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John Campbell

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Replication data for: A Multivariate Model of Strategic Asset Allocation
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John Y. Campbell; Yeung L. Chan; and Luis Viceira, 2007, "Replication data for: A Multivariate Model of Strategic Asset Allocation", hdl:1902.1/QBXRSFLBQJ UNF:3:ZnYhHkZe2veTJAWaBDpPKA== Murray Research Archive [Distributor]
Study Global Idhdl:1902.1/QBXRSFLBQJ
AuthorsJohn Y. Campbell (Harvard University); Yeung L. Chan; and Luis Viceira
ProducerJohn Y. Campbell
Production Date2003
Funding AgencyNational Science Foundation; Hong Kong RGC Competitive Earmarked Research Grant (HKUST 6965/01H); Division of Research of the Harvard Business School
DistributorMurray Research Archive Logo
Distributor Contactmra_support@help.hmdc.harvard.edu
Distribution Date2007
Deposit DateJune, 2007
Replication ForCampbell, John Y.; Chan, Yeung Lewis; and Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80: article available here
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Abstract and Scope
Abstract

We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.

KeywordsIntertemporal hedging demand; Portfolio choice; Predictability; Strategic asset allocation
Topic ClassificationEconomics; Contributed; John Campbell; Economic theory (LCSH); Replication
Related PublicationsJohn Y. Campbell &Yeung Lewis Chan &Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc. article available here

Campbell, John Y & Chan, Yeung Lewis & Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. article available here
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