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John Campbell

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John Y. Campbell Dataverse
Replication data for: A Multivariate Model of Strategic Asset Allocation
Cataloging Information
Documentation, Data and Analysis
User Comments
 
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1. Documentation
Original_Article_2003.pdf
Adobe PDF - 329 KB - 239 downloads
Original article for this study
README.txt
Plain Text - 6 KB - 231 downloads
Detailed description of the files in this study
2. Data
dataANN.asc
Plain Text - 6 KB - 203 downloads
Data file, ASCII format
dataANN.tab
Tab Separated - 6 KB - 237 downloads + analyses
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Data file
Tabular Data109 Cases8 Variables
View Data Citation [+]
dataMTH_update.asc
Plain Text - 30 KB - 161 downloads
Data file, ASCII format
dataMTH_update.tab
Tab Separated - 29 KB - 179 downloads + analyses
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Data file
Tabular Data571 Cases7 Variables
View Data Citation [+]
dataQTR.asc
Plain Text - 22 KB - 185 downloads
Data file, ASCII format
dataQTR.tab
Tab Separated - 22 KB - 193 downloads + analyses
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Data file
Tabular Data191 Cases13 Variables
View Data Citation [+]
finalccv.zip
ZIP Archive - 70 KB - 186 downloads
All files used in this study, Zip file format
3. Supplementary Program Files
batch_new.m
Plain Text - 5 KB - 203 downloads
This is the starting point for running all of the portfolio selection programs. Calls in main_replacement.m
calcvar2_lc.m
Plain Text - 1 KB - 170 downloads
Calculates variances of returns on various investment strategies as a function of maturity.
cols.m
Plain Text - 151 bytes - 168 downloads
File necessary to create the tables and graphs found in the CCV paper
ComputeStatistics.m
Plain Text - 3 KB - 171 downloads
File necessary to create the tables and graphs found in the CCV paper
ConvergeB.m
Plain Text - 134 bytes - 156 downloads
Files necessary to create the tables and graphs found in the CCV paper
FindMaxNEGindc.m
Plain Text - 400 bytes - 152 downloads
Files necessary to create the tables and graphs found in the CCV paper
FindMaxNEG.m
Plain Text - 363 bytes - 161 downloads
File necessary to create the tables and graphs found in the CCV paper
FindMinPOSindc.m
Plain Text - 363 bytes - 156 downloads
Files necessary to create the tables and graphs found in the CCV paper
FindMinPOS.m
Plain Text - 317 bytes - 23 downloads
You do not have permissions to access this file. Restricted Access
Files necessary to create the tables and graphs found in the CCV paper
GammaPlot.m
Plain Text - 1010 bytes - 154 downloads
Assumes that GammaPlotData*.mat have been generated by running batch_new.m with the switch ForPlot set to 1. Generates plots of asset allocations vs. values of gamma
gen_alloc.m
Plain Text - 2 KB - 163 downloads
Files necessary to create the tables and graphs found in the CCV paper
gen_alloc_Q.m
Plain Text - 2 KB - 144 downloads
Files necessary to create the tables and graphs found in the CCV paper
GetB2B2.m
Plain Text - 97 bytes - 154 downloads
File necessary to create the tables and graphs found in the CCV paper
GetConsolBondRetold.m
Plain Text - 1 KB - 154 downloads
File necessary to create the tables and graphs found in the CCV paper
GetDataANN.m
Plain Text - 3 KB - 159 downloads
Precise conventions used in creating data for the portfolio choice exercises, together with sources of data
GetDataInfMTH.m
Plain Text - 2 KB - 156 downloads
File necessary to create the tables and graphs found in the CCV paper
GetDataQTR.m
Plain Text - 5 KB - 164 downloads
Precise conventions used in creating data for the portfolio choice exercises, together with sources of data
GetK.m
Plain Text - 307 bytes - 154 downloads
File necessary to create the tables and graphs found in the CCV paper
GetNewDelta.m
Plain Text - 3 KB - 149 downloads
