No. 11, October 2004.

"Spectral GMM Estimation of Continuous-Time Processes," with George Chacko, Journal of Econometrics, Vol. 116, Nos. 1-2: 259-292, September/October 2003.

"A Multivariate Model of Strategic Asset Allocation," with John Y. Campbell and Yeung Lewis Chan, Journal of Financial Economics, Vol. 67, No. 1: 41-80, 2003.

Winner of the second 2003 Fama/DFA Prize for Capital Markets and Asset Pricing.

Appendix to "A Multivariate Model of Strategic Asset Allocation," with John Y. Campbell and Yeung Lewis Chan, manuscript, Harvard University, October 2001.

"Foreign Currency for Long-Term Investors," with John Y. Campbell and Joshua White, The Economic Journal, Vol 113, No. 486, March 2003.

"Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor," with John Y. Campbell, Joao Cocco, Francisco Gomes, and Pascal J. Maenhout, European Finance Review, Vol. 5, No. 3: 269-292, 2001.

"Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," The Journal of Finance, Vol. 56, No. 2: 433-470, April 2001.

"Who Should Buy Long-Term Bonds?" with John Y. Campbell, The American Economic Review, Vol. 91, No. 1:99-127, March 2001.

Awarded the First FAME Research Award for excellence in research in Asset Management by the International Center for Asset Management and Financial Engineering, Universities of Lausanne and Geneva, Switzerland, 1999.

Appendix to "Who Should Buy Long-Term Bonds?," with John Y. Campbell, manuscript, Harvard University, December 1999.

"Consumption and Portfolio Decisions When Expected Returns are Time Varying," with John Y. Campbell, The Quarterly Journal of Economics, 114: 433-495, May 1999.

"Consumption and Portfolio Decisions When Expected Returns are Time Varying: Erratum," with John Y. Campbell, manuscript, Harvard University, September 2000. This note corrects an error in the paper of the same name published in Quarterly Journal of Economics, May 1999.



Book Chapters [--Back to Top--]

"Pension Fund Design in Developing Economies," 2010, in Evaluating the Financial Performance of Pension Funds, Richard Hinz, Heinz P. Rudolph, Pablo Antolin, and Juan Yermo ed., The World Bank.

"Life-Cycle Funds," 2008, in Overcoming the Saving Slump: How to Increase the Effectiveness of Financial Education and Saving Programs, Annamaria Lusardi, ed., University of Chicago Press.

"Developments in Asset Allocation Modeling," 2006, in Global Perspectives on Investment Management: Learning from the Leaders, Rodney N. Sullivan ed., CFA Institute.

"Strategic Asset Allocation for Pension Plans," with John Y. Campbell, 2006, in Oxford Handbook of Pensions and Retirement Income, Gordon Clark, Alicia Munnell, and Michael Orszag eds., Oxford University Press.



Books [--Back to Top--]


"Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," 2002, with John Y. Campbell, Oxford University Press.

Winner of the 2002 Paul A. Samuelson Award for Outstanding Scholarly Writing on Lifelong Financial Security, with John Y. Campbell, TIAA-CREF Institute.

Appendix to "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors,"with John Y. Campbell, July 2001.


A Solution Manual to " The Econometrics of Financial Markets," with Petr Adamek, John Y. Campbell, Andrew W. Lo and A. Craig MacKinlay, Princeton University Press, 1997.



Course Materials [--Back to Top--]

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