Strategic asset allocation: portfolio choice for long-term investors
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Oxford [u.a.]
Oxford Univ. Press
2003
|
| Edition: | 1. publ., repr. |
| Series: | Clarendon lectures in economics
|
| Subjects: | |
| Online Access: | Klappentext Inhaltsverzeichnis |
| Physical Description: | XII, 257 S. graph. Darst. |
| ISBN: | 0198296940 |
Staff View
MARC
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| 245 | 1 | 0 | |a Strategic asset allocation |b portfolio choice for long-term investors |c John Y. Campbell ; Luis M. Viceira |
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Record in the Search Index
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| adam_text | Academic
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 port¬
folio 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
such as charitable foundations or universities
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
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
inter-temporal shocks to investment opportunities
and labor income as well as shocks to wealth itself,
and they may use financial assets to hedge their
inter-temporal risks. This should be important in
practice because there is a great deal of empirical
evidence that investment opportunities
interest rates and risk
vary through time. Yet this insight has had little
influence on investment practice because it is hard
to solve for optimal portfolios in
models.
This book seeks to develop the
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.
John Y.
of Applied Economics at Harvard University since
1994.
Rf view and the Review of Economics and Statistics,
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. He is also a founding partner
of Arrowstreet Capital, LP, a quantitative asset
management firm in Cambridge, Massachusetts.
Luis M. Viceira has been a member of the Harvard
Business School faculty since
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. Massachusetts and a Research
Affiliate of the Centre for Economic Policy
Research in London.
Contents
List of Figures
List of Tables
1.
2.
2.1.
2.2.
2.3.
3.
3.1.
with Constant Variances and Risk
3.2.
3.3.
4.
4.1.
4.2.
Historical US Data
4.3.
5.
5.1.
5.2.
5.3.
5.4.
5.5.
5.6.
xii
6.
6.1.
6.2.
Long-Horizon Portfolio Choice
6.3.
7.
7.1.
Asset Allocation?
7.2.
7.3.
References
Author Index
Subject Index
|
| any_adam_object | 1 |
| author | Campbell, John Y. 1958- Viceira, Luis M. |
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| callnumber-subject | HG - Finance |
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| classification_tum | WIR 160f |
| ctrlnum | (OCoLC)52659842 (DE-599)BVBBV017148768 |
| dewey-full | 332.60151 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.60151 |
| dewey-search | 332.60151 |
| dewey-sort | 3332.60151 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | 1. publ., repr. |
| format | Book |
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| id | DE-604.BV017148768 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T19:14:20Z |
| institution | BVB |
| isbn | 0198296940 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010339555 |
| oclc_num | 52659842 |
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| physical | XII, 257 S. graph. Darst. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | Oxford Univ. Press |
| record_format | marc |
| series2 | Clarendon lectures in economics |
| spelling | Campbell, John Y. 1958- Verfasser (DE-588)124799906 aut Strategic asset allocation portfolio choice for long-term investors John Y. Campbell ; Luis M. Viceira 1. publ., repr. Oxford [u.a.] Oxford Univ. Press 2003 XII, 257 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Clarendon lectures in economics Administração de investimentos larpcal Finanças (economia) larpcal Investimentos larpcal Investitionstheorie gtt Kapitalmarkttheorie gtt Wirtschaftsplanung (DE-588)4066491-0 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Wirtschaftsplanung (DE-588)4066491-0 s DE-604 Viceira, Luis M. Verfasser (DE-588)129192252 aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010339555&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Klappentext Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010339555&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Campbell, John Y. 1958- Viceira, Luis M. Strategic asset allocation portfolio choice for long-term investors Administração de investimentos larpcal Finanças (economia) larpcal Investimentos larpcal Investitionstheorie gtt Kapitalmarkttheorie gtt Wirtschaftsplanung (DE-588)4066491-0 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| subject_GND | (DE-588)4066491-0 (DE-588)4115601-8 |
| title | Strategic asset allocation portfolio choice for long-term investors |
| title_auth | Strategic asset allocation portfolio choice for long-term investors |
| title_exact_search | Strategic asset allocation portfolio choice for long-term investors |
| title_full | Strategic asset allocation portfolio choice for long-term investors John Y. Campbell ; Luis M. Viceira |
| title_fullStr | Strategic asset allocation portfolio choice for long-term investors John Y. Campbell ; Luis M. Viceira |
| title_full_unstemmed | Strategic asset allocation portfolio choice for long-term investors John Y. Campbell ; Luis M. Viceira |
| title_short | Strategic asset allocation |
| title_sort | strategic asset allocation portfolio choice for long term investors |
| title_sub | portfolio choice for long-term investors |
| topic | Administração de investimentos larpcal Finanças (economia) larpcal Investimentos larpcal Investitionstheorie gtt Kapitalmarkttheorie gtt Wirtschaftsplanung (DE-588)4066491-0 gnd Portfoliomanagement (DE-588)4115601-8 gnd |
| topic_facet | Administração de investimentos Finanças (economia) Investimentos Investitionstheorie Kapitalmarkttheorie Wirtschaftsplanung Portfoliomanagement |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010339555&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010339555&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
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