21
H index
23
i10 index
3196
Citations
Harvard University (34% share) | 21 H index 23 i10 index 3196 Citations RESEARCH PRODUCTION: 18 Articles 47 Papers 1 Books 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Luis M. Viceira. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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American Economic Review | 2 |
Review of Finance | 2 |
Journal of Finance | 2 |
Year | Title of citing document | |
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2023 | Institutional Stock-Bond Portfolios Rebalancing and Financial Stability. (2023). Hasse, Jean-Baptiste ; Siagh, Souhila ; Lecourt, Christelle. In: AMSE Working Papers. RePEc:aim:wpaimx:2322. Full description at Econpapers || Download paper | |
2023 | Optimal consumption and portfolio selection with Epstein-Zin utility under general constraints. (2021). Tian, Dejian ; Feng, Zixin. In: Papers. RePEc:arx:papers:2111.09032. Full description at Econpapers || Download paper | |
2023 | The Elasticity of Quantitative Investment. (2023). Davis, Carter. In: Papers. RePEc:arx:papers:2303.14533. Full description at Econpapers || Download paper | |
2023 | Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343. Full description at Econpapers || Download paper | |
2023 | Valuation Duration of the Stock Market. (2023). Wang, Chen ; Li, YE. In: Papers. RePEc:arx:papers:2310.07110. Full description at Econpapers || Download paper | |
2023 | Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658. Full description at Econpapers || Download paper | |
2023 | Worst-Case Optimal Investment in Incomplete Markets. (2023). Merkel, Sebastian ; Desmettre, Sascha ; Steinicke, Alexander ; Mickel, Annalena. In: Papers. RePEc:arx:papers:2311.10021. Full description at Econpapers || Download paper | |
2024 | Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6. Full description at Econpapers || Download paper | |
2024 | Oil price shocks in real time. (2024). Veronese, Giovanni ; Venditti, Fabrizio ; Gazzani, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1448_24. Full description at Econpapers || Download paper | |
2023 | Who uses robo?advising and how?. (2023). Jain, Pawan ; Baulkaran, Vishaal. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:1:p:65-89. Full description at Econpapers || Download paper | |
2023 | Optimal investment with correlated stochastic volatility factors. (2023). Fouque, Jeanpierre ; Bichuch, Maxim. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:2:p:342-369. Full description at Econpapers || Download paper | |
2023 | Foreign exchange hedging using regime-switching models: the case of pound sterling. (2023). Fatouh, Mahmoud ; Papapostolou, Nikos C ; Moutzouris, Ioannis C ; Lee, Taehyun. In: Bank of England working papers. RePEc:boe:boeewp:1042. Full description at Econpapers || Download paper | |
2023 | From Patriarchy to Partnership: Gender Equality and Household Finance. (2023). Zaccaria, Luana ; Guiso, Luigi. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:968. Full description at Econpapers || Download paper | |
2023 | Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03. Full description at Econpapers || Download paper | |
2023 | Long-term Investors, Demand Shifts, and Yields. (2023). Jansen, Kristy. In: Working Papers. RePEc:dnb:dnbwpp:769. Full description at Econpapers || Download paper | |
2023 | Richer earnings dynamics, consumption and portfolio choice over the life cycle. (2023). Paz-Pardo, Gonzalo ; Galvez, Julio. In: Working Paper Series. RePEc:ecb:ecbwps:20232810. Full description at Econpapers || Download paper | |
2024 | Risks and risk premia in the US Treasury market. (2024). Sarno, Lucio ; Zinna, Gabriele ; Li, Junye. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:158:y:2024:i:c:s016518892300194x. Full description at Econpapers || Download paper | |
2023 | Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2023 | Moments, shocks and spillovers in Markov-switching VAR models. (2023). Kole, Erik ; van Dijk, Dick. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623001902. Full description at Econpapers || Download paper | |
2023 | Transformed regression-based long-horizon predictability tests. (2023). Taylor, Robert ; Rodrigues, Paulo ; Demetrescu, Matei ; Robert, A M. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622001294. Full description at Econpapers || Download paper | |
2023 | Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Magdalinos, Tassos ; Stamatogiannis, Michalis P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052. Full description at Econpapers || Download paper | |
2023 | A dynamic quantile model for distinguishing intertemporal substitution from risk aversion. (2023). Galvao, Antonio ; Cundy, Lance D ; de Castro, Luciano ; Westenberger, Rafael. In: European Economic Review. RePEc:eee:eecrev:v:159:y:2023:i:c:s0014292123002155. Full description at Econpapers || Download paper | |
