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Publications

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  • May 2015
  • Case

LOYAL3: Own What You Love™

By: Luis M. Viceira and Allison Ciechanover
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  • Article

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

By: George Chacko and Luis M. Viceira
Keywords: Decision Choices and Conditions; Investment; Markets
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  • October 2004
  • Article

Strategic Asset Allocation in a Continuous-time VAR Model

By: John Y. Campbell, George Chacko, Jorge Rodriguez and Luis M. Viceira
Keywords: Assets; Resource Allocation; Strategy
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  • February 2013 (Revised January 2015)
  • Supplement

Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)

By: Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira
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  • 2009
  • Working Paper

Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds

By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
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  • August 2022 (Revised August 2022)
  • Teaching Note

Pershing Square’s Pandemic Trade

By: Emil N. Siriwardane and Luis M. Viceira
Teaching Note for HBS Case Nos. 222-007, 222-008, 222-009, and 222-010. View Details
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  • 2016
  • Chapter

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

By: Carolin E. Pflueger and Luis M. Viceira
Keywords: Investment Return; Bonds; Forecasting and Prediction; Inflation and Deflation
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  • 2013
  • Working Paper

Appendix to 'Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity'

By: Carolin E. Pflueger and Luis M. Viceira
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  • 2013
  • Working Paper

Return Predictability in the Treasury Market: Real Rates, Inflation, and Liquidity

By: Carolin E. Pflueger and Luis M. Viceira
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... View Details
Keywords: Expectations Hypothesis; Term Structure; Real Interest Rate Risk; Inflation Risk; Inflation-Indexed Bonds; Financial Crisis; Inflation and Deflation; Financial Liquidity; Bonds; Investment Return; Risk and Uncertainty; United Kingdom; United States
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  • May 2024 (Revised July 2024)
  • Case

The Silicon Valley Bank Crisis: MAPFRE USA's Investment in SVB Financial Group Bonds

By: Ishita Sen, Emil Nuwan Siriwardane, David S. Scharfstein and Luis M. Viceira
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  • August 2020
  • Article

Macroeconomic Drivers of Bond and Equity Risks

By: John Y. Campbell, Carolin E. Pflueger and Luis M. Viceira
Our new model of consumption-based habit generates time-varying risk premia on bonds and stocks from loglinear, homoskedastic macroeconomic dynamics. Consumers' first-order condition for the real risk-free bond generates an exactly loglinear consumption Euler equation,... View Details
Keywords: Consumption-based Habit Formation; Consumption Euler Equation; Time-varying Risk Premia; Inflation Dynamics; Bond-stock Correlation; Risk and Uncertainty; Bonds; Macroeconomics
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  • February 2016
  • Supplement

Models of Endowment Management: King's College, Cambridge

By: David Chambers, Elroy Dimson, Luis M. Viceira and Elena Corsi
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  • 06 Dec 2021
  • News

HBS Curricula Explore the Complexities of Innovation

degrees in mechanical engineering and economics at Yale and then worked in tech investments at Morgan Stanley and as a project manager at Microsoft. But what Hopkins hoped to learn from the course taught by Shane Greenstein, the Martin... View Details
Keywords: Jennifer Gillespie
  • 02 Nov 2010
  • First Look

First Look: November 2, 2010

U.S. patent law. Then by piecing together the strategy of the company and how it is driven by its IP position, students can understand why the litigation represents such a high stakes gamble. Purchase this... View Details
Keywords: Sean Silverthorne
  • 2013
  • Working Paper

Internet Appendix for "Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds"

By: Adi Sunderam, Luis M. Viceira and John Y. Campbell
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  • 20 May 2008
  • First Look

First Look: May 20, 2008

Life-Cycle Funds Authors:Francisco J. Gomes, Laurence J. Kotlikoff, and Luis M. Viceira Abstract We investigate optimal consumption, asset accumulation and portfolio decisions... View Details
Keywords: Martha Lagace
  • 2012
  • Article

The Excess Burden of Government Indecision

By: Francisco J. Gomes, Laurence J. Kotlikoff and Luis M. Viceira
Governments are known for procrastinating when it comes to resolving painful policy problems. Whatever the political motives for waiting to decide, procrastination distorts economic decisions relative to what would arise with early policy resolution. In so doing, it... View Details
Keywords: Saving; Risk and Uncertainty; Investment Portfolio; Decision Choices and Conditions; Retirement; Policy; Government and Politics
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  • 19 Oct 2010
  • First Look

First Look: October 19, 2010

case:http://cb.hbsp.harvard.edu/cb/product/411042-PDF-ENG MacroMarkets LLC Robin Greenwood and Luis M. ViceiraHarvard Business School Case 211-006 MacroMarkets co-founder and CEO Samuel Masucci III is... View Details
Keywords: Sean Silverthorne
  • June 2016 (Revised March 2017)
  • Case

Prudential Financial and Asset-Liability Management

By: Mark S. Seasholes, Adi Sunderam, Luis M. Viceira and Emily A. Chien
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  • 01 Jun 2003
  • News

South Florida and Minnesota Launch Community Programs

“Transforming Life, Transforming Business: The Life Science Revolution,” an event sponsored by the HBS Health Industry Alumni Association and the Harvard Club of San Antonio. Speakers included Juan Enriquez (MBA ’86), director of the HBS... View Details
Keywords: Alumni groups; Colleges, Universities, and Professional Schools; Educational Services