Working Papers   [--Back to Top--]

"The Euro as a Reserve Currency for Global Investors," with Ricardo Gimeno, manuscript, Harvard University, November 2009. (This version: November 2009).

"Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates," manuscript, Harvard University, February 2007. (This version: June 2009).

"Pension Fund Design in Developing Economies," manuscript, Harvard University, February 2009.

"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 2009).

"Appendix to Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds," with John Y. Campbell and Adi Sunderam, manuscript, Harvard University, January 2009.

"The Excess Burden of Government Indecision," with Francisco Gomes and Laurence J. Kotlikoff, manuscript, Harvard University, March 2006 (This version: June 2008).

"Optimal Value and Growth Tilts in Long-Horizon Portfolios ," with Jakub W. Jurek, manuscript, Harvard University, June 2005 (This version: November 2006).

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

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

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

Publications   [--Back to Top--]

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

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

"Global Currency Hedging," with John Y. Campbell and Karine Serfaty-de Medeiros, forthcoming Journal of Finance (This version: October 2008).

"Appendix to Global Currency Hedging," with John Y. Campbell and Karine Serfaty-de Medeiros, manuscript, Harvard University, June 2006 (This version: October 2008).

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

"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.

"Long-Horizon Mean-Variance Analysis: A User Guide ," with John Y. Campbell, manuscript, Harvard University, September 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 for "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. Also NBER Working Paper No. 9075, July 2002

"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 for "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: 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.

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

Book Chapters   [--Back to Top--]

"Life-Cycle Funds," 2008, 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, 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, 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," with John Y. Campbell (Harvard University), available from Oxford University Press-UK and Oxford University Press-USA.

Appendix for "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--]

"Martingale Asset Management L.P. in 2008, 130/30 Funds and a Low Volatility Strategy" with Helen H. Tung. HBS Case # 209-047

"Barclays Global Investors and Exchange Traded Funds." with Alison Berkley Wagonfield. HBS Case # 208-033

"The Vanguard Group, Inc., in 2006 and Target Retirement Funds." HBS Case # 207-129

"The U.S. Retirement Savings Market and the Pension Protection Act of 2006." HBS Note # 207-130

"The Harvard Management Company and Inflation-Protected Bonds." HBS Case # 201-053 (Teaching Note available: HBS TN # 202-109)

"Asset Allocation: A Half-Course Module Note." HBS Note # 206-133

"Investment Policy at the Hewlett Foundation (2005)." HBS Case # 205-126 (Teaching Note available: HBS TN # 206-114)

"General Motors U.S. Pension Funds." with Helen H. Tung. HBS Case # 206-001
(Teaching Note available: HBS TN # 206-098)

"Investment Policy at New England Healthcare." with Jay O. Light and Akiko M. Mitsui. HBS Case # 204-018 (Teaching Note available: HBS TN # 206-112)

"Pension Policy at The Boots Company PLC." with Akiko M. Mitsui. HBS Case # 203-105
(Teaching Note available: HBS TN # 206-099)

"Investing in Japan." with Peter A. Hecht. HBS Case # 203-036

"The Harmonized Savings Plan at BP Amoco." HBS Case # 201-052
(Teaching Note available: HBS TN # 206-121)

"Dell Computer Corporation: Share Repurchase Program." with George C. Chacko. HBS Case # 200-056 (Teaching Note available: HBS TN # 201-115)