2023 | Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850. Full description at Econpapers || Download paper | |
2023 | On optimal constrained investment strategies for long-term savers in stochastic environments and probability hedging. (2023). Vodika, Peter ; Nielsen, Jens Perch ; Kyriakou, Ioannis ; Gerrard, Russell. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:2:p:948-962. Full description at Econpapers || Download paper | |
2024 | Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782. Full description at Econpapers || Download paper | |
2023 | Central bank swap arrangements and exchange rate volatility: Evidence from China. (2023). Li, Yang ; Liu, Zhuqing ; Yu, Ziliang. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000493. Full description at Econpapers || Download paper | |
2024 | FX-hedging for Latin American investors. (2024). Goldberger, Natan ; Alfaro, Rodrigo. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000128. Full description at Econpapers || Download paper | |
2023 | Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables. (2023). Nonejad, Nima. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:91-122. Full description at Econpapers || Download paper | |
2023 | Investor sentiment and global economic conditions. (2023). Lutkebohmert, Eva ; Herculano, Miguel C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:134-152. Full description at Econpapers || Download paper | |
2023 | Dynamic relationship between Stock and Bond returns: A GAS MIDAS copula approach. (2023). Javed, Farrukh ; Nguyen, Hoang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:272-292. Full description at Econpapers || Download paper | |
2023 | Portfolio allocation over the life cycle with multiple late-in-life saving motives. (2023). Lee, Minjoon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000865. Full description at Econpapers || Download paper | |
2023 | What drives the TIPS–Treasury bond mispricing?. (2023). Ahn, Yongkil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001056. Full description at Econpapers || Download paper | |
2023 | Is gold a hedge or a safe haven against stock markets? Evidence from conditional comoments. (2023). Liu, Qianqiu ; Yang, Ping ; Ming, Lei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001068. Full description at Econpapers || Download paper | |
2023 | Expected long-term rates of return when short-term returns are serially correlated. (2023). Tronnes, Haakon Andreas ; Mork, Knut Anton. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923002120. Full description at Econpapers || Download paper | |
2023 | Geopolitical risk and household stock market participation. (2023). Lee, Kiryoung. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005074. Full description at Econpapers || Download paper | |
2023 | A class of portfolio optimization solvable problems. (2023). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Cheng, Yuyang. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005505. Full description at Econpapers || Download paper | |
2023 | Financial stabilization policy, market sentiment, and stock market returns. (2023). Yang, Jianlei. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s1544612322005566. Full description at Econpapers || Download paper | |
2023 | Safe haven for crude oil: Gold or currencies?. (2023). Dong, Minyi ; Yang, Shenggang ; Tian, Xinyi ; Ming, Lei. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001666. Full description at Econpapers || Download paper | |
2023 | Market systemic risk, predictability and macroeconomics news. (2023). Xie, Yiqiang ; Fan, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004749. Full description at Econpapers || Download paper | |
2024 | Mean–variance optimization under affine GARCH: A utility-based solution. (2024). Escobar Anel, Marcos ; Spies, Ben ; Escobar-Anel, Marcos ; Zagst, Rudi. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011212. Full description at Econpapers || Download paper | |
2024 | Inequality, premium and the timing of resolution of uncertainty. (2024). Giannikos, Christos ; Koimisis, Georgios. In: Finance Research Letters. RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012357. Full description at Econpapers || Download paper | |
2023 | Portfolio choice with illiquid asset for a loss-averse pension fund investor. (2023). Zeng, Yan ; Li, Zhongfei ; Chen, Zheng. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:108:y:2023:i:c:p:60-83. Full description at Econpapers || Download paper | |
2023 | Intergenerational sharing of unhedgeable inflation risk. (2023). Beetsma, Roel. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:140-160. Full description at Econpapers || Download paper | |
2023 | Optimal investment, consumption and life insurance purchase with learning about return predictability. (2023). Li, Baihui ; Peng, Xingchun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:113:y:2023:i:c:p:70-95. Full description at Econpapers || Download paper | |
