Publications

2008
Chapter

Life-Cycle Funds

The U.S. retirement system has experienced a substantial transformation in recent years. It has evolved from a system in which employees relied mainly on Social Security and professionally managed defined benefit (DB) pension plans sponsored by their employers to... View Details

Keywords: Retirement; Personal Finance; Investment Funds; Compensation and Benefits; United States

October 2007 (Revised November 2007)
Case

Barclays Global Investors and Exchange Traded Funds

By: Luis M. Viceira and Alison Berkley Wagonfeld

Provides an overview of the Exchange Traded Funds (EFT) industry and highlights the leadership role that Barclays Global Investors (BGI) has played in this developing asset class. BGI launched its first ETFs under the iShares brand name in 2000, and by mid-2007 BGI was... View Details

Keywords: History; Venture Capital; Asset Management; Stocks; Investment Funds; Leading Change; Expansion; Competitive Strategy; Capital Markets; Global Strategy; Financial Strategy; Banking Industry; Financial Services Industry; Asia; Europe

June 2007 (Revised January 2008)
Background Note

The U.S. Retirement Savings Market and the Pension Protection Act of 2006

By: Luis M. Viceira and Helen Tung

Provides an overview of the evolution of the private retirement savings market in the U.S. since 1990; the management and administration of defined-contribution (DC) plans; the existing evidence about the investment and savings decisions of participants in DC plans;... View Details

Keywords: Investment; Personal Finance; Saving; Government Legislation; Retirement; Business and Government Relations; Financial Services Industry; United States

June 2007 (Revised January 2008)
Case

The Vanguard Group, Inc. in 2006 and Target Retirement Funds

The Vanguard Group is one of the largest asset managers in the U.S., with over $1 trillion in assets, ninety percent of which are mutual fund assets, and more than 12,000 employees at year-end 2006. Vanguard has built a strong reputation as the manager of reference for... View Details

Keywords: Asset Management; Investment Funds; Personal Finance; Brands and Branding; Retirement; Trust; Financial Services Industry; United States

2006
Chapter

Developments in Asset Allocation Modeling

2006
Chapter

Strategic Asset Allocation for Pension Plans

By: John Y. Campbell and Luis M. Viceira

Keywords: Compensation and Benefits; Resource Allocation; Strategy

April 2006
Module Note

Asset Allocation: A Half-Course Module Note

Provides an overview of the main ideas and structure of a 15-session module on long-term asset allocation designed for MBA graduate students and investment professionals. This module is taught as part of a full-length, 30-session elective class on investment management... View Details

Keywords: Asset Management; Investment; Decisions; Management; Management Analysis, Tools, and Techniques; Teaching; Theory

March 2006
Teaching Note

Investment Policy at New England Healthcare (TN)

Keywords: Investment Funds; Health Industry

March 2006
Teaching Note

Investment Policy at the Hewlett Foundation (2005) (TN)

Keywords: Investment

March 2006
Teaching Note

The Harmonized Savings Plan at BP Amoco (TN)

Keywords: Energy Industry

February 2006
Teaching Note

Pension Policy at the Boots Company PLC (TN)

Keywords: Retirement

February 2006 (Revised April 2006)
Teaching Note

General Motors U.S. Pension Funds (TN)

Keywords: Retirement; Auto Industry

July 2005 (Revised December 2005)
Case

General Motors U.S. Pension Funds

By: Luis M. Viceira and Helen Tung

In June 2003, General Motors Corp. (GM) successfully marketed the largest corporate debt offering in U.S. history, worth $17.6 billion. The offering included $13.6 billion worth of debt denominated in dollars, euros, and pounds and $4 billion dollars denominated in... View Details

Keywords: Decisions; Bonds; Investment Return; Policy; Borrowing and Debt; Corporate Finance; Auto Industry; United States

June 2005 (Revised January 2006)
Case

Investment Policy at the Hewlett Foundation (2005)

In early January 2005, Laurance Hoagland Jr., VP and CIO of the William and Flora Hewlett Foundation (HF), and his investment team met to finish their recommendations to the HF Investment Committee for a new asset allocation policy for the foundation's investment... View Details

Keywords: Investment Portfolio; Risk and Uncertainty; Public Equity; Globalization; Investment; Property; Risk Management; Asset Management; Financial Services Industry

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

Article

The Term Structure of the Risk-Return Tradeoff

By: John Y. Campbell and Luis M. Viceira

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

2004
Other Unpublished Work

Long-Horizon Mean-Variance Analysis: A User Guide

By: Luis M. Viceira and John Y. Campbell

Keywords: Mathematical Methods

February 2004 (Revised March 2010)
Case

Brazil 2003: Inflation Targeting and Debt Dynamics

By: Laura Alfaro, Rafael M. Di Tella and Ingrid Vogel

In October 2002, Brazilians elected a left-wing president, Luis Inacio Lula da Silva, for the first time in that country's history. As markets faltered in response, Lula sought to reaffirm his commitment to fiscal discipline, a floating exchange rate, and inflation... View Details

Keywords: Economy; Inflation and Deflation; Money; Borrowing and Debt; Policy; Emerging Markets; Brazil