Showing results 1 - 7 of 7
| Adi Sunderam | Luis M. Viceira
Prudential Financial and Asset-Liability Management. Adi Sunderam, Luis Viceira, June 1, 2016, Case, "This product is about Financial Management." Link
| Luis M. Viceira
APG Group: Managing Pensions for the Future. Luis M. Viceira, February 2014, Case. "A case study on managing pensions for the future..." May require purchase or user account. Link
| Luis M. Viceira
Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity. Luis M. Viceira, September 27, 2013, Paper. "Estimating the liquidity differential between inflation-indexed and nominal bond yields, we separately test for time-varying real rate risk premia, inflation risk premia, and liquidity premia in U.S. and U.K. bond markets. We find strong, model independent evidence that real rate risk premia and inflation risk premia…
| Luis M. Viceira | Adi Sunderam | John Y. Campbell
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. John Y. Campbell, Adi Sunderam, Luis M. Viceira, January 15, 2013, Paper. "The covariance between U.S. Treasury bond returns and stock returns has moved considerably over time. While it was slightly positive on average in the period 1953–2009, it was unusually high in the early 1980s and negative in the 2000s, particularly in the downturns of 2000–2002 and 2007–2009. This…
| Karthik Ramanna | Luis M. Viceira
The Private Company Council. Karthik Ramanna, Luis M. Viceira, January 2013, Case. "Financial Accounting Foundation chairman Jack Brennan is under pressure from private-company interests to set up a new body—the Private Company Council—to determine separate GAAP for private companies. PCC advocates—including the US Chamber of Commerce—argue that traditional US GAAP has too many disclosure and fair-value requirements that impose very high…
| John Y. Campbell | Luis M. Viceira
Understanding Inflation-Indexed Bond Markets. John Campbell, Luis Viceira, May 3, 2009, Paper. "This paper explores the history of inflation-indexed bond markets in the US and the UK. It documents a massive decline in long-term real interest rates from the 1990's until 2008, followed by a sudden spike in these rates during the financial crisis of 2008. Breakeven inflation rates, calculated from inflation-indexed and nominal government bond…
| Luis M. Viceira
Developments in Asset Allocation Modeling. Luis Viceira, 2006, Book Chapter, "The "traditional" approach to designing policy portfolios assumes that expected returns risk, and real interest rates do not change over time so that short-term and long-term risk properties of asset returns are the same. Thus, target asset allocations are the same regardless of investment horizon and remain constant over time. The "modern" approach, in contrast,…