2023 | Explaining accruals quality over time. (2023). Nelson, Karen K ; D'Adduzio, Jenna ; Christensen, Theodore E. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000982. Full description at Econpapers || Download paper | |
2023 | The changing landscape of treasury auctions. (2023). Tedongap, Romeo ; Amin, Shehryar. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622002941. Full description at Econpapers || Download paper | |
2023 | Do required minimum distribution 401(k) rules matter, and for whom? Insights from a lifecycle model. (2023). Mitchell, Olivia ; Maurer, Raimond ; Horneff, Vanya. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001462. Full description at Econpapers || Download paper | |
2024 | Back to the funding ratio! Addressing the duration puzzle and retirement income risk of defined contribution pension plans. (2024). Martinez-Carrasco, Miguel ; Garcia-Huitron, Manuel E ; Martellini, Lionel ; Mantilla-Garcia, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:159:y:2024:i:c:s0378426623002479. Full description at Econpapers || Download paper | |
2023 | Portfolio Choice with Endogenous Donations - Modeling University Endowments. (2023). Stoughton, Neal M ; Franz, Richard ; Cejnek, Georg. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s014861952300022x. Full description at Econpapers || Download paper | |
2023 | Multilateral exchange rates: A multivariate regression framework. (2023). Kunkler, Michael. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s0148619523000255. Full description at Econpapers || Download paper | |
2023 | From patriarchy to partnership: Gender equality and household finance. (2023). Zaccaria, Luana ; Guiso, Luigi. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:573-595. Full description at Econpapers || Download paper | |
2023 | Sparse and stable international portfolio optimization and currency risk management. (2023). Ulrych, Urban ; Burkhardt, Raphael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300150x. Full description at Econpapers || Download paper | |
2023 | Intervention uncertainty, household health, and pandemic. (2023). Zhao, Yikai ; Sun, Rui. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:105:y:2023:i:c:s0304406823000125. Full description at Econpapers || Download paper | |
2023 | Government debt and risk premia. (2023). Liu, Yang. In: Journal of Monetary Economics. RePEc:eee:moneco:v:136:y:2023:i:c:p:18-34. Full description at Econpapers || Download paper | |
2023 | The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511. Full description at Econpapers || Download paper | |
2023 | Lifetime asset allocation with long run risk and time various risk aversion. (2023). Luo, Ronghua ; Tang, Tao ; Gu, Jing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:230-251. Full description at Econpapers || Download paper | |
2024 | Life-cycle risk-taking with personal disaster risk. (2024). Bagliano, Fabio ; Fugazza, Carolina ; Nicodano, Giovanna. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:378-396. Full description at Econpapers || Download paper | |
2024 | Strategic asset allocation with distorted beliefs. (2024). Wei, Tzu-Wen ; Hung, Mao-Wei ; Chung, San-Lin ; Yeh, Chung-Ying. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:804-831. Full description at Econpapers || Download paper | |
2023 | Putting the price in asset pricing. (2023). Polk, Christopher ; Cho, Thummim. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:120805. Full description at Econpapers || Download paper | |
2023 | Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?. (2021). Lopez, Pierlauro. In: Working Papers. RePEc:fip:fedcwq:93000. Full description at Econpapers || Download paper | |
2023 | Nominal Rigidities and the Term Structures of Equity and Bond Returns. (2023). Vazquez-Grande, Francisco ; Lopez-Salido, David J. In: Working Papers. RePEc:fip:fedcwq:96114. Full description at Econpapers || Download paper | |
2023 | Perceptions about Monetary Policy. (2023). Pflueger, Carolin ; Bauer, Michael D ; Sunderam, Adi. In: Working Paper Series. RePEc:fip:fedfwp:97242. Full description at Econpapers || Download paper | |
2023 | Why Does the Yield Curve Predict GDP Growth? The Role of Banks. (2023). Wei, Min ; Schneider, Andres ; Minoiu, Camelia. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:96648. Full description at Econpapers || Download paper | |
2024 | Downward Nominal Rigidities and Bond Premia. (2024). Ngo, Phuong ; Gourio, Francois. In: Working Paper Series. RePEc:fip:fedhwp:98104. Full description at Econpapers || Download paper | |
2024 | (IAM Series No 001) On the Out-Of-Sample Importance of Skewness and Asymetric Dependence for Asset Allocation. (2002). Patton, Andrew. In: FMG Discussion Papers. RePEc:fmg:fmgdps:dp431. Full description at Econpapers || Download paper | |