Files necessary to create the tables and graphs found in the CCV paper
GetParmsNumState.m
Plain Text - 3 KB - 157 downloads
File necessary to create the tables and graphs found in the CCV paper
GetParms_res.m
Plain Text - 2 KB - 156 downloads
Files necessary to create the tables and graphs found in the CCV paper
GetVARvv.m
Plain Text - 316 bytes - 155 downloads
File necessary to create the tables and graphs found in the CCV paper
graphs_lc.m
Plain Text - 2 KB - 146 downloads
Plots risk vs. maturity using variables derived in calcvar2_lc.m
graphs.m
Plain Text - 1 KB - 152 downloads
File necessary to create the tables and graphs found in the CCV paper
hacnw.m
Plain Text - 655 bytes - 148 downloads
Files necessary to create the tables and graphs found in the CCV paper
InflStateVar_general.m
Plain Text - 7 KB - 23 downloads
You do not have permissions to access this file. Restricted Access
Files necessary to create the tables and graphs found in the CCV paper
keep.m
Plain Text - 1 KB - 156 downloads
Files necessary to create the tables and graphs found in the CCV paper
main_replacement.m
Plain Text - 6 KB - 151 downloads
Calls either the variance decomposition program or the influence of state variables program (VarDecomp2.m, or InflStateVar_general.m)
printVF.m
Plain Text - 2 KB - 161 downloads
File necessary to create the tables and graphs found in the CCV paper
printVF_Q.m
Plain Text - 2 KB - 146 downloads
Files necessary to create the tables and graphs found in the CCV paper
processtotex.m
Plain Text - 1 KB - 145 downloads
File necessary to create the tables and graphs found in the CCV paper
ReverseVecl.m
Plain Text - 409 bytes - 157 downloads
File necessary to create the tables and graphs found in the CCV paper
rows.m
Plain Text - 145 bytes - 153 downloads
Files necessary to create the tables and graphs found in the CCV paper
signifr2.m
Plain Text - 137 bytes - 151 downloads
File necessary to create the tables and graphs found in the CCV paper
signifr2oo.m
Plain Text - 153 bytes - 154 downloads
Files necessary to create the tables and graphs found in the CCV paper
suptitle.m
Plain Text - 2 KB - 156 downloads
File necessary to create the tables and graphs found in the CCV paper
Symmetrize.m
Plain Text - 235 bytes - 158 downloads
File necessary to create the tables and graphs found in the CCV paper
TexTable_ISV_SN_.m
Plain Text - 10 KB - 152 downloads
File necessary to create the tables and graphs found in the CCV paper
TexTable_ISV_SNR.m
Plain Text - 9 KB - 157 downloads
Files necessary to create the tables and graphs found in the CCV paper
TexTable_ISV_SR_.m
Plain Text - 8 KB - 156 downloads
File necessary to create the tables and graphs found in the CCV paper
TexTable_SS.m
Plain Text - 5 KB - 161 downloads
Creates summary statistics and a table to present them in
TexTable_VAR_SN_.m
Plain Text - 4 KB - 160 downloads
Create Tex tables to display the VAR results.
TexTable_VAR_SNR.m
Plain Text - 4 KB - 154 downloads
Creates Tex tables to display the VAR results.
TexTable_VDCa.m
Plain Text - 4 KB - 158 downloads
File necessary to create the tables and graphs found in the CCV paper
uberbatch.m
Plain Text - 935 bytes - 156 downloads
Changes state variables used and assets used between runs
valuefunction3.m
Plain Text - 992 bytes - 160 downloads
File necessary to create the tables and graphs found in the CCV paper
VarDecomp2.m
Plain Text - 2 KB - 159 downloads
Files necessary to create the tables and graphs found in the CCV paper
vecl.m
Plain Text - 222 bytes - 150 downloads
File necessary to create the tables and graphs found in the CCV paper
vec.m
Plain Text - 165 bytes - 154 downloads
File necessary to create the tables and graphs found in the CCV paper
4. Detailed Usage Terms
John Y. Campbell-Data PASS Deposit Agreement.pdf
Adobe PDF - 169 KB - 118 downloads
Legal agreement between the data depositor and the Murray Archive
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