Publications
Publications
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- All HBS Web
(214)
- Faculty Publications (120)
- August 2013 (Revised November 2015)
- Case
Prudential Financial - General Motors Pension Risk Transfer: Back to the Future?
By: Luis M. Viceira and Emily A. Chien
In November 2012, Prudential Financial and General Motors closed on a $25.1B pension risk transfer (PRT) transaction, the largest of its kind to date by an order of magnitude both in the U.S. market and globally. In exchange for an in-kind transfer of $25.1B in... View Details
- June 2013 (Revised July 2013)
- Case
Blackstone Alternative Asset Management
By: Robin Greenwood, Luis M. Viceira and Jared Dourdeville
This case explores reasons for Blackstone Alternative Asset Management's (BAAM's) growth from 2007-2013, a time when the overall fund of hedge funds industry contracted substantially. Additionally, the case analyzes evolving business models and value propositions... View Details
- February 2013 (Revised January 2015)
- Supplement
Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)
- January 2013 (Revised March 2016)
- Case
The Private Company Council
By: Karthik Ramanna and Luis M. Viceira
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... View Details
- 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
- January – March 2012
- Article
Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates
By: Luis M. Viceira
This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with consumption growth, and in the volatility of bond returns. A robust stylized fact in empirical finance is that the spread between the yield on... View Details
- 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
- Article
Inflation-Indexed Bonds and the Expectations Hypothesis
By: Carolin E. Pflueger and Luis M. Viceira
This paper empirically analyzes the Expectations Hypothesis (EH) in inflation-indexed (or real) bonds and in nominal bonds in the U.S. and in the U.K. We strongly reject the EH in inflation-indexed bonds and also confirm and update the existing evidence rejecting the... View Details
- 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
- January 2011 (Revised June 2012)
- Teaching Note
Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy (TN)
By: Robin Greenwood and Luis M. Viceira
Teaching Note for 209-047. View Details
- Article
Optimal Value and Growth Tilts in Long-Horizon Portfolios
By: Jakub W. Jurek and Luis M. Viceira
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this... View Details
- September 2010 (Revised May 2012)
- Case
Windward Investment Management
By: Luis M. Viceira and Ricardo Alberto De Armas
Windward Investment Management has experienced rapid growth in assets under management in just ten years, from under $30 million at year-end 1999 to $3.6 billion in 2010. Windward is one of the leading firms in the Registered Investment Advisor (RIA) industry that... View Details
- July 2010 (Revised March 2016)
- Case
MacroMarkets LLC
By: Robin Greenwood and Luis M. Viceira
MacroMarkets co-founder and CEO Samuel Masucci III is meeting with a strategic partner for his firm. Co-founded with Yale University Professor Robert Shiller, MacroMarkets' main innovation is the "MacroShare," which allows investors to take long or short, levered or... View Details
- 2010
- Chapter
The Euro as a Reserve Currency for Global Investors
By: Luis M. Viceira and Ricardo Gimeno
This article explores the demand for the euro for risk management purposes and the evidence of stock market integration in the euro area. We define a reserve currency as one that investors demand either because it helps them hedge real interest risk and inflation risk,... View Details
- February 2010
- Article
Global Currency Hedging
By: John Y. Campbell, Karine Serfaty-de Medeiros and Luis M. Viceira
Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar) and the euro and Swiss franc (particularly in the second half of the period) have moved against world equity markets. Thus these currencies should be attractive to... View Details
- December 2009 (Revised February 2010)
- Case
The Investment Fund for Foundations (TIFF) in 2009
By: Luis M. Viceira and Brendon Christopher Parry
In late June 2009, management at The Investment Fund for Foundations (TIFF) was considering expanding the footprint of the TIFF Diversified Fund (TDF), the first truly comprehensive endowment management vehicle offered under the TIFF banner. The recent large capital... View Details
- Article
Understanding Inflation-Indexed Bond Markets
By: John Y. Campbell, Robert J. Shiller and Luis M. Viceira
- 2009
- Working Paper
Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds
By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
- August 2008 (Revised June 2012)
- Case
Martingale Asset Management LP in 2008, 130/30 Funds, and a Low-Volatility Strategy
By: Luis M. Viceira and Helen Tung
In early July of 2008, William (Bill) Jacques, Chief Investment Officer at Martingale Asset Management, a quantitative value-oriented investment manager in Boston, Massachusetts, was busy preparing for an upcoming meeting with the group that made new product decisions... View Details