2023 | Islamic vs. Conventional Equity Markets: A Multifractal Cross-Correlation Analysis with Economic Policy Uncertainty. (2023). Oliveira, Marcia ; Ali, Haider ; Ferreira, Paulo ; Aslam, Faheem. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:1:p:16-:d:1027087. Full description at Econpapers || Download paper | |
2024 | Monetary Policy Spillovers and Inter-Market Dynamics Perspective of Preferred Habitat Model. (2024). Kowalewski, Oskar ; Wahid, Abdul. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:5:p:98-:d:1382171. Full description at Econpapers || Download paper | |
2023 | Safe-Haven Currencies as Defensive Assets in Global Stocks Portfolios: A Reassessment of the Empirical Evidence (1999–2022). (2023). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:5:p:273-:d:1147407. Full description at Econpapers || Download paper | |
2024 | What Drives Asset Returns Comovements? Some Empirical Evidence from US Dollar and Global Stock Returns (2000–2023). (2024). Tronzano, Marco. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:4:p:167-:d:1378380. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Population Diversity and Financial Risk-Taking. (2023). Ongena, Steven ; Dioikitopoulos, Evangelos V ; Delis, Manthos D. In: Post-Print. RePEc:hal:journl:hal-04083169. Full description at Econpapers || Download paper | |
2023 | PORTFOLIO CHOICE WITH TIME HORIZON RISK. (2023). Direr, Alexis. In: Post-Print. RePEc:hal:journl:hal-04501750. Full description at Econpapers || Download paper | |
2023 | Health accidents and wealth decline in old age. (2023). d'Albis, Hippolyte ; Legendre, Berangere ; el Mekkaoui, Najat. In: PSE Working Papers. RePEc:hal:psewpa:halshs-04174032. Full description at Econpapers || Download paper | |
2023 | Global Disaster Risk Matters. (2023). Zhu, Xiaoneng ; Zhang, Qunzi ; Yao, Jiaquan ; Chen, Jian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:1:p:576-597. Full description at Econpapers || Download paper | |
2023 | Extreme Inflation and Time-Varying Expected Consumption Growth. (2023). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2972-3002. Full description at Econpapers || Download paper | |
2023 | Gone with the Vol: A Decline in Asset Return Predictability During the Great Moderation. (2023). Qian, Liang ; Palomino, Francisco ; Hsu, Alex. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:3025-3047. Full description at Econpapers || Download paper | |
2023 | Co-jumps and recursive preferences in portfolio choices. (2023). Stefani, Ilaria ; Oliva, Immacolata. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-023-00425-2. Full description at Econpapers || Download paper | |
2023 | Measuring Dependence in a Set of Asset Returns. (2023). Wang, King ; Madan, Dilip B. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:30:y:2023:i:2:d:10.1007_s10690-022-09378-4. Full description at Econpapers || Download paper | |
2024 | A Dynamic Trading Model for Use with a One Step Ahead Optimal Strategy. (2024). Bhaya, Amit ; Kaszkurewicz, Eugenius ; Ferreira, Leonardo Valente. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:4:d:10.1007_s10614-023-10375-6. Full description at Econpapers || Download paper | |
2023 | Stated Product Choices of Heterogeneous Agents are Largely Consistent with Standard Models. (2023). Soest, Arthur ; Nijman, Theo ; Dees, Bart. In: De Economist. RePEc:kap:decono:v:171:y:2023:i:3:d:10.1007_s10645-023-09424-0. Full description at Econpapers || Download paper | |
2023 | Correcting estimation bias in regime switching dynamic term structure models. (2023). Liu, Liu ; Cho, Sungjun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:61:y:2023:i:3:d:10.1007_s11156-023-01182-z. Full description at Econpapers || Download paper | |
2024 | Did the Bank of Englands quantitative easing programme become fiscally wasteful?. (2024). Bleaney, Michael. In: Discussion Papers. RePEc:not:notcfc:2024/01. Full description at Econpapers || Download paper | |
2023 | Historical Relationships and International Market Return Predictability: The Role of the UK in the Former British Colonies, Protectorates and Mandates. (2023). Saito, Yuta ; Hidaka, Takuro ; Sakamoto, Jun. In: Discussion Papers in Economics and Business. RePEc:osk:wpaper:2108r. Full description at Econpapers || Download paper | |
2023 | Small Rebalanced Portfolios Often Beat the Market over Long Horizons. (2023). Hjalmarsson, Erik ; Farago, Adam. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:2:p:307-342.. Full description at Econpapers || Download paper | |
2023 | Social Interaction in the Family: Evidence from Investors’ Security Holdings*. (2023). Sarvimaki, Matti ; Rantapuska, Elias ; Knupfer, Samuli. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:4:p:1297-1327.. Full description at Econpapers || Download paper | |
2023 | A Theory of the Nominal Character of Stock Securities*. (2023). Savioz, Marcel ; Dumas, Bernard. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:5:p:1615-1657.. Full description at Econpapers || Download paper | |
