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    Fiscal Risk and the Portfolio of Government Programs

    This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions.  The government internalizes market failures and therefore perceives project... View Details
    • 2017
    • Article

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

    By: John Y. Campbell, Adi Sunderam and Luis M. Viceira
    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... View Details
    Keywords: Inflation and Deflation; Bonds; Interest Rates; Investment Return; Risk Management
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    • 12 Mar 2009
    • Working Paper Summaries

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

    Keywords: by John Y. Campbell, Adi Sunderam & Luis M. Viceira
    • 2014
    • Working Paper

    Private Equity's Diversification Illusion: Economic Comovement and Fair Value Reporting

    By: Kyle Travis Welch
    This study examines how accounting has informed private equity diversification claims and demand for private equity investments. Despite research showing private equity lacks portfolio diversification benefits, those marketing private equity assets continue to... View Details
    Keywords: Fair Value; Access To Capital; IAS 39; FAS No. 157; FASB; IASB; ASC 820; Covariance Risk; Accounting Beta; Accounting; Private Sector; Valuation; Corporate Finance; Asset Management; Cost of Capital; Private Equity; Accounting Industry; Financial Services Industry; Europe; North and Central America
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    • 2023
    • Working Paper

    Contagious Anomalies

    By: Angela Ma and Miles Zheng
    This paper shows that anomaly strategy contagion contributes a key component of risks induced by arbitrageur trading. We present three main findings: (1) Contagion deteriorates the market liquidity of the contaminated strategy. (2) Increased contagion risk predicts... View Details
    Keywords: Contagion; Anomalies; Non-bank Intermediaries; Arbitrage; Intermediary Asset Pricing
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    • November 2007
    • Background Note

    Asset Allocation I

    By: Joshua D. Coval, Erik Stafford, Rodrigo Osmo, John Jernigan, Zack Page and Paulo Passoni
    The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of risk if all investors use this rule with common information sets. Simulation A focuses on five to 10 years of monthly sector returns that are... View Details
    Keywords: Asset Pricing; Capital; Investment Return; Risk Management; Mathematical Methods
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    • 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
    Keywords: Bonds; Volatility; Forecasting and Prediction; Interest Rates; Inflation and Deflation; Investment Return; Risk and Uncertainty; Currency Exchange Rate; Cash Flow; Stocks
    Related
    • 11 Sep 2007
    • Working Paper Summaries

    Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates

    Keywords: by Luis M. Viceira
    • 2023
    • Working Paper

    PRIMO: Private Regression in Multiple Outcomes

    By: Seth Neel
    We introduce a new differentially private regression setting we call Private Regression in Multiple Outcomes (PRIMO), inspired the common situation where a data analyst wants to perform a set of l regressions while preserving privacy, where the covariates... View Details
    Keywords: Analytics and Data Science; Mathematical Methods
    Related
    • 10 Feb 2009
    • First Look

    First Look: February 10, 2009

      Working PapersInflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds Authors:John Y. Campbell, Adi Sunderam, and Luis M. Viceira Abstract The covariance between U.S. Treasury bond returns... View Details
    Keywords: Martha Lagace
    • Web

    Technology & Operations Management Awards & Honors - Faculty & Research

    C. Edmondson : Awarded the 2024 Medal for Distinguished Service by the Teachers College at Columbia University. Kris Johnson Ferreira : "Warnings and Endorsements: Improving Human-AI Collaboration Under Covariate Shift" with Matthew... View Details
    • 06 Nov 2018
    • First Look

    New Research and Ideas, November 6, 2018

    a useful input to assessing risks, allocating quality improvement resources, and making sourcing decisions. This paper examines how the scheduling of inspections risks introducing bias that erodes inspection quality by altering inspector... View Details
    Keywords: Dina Gerdeman
    • 29 Jan 2013
    • First Look

    First Look: Jan. 29

    intermediate-term bond yields, relative to the average of short- and long-term bond yields―is a good proxy for the level of term premia. The nominal-real covariance has declined since the early 1980s, driving down term premia. Download... View Details
    Keywords: Sean Silverthorne
    • 08 Jul 2008
    • First Look

    First Look: July 8, 2008

    http://www.hbsp.harvard.edu/b01/en/common/item_detail.jhtml?id=607014 Asset Allocation I Harvard Business School Note 208-086 The goal of these simulations is to understand the mathematics of mean-variance optimization and the equilibrium pricing of View Details
    Keywords: Martha Lagace
    • 02 Jan 2018
    • First Look

    First Look at New Research and Ideas, January 3, 2018

    opinion and policies? What are its risks and rewards? And what is the playbook for leaders considering speaking out? The authors of this article examine those questions and explain the takeaways of their own research. One finding:... View Details
    Keywords: Sean Silverthorne
    • 14 Mar 2017
    • First Look

    First Look at New Research, March 14

    https://www.hbs.edu/faculty/Pages/item.aspx?num=52405 forthcoming Critical Finance Review Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds By: Campbell, John Y., Adi Sunderam, and Luis M. Viceira Abstract—The View Details
    Keywords: Sean Silverthorne
    • 13 Apr 2010
    • First Look

    First Look: April 13

    Interest Rates Author:Luis M. Viceira Publication:International Journal of Forecasting (forthcoming) Abstract This paper explores time variation in bond risk, as measured by the covariation of bond returns with stock returns and with... View Details
    Keywords: Martha Lagace
    • 22 May 2007
    • First Look

    First Look: May 22, 2007

      Working PapersGlobal Currency Hedging Authors:John Y. Campbell, Karine Serfaty-de Medeiros, and Luis M. Viceira Abstract This paper considers the risk management problem of an investor who holds a diversified portfolio of global... View Details
    Keywords: Martha Lagace
    • 12 Jan 2016
    • First Look

    January 12, 2016

    and minimizes the expected time to detection under a pre-specified alternative hypothesis. We apply our method to a model in which the interdependency among the multiple adverse events is captured by a Cox proportional hazards model with time-dependent View Details
    Keywords: Carmen Nobel
    • 26 Jun 2007
    • First Look

    First Look: June 26, 2007

    the idea that trading patterns are associated with short-run excess comovement of stock returns. Our findings suggest that multi-factor risk models could be enhanced by adding factors capturing correlated demand. The Invariant Proportion... View Details
    Keywords: Martha Lagace