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Myopic Portfolio Choice

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0002
Subject:
Economics and Finance, Financial Economics

Reviews the theory of portfolio choice for short‐term investors, and explains the special cases in which long‐term investors should make the same choices as short‐term investors. When investors’ ... More


Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

John Y. Campbell and Luis M. Viceira

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.001.0001
Subject:
Economics and Finance, Financial Economics

One of the most important decisions many people face is the choice of a portfolio of assets for retirement savings. The leading academic paradigm of portfolio choice, the mean‐variance analysis of ... More


Strategic Asset Allocation in Continuous Time

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0005
Subject:
Economics and Finance, Financial Economics

Discusses solution methods for dynamic asset allocation problems in a continuous‐time framework, and uses them to explore optimal portfolio choice with time‐varying volatility and with parameter ... More


Who Should Buy Long‐Term Bonds?

John Y. Campbell and Luis M. Viceira

in Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

Published in print:
2002
Published Online:
November 2003
ISBN:
9780198296942
eISBN:
9780191596049
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198296940.003.0003
Subject:
Economics and Finance, Financial Economics

Develops a theory of long‐term portfolio choice when the real interest rate changes over time, but risk premia and variances and covariances of returns are constant. Conventional short‐term ... More


Implementing Pensions

Nicholas Barr and Peter Diamond

in Reforming Pensions: Principles and Policy Choices

Published in print:
2008
Published Online:
September 2009
ISBN:
9780195311303
eISBN:
9780199893461
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195311303.003.0009
Subject:
Economics and Finance, Financial Economics

This chapter first sets out the tasks that a government must be able to carry out if a pension reform is to succeed, tasks that clearly vary with the type of pension system. It then describes the ... More


Implementing Pensions

Nicholas Barr and Peter Diamond

in Pension Reform: A Short Guide

Published in print:
2009
Published Online:
September 2010
ISBN:
9780195387728
eISBN:
9780199870905
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780195387728.003.0007
Subject:
Economics and Finance, Economic Systems

This chapter first sets out the tasks that a government must be able to carry out if a pension reform is to succeed—tasks that clearly vary with the type of pension system. It then describes the ... More


Investing for the Long Run

Andrew Ang

in Asset Management: A Systematic Approach to Factor Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199959327
eISBN:
9780199382323
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199959327.003.0004
Subject:
Economics and Finance, Financial Economics

The foundation of long-term investing is to rebalance to fixed asset positions, which are determined in a one-period portfolio choice problem where the asset weights reflect the investor’s attitude ... More


Asking for Help: Survey and Experimental Evidence on Financial Advice and Behavior Change

Angela A. Hung and Joanne K. Yoong

in The Market for Retirement Financial Advice

Published in print:
2013
Published Online:
January 2014
ISBN:
9780199683772
eISBN:
9780191763359
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199683772.003.0009
Subject:
Business and Management, Pensions and Pension Management

When do individuals actually improve their financial behavior in response to advice? Using survey data from current defined contribution (DC) plan holders in the RAND American Life Panel (ALP), we ... More


Understanding Consumption

Angus Deaton

in Understanding Consumption

Published in print:
1992
Published Online:
November 2003
ISBN:
9780198288244
eISBN:
9780191596131
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/0198288247.003.0007
Subject:
Economics and Finance, Macro- and Monetary Economics

The author reviews the main issues discussed in the book and places them in the wider context of the evolution of macroeconomic thought. It points out to new theoretical and empirical puzzles raised ... More


Portfolio Choice

Kerry E. Back

in Asset Pricing and Portfolio Choice Theory

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.003.0002
Subject:
Economics and Finance, Financial Economics

The portfolio choice model is introduced, and the first‐order condition is derived. Properties of the demand for a single risky asset are derived from second‐order risk aversion and decreasing ... More


Institutions and Saving for Retirement: Comparing the United States, Italy, and the Netherlands

Arie Kapteyn and Constantijn Panis (eds)

in Analyses in the Economics of Aging

Published in print:
2005
Published Online:
February 2013
ISBN:
9780226902869
eISBN:
9780226903217
Item type:
chapter
Publisher:
University of Chicago Press
DOI:
10.7208/chicago/9780226903217.003.0010
Subject:
Economics and Finance, Econometrics

This chapter compares retirement saving and portfolio choice in the U.S., Italy and the Netherlands. The findings suggest that Americans should save more for retirement than the Dutch or the Italians ... More


Asset Pricing and Portfolio Choice Theory

Kerry E. Back

Published in print:
2017
Published Online:
May 2017
ISBN:
9780190241148
eISBN:
9780190241179
Item type:
book
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780190241148.001.0001
Subject:
Economics and Finance, Financial Economics

This book is intended as a textbook for asset pricing theory courses at the Ph.D. or Masters in Quantitative Finance level and as a reference for financial researchers. The first two parts of the ... More


Illiquid Assets

Andrew Ang

in Asset Management: A Systematic Approach to Factor Investing

Published in print:
2014
Published Online:
August 2014
ISBN:
9780199959327
eISBN:
9780199382323
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/acprof:oso/9780199959327.003.0013
Subject:
Economics and Finance, Financial Economics

After taking into account biases induced by infrequent trading and selection, it is unlikely that illiquid asset classes have higher risk-adjusted returns than traditional liquid stock and bond ... More


How Persistent Low Expected Returns Alter Optimal Life Cycle Saving, Investment, and Retirement Behavior

Vanya Horneff, Raimond Maurer, and Olivia S. Mitchell

in How Persistent Low Returns Will Shape Saving and Retirement

Published in print:
2018
Published Online:
October 2018
ISBN:
9780198827443
eISBN:
9780191866296
Item type:
chapter
Publisher:
Oxford University Press
DOI:
10.1093/oso/9780198827443.003.0008
Subject:
Business and Management, Pensions and Pension Management

This chapter explores how an environment of persistent low returns influences saving, investing, and retirement behaviors, compared to what in the past had been conceived of as ‘normal’ financial ... More


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