2023 | Macroeconomic News and Stock–Bond Comovement*. (2023). Duffee, Gregory R. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:5:p:1859-1882.. Full description at Econpapers || Download paper | |
2023 | How does retirement affect optimal life cycle portfolio allocation between stocks and bonds?. (2023). Rudys, Valentinas. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:3:d:10.1057_s41260-022-00298-6. Full description at Econpapers || Download paper | |
2024 | Quantifying the non-Gaussian gain. (2024). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:1:d:10.1057_s41260-023-00338-9. Full description at Econpapers || Download paper | |
2024 | Liability-driven investment for pension funds: stochastic optimization with real assets. (2024). Owadally, Iqbal ; Clare, Andrew ; Jang, Chul. In: Risk Management. RePEc:pal:risman:v:26:y:2024:i:3:d:10.1057_s41283-024-00141-9. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2001 | Who Should Buy Long-Term Bonds? In: American Economic Review. [Full Text][Citation analysis] | article | 256 |
1998 | Who Should Buy Long-Term Bonds?.(1998) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2000 | Who Should Buy Long-Term Bonds?.(2000) In: Harvard Institute of Economic Research Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
1998 | Who Should Buy Long-Term Bonds?.(1998) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 256 | paper | |
2008 | Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds In: American Economic Review. [Full Text][Citation analysis] | article | 90 |
2008 | Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds.(2008) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 90 | paper | |
2011 | Inflation-Indexed Bonds and the Expectations Hypothesis In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 23 |
2011 | Inflation-Indexed Bonds and the Expectations Hypothesis.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 23 | paper | |
2010 | The euro as a reserve currency for global investors In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2009 | Understanding Inflation-Indexed Bond Markets In: Brookings Papers on Economic Activity. [Full Text][Citation analysis] | article | 67 |
2009 | Understanding Inflation-Indexed Bond Markets.(2009) In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
2009 | Understanding Inflation-Indexed Bond Markets.(2009) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
2009 | Understanding Inflation-Indexed Bond Markets.(2009) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 67 | paper | |
2001 | Optimal Portfolio Choice for Long?Horizon Investors with Nontradable Labor Income In: Journal of Finance. [Full Text][Citation analysis] | article | 330 |
1999 | Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 330 | paper | |
2010 | Global Currency Hedging In: Journal of Finance. [Full Text][Citation analysis] | article | 122 |
2009 | Global Currency Hedging.(2009) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | paper | |
2007 | Global Currency Hedging.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 122 | paper | |
2007 | THE EXCESS BURDEN OF GOVERNMENT INDECISION In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 37 |
2010 | The Excess Burden of Government Indecision.(2010) In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2006 | The Excess Burden of Government Indecision.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2012 | The Excess Burden of Government Indecision.(2012) In: NBER Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | chapter | |
2007 | The Excess Burden of Government Indecision.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | paper | |
2012 | The Excess Burden of Government Indecision.(2012) In: Tax Policy and the Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
2007 | PUTTY-CLAY TECHNOLOGY AND STOCK MARKET VOLATILITY In: Boston University - Department of Economics - Working Papers Series. [Citation analysis] | paper | 12 |
2001 | A Multivariate Model of Strategic Asset Allocation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 238 |
2003 | A multivariate model of strategic asset allocation.(2003) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 238 | article | |
2003 | A Multivariate Model of Strategic Asset Allocation.(2003) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 238 | paper | |
2001 | A Multivariate Model of Strategic Asset Allocation.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 238 | paper | |
2002 | Foreign Currency for Long-Term Investors In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 26 |
2003 | Foreign Currency for Long-Term Investors.(2003) In: Economic Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | article | |
