Strategic Asset Allocation

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9780198296942: Strategic Asset Allocation

This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.

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About the Author:

John Y. Campbell received a BA from Oxford in 1979 and a PhD from Yale in 1984. He spent the next ten years teaching at Princeton, moving to Harvard in 1994 to become the first Otto Eckstein Professor of Applied Economics. Campbell has co-edited the American Economic Review and the Review of Economics and Statistics; he is a Fellow of the Econometric Society and the American Academy of Arts and Sciences, and a Research Associate and former Director of the Program in Asset Pricing at the National Bureau of Economic Research. His research concerns asset markets, the macroeconomy, and the links between them. Luis M. Viceira grew up in Santa Fe, Spain, and attended undergraduate college at the Universidad Autonoma in Madrid. In 1993 he came to the United States to attend graduate school, earning a PhD from Harvard in 1998. He has been a member of the Harvard Business School faculty since 1998, where he teaches Finance in the MBA program and in the Doctoral program. He is a Faculty Research Fellow of the National Bureau of Economic Research in Cambridge (MA, USA), a Research Affiliate of the Centre for Economic Policy Research in London (UK), and an associate editor of the Spanish Economic Review. His research concerns investments and asset prices. Viceira is also a member of the Academic Advisory Board of ABP Investments in The Netherlands.

Review:

`In Strategic Asset Allocation John Campbell and Luis Viceira go beyond the usual capital-markets research monographs that survey a broad swath of asset pricing and investment theory. Instead, they dig deeply and insightfully into how an individual investor would best allocate wealth into broad asset classes over a lifetime, bearing in mind age, risk preferences, changing market conditions, and uninsurable income shocks. With this clearly written synthesis of the best recent research on the topic, much of it their own, Campbell and Viceira have achieved excellence!' Darrell Duffie, Graduate School of Business, Stanford University

`At last we have a book that lays out how we should use the basic insights of mean-variance analysis to advise investors on their their lifetime portfolio problem. It is a pleasure to read when one sees such sensible and lucid application of highbrow financial theory to the most practical and important of problems. This book represents a major theoretical breakthrough that allows us to translate the principles of intertemporal financial and econometric theory into concrete advice for investing.' Robert J. Shiller, Yale University

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John Y Campbell, Luis M Viceira
Editore: OUP Oxford 2002-01-03, New York (2002)
ISBN 10: 0198296940 ISBN 13: 9780198296942
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Descrizione libro OUP Oxford 2002-01-03, New York, 2002. hardback. Condizione libro: New. Codice libro della libreria 9780198296942

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John Y. Campbell, Luis M. Viceira
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ISBN 10: 0198296940 ISBN 13: 9780198296942
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Descrizione libro Oxford University Press, United Kingdom, 2002. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors--both individuals and institutions such as charitable foundations or universities--seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem.Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities--both interest rates and risk premia on bonds and stocks--vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners.The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors. Codice libro della libreria AAZ9780198296942

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John Y. Campbell, Luis M. Viceira
Editore: Oxford University Press, United Kingdom (2002)
ISBN 10: 0198296940 ISBN 13: 9780198296942
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Descrizione libro Oxford University Press, United Kingdom, 2002. Hardback. Condizione libro: New. New.. Language: English . Brand New Book. Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors--both individuals and institutions such as charitable foundations or universities--seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem.Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities--both interest rates and risk premia on bonds and stocks--vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners.The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors. Codice libro della libreria AAZ9780198296942

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Descrizione libro OUP Oxford 2002-01-03, 2002. Hardcover. Condizione libro: New. Codice libro della libreria NU-GRD-00628217

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Descrizione libro Oxford University Press, 2002. Hardcover. Condizione libro: New. book. Codice libro della libreria 0198296940

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Descrizione libro OUP Oxford, 2002. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria GB-9780198296942

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Descrizione libro Oxford University Press, 2002. Condizione libro: New. This work links cutting-edge academic analysis of portfolio choice to the practical concerns of institutional investors, financial planners, and individual investors. It shows in empirical detail how long-term portfolios should differ from short-term portfolios. Series: Clarendon Lectures in Economics. Num Pages: 272 pages, 16 figures. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 224 x 146 x 22. Weight in Grams: 468. . 2002. 1st Edition. Hardcover. . . . . . Codice libro della libreria V9780198296942

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Descrizione libro Oxford University Press, 2002. Condizione libro: new. Shiny and new! Expect delivery in 20 days. Codice libro della libreria 9780198296942-1

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