2003 | Foreign Currency for Long-Term Investors.(2003) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2002 | Foreign Currency for Long-Term Investors.(2002) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
2003 | Strategic Asset Allocation in a Continuous Time VAR Model In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 41 |
2004 | Strategic asset allocation in a continuous-time VAR model.(2004) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2004 | Strategic Asset Allocation in a Continuous-Time VAR Model.(2004) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2003 | Strategic Asset Allocation in a Continuous-Time VAR Model.(2003) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2005 | Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 210 |
1999 | Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets.(1999) In: FAME Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 210 | paper | |
1999 | Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets.(1999) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 210 | paper | |
2005 | Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets.(2005) In: The Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 210 | article | |
2005 | The Term Structure of the Risk-Return Tradeoff In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 68 |
2005 | The Term Structure of the Risk-Return Tradeoff.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2006 | Optimal Value and Growth Tilts in Long-Horizon Portfolios In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
2006 | Optimal Value and Growth Tilts in Long-Horizon Portfolios.(2006) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | paper | |
2011 | Optimal Value and Growth Tilts in Long-Horizon Portfolios.(2011) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2003 | Spectral GMM estimation of continuous-time processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 129 |
2012 | Bond risk, bond return volatility, and the term structure of interest rates In: International Journal of Forecasting. [Full Text][Citation analysis] | article | 43 |
1998 | Consumption and Portfolio Decisions When Expected Returns Are Time Varying In: Harvard Institute of Economic Research Working Papers. [Citation analysis] | paper | 462 |
1999 | Consumption and Portfolio Decisions When Expected Returns are Time Varying.(1999) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 462 | paper | |
1996 | Consumption and Portfolio Decisions When Expected Returns are Time Varying.(1996) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 462 | paper | |
1999 | Consumption and Portfolio Decisions when Expected Returns are Time Varying.(1999) In: The Quarterly Journal of Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 462 | article | |
2000 | Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor In: Harvard Institute of Economic Research Working Papers. [Full Text][Citation analysis] | paper | 27 |
2001 | Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor.(2001) In: Scholarly Articles. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2001 | Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor.(2001) In: Review of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | article | |
1999 | Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor.(1999) In: Computing in Economics and Finance 1999. [Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2013 | Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity In: Harvard Business School Working Papers. [Full Text][Citation analysis] | paper | 27 |
2011 | Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity.(2011) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 27 | paper | |
2018 | Macroeconomic Drivers of Bond and Equity Risks In: Harvard Business School Working Papers. [Full Text][Citation analysis] | paper | 71 |
2014 | Macroeconomic Drivers of Bond and Equity Risks.(2014) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | paper | |
2020 | Macroeconomic Drivers of Bond and Equity Risks.(2020) In: Journal of Political Economy. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 71 | article | |
2009 | Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds In: NBER Working Papers. [Full Text][Citation analysis] | paper | 117 |
2017 | Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds.(2017) In: Critical Finance Review. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | article | |
2008 | Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds.(2008) In: 2008 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 117 | paper | |
2018 | Global Portfolio Diversification for Long-Horizon Investors In: NBER Working Papers. [Full Text][Citation analysis] | paper | 6 |
2002 | Strategic Asset Allocation: Portfolio Choice for Long-Term Investors In: OUP Catalogue. [Citation analysis] | book | 707 |
2014 | Monetary Policy Drivers of Bond and Equity Risks In: 2014 Meeting Papers. [Full Text][Citation analysis] | paper | 67 |
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