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Strategic Asset Allocation


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Table of Contents

1: Introduction 2: Myopic Portfolio Choice 3: Who Should Buy Long-Term Bonds? 4: Is the Stock Market Safer for Long-Term Investors? 5: Strategic Asset Allocation in Continuous Time 6: Human Wealth and Financial Wealth 7: Investing over the Life Cycle

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Co-winner of the 2002 Paul A. Samuelson Award

About the Author

John Y. Campbell received a BA from Oxford in 1979 and a PhD from Yale in 1984. He spent the next ten years teaching at Princeton, moving to Harvard in 1994 to become the first Otto Eckstein Professor of Applied Economics. Campbell has co-edited the American Economic Review and the Review of Economics and Statistics; he is a Fellow of the Econometric Society and the American Academy of Arts and Sciences, and a Research Associate and former Director of the Program in Asset Pricing at the National Bureau of Economic Research. His research concerns asset markets, the macroeconomy, and the links between them. Luis M. Viceira grew up in Santa Fe, Spain, and attended undergraduate college at the Universidad Autonoma in Madrid. In 1993 he came to the United States to attend graduate school, earning a PhD from Harvard in 1998. He has been a member of the Harvard Business School faculty since 1998, where he teaches Finance in the MBA program and in the Doctoral program. He is a Faculty Research Fellow of the National Bureau of Economic Research in Cambridge (MA, USA), a Research Affiliate of the Centre for Economic Policy Research in London (UK), and an associate editor of the Spanish Economic Review. His research concerns investments and asset prices. Viceira is also a member of the Academic Advisory Board of ABP Investments in The Netherlands.


Finance academics will find a lot to interest them in this book. Times Higher Education Supplement Strategic Asset Allocation represents the state of the art of normative asset allocation studies. For that reason alone, pensions researchers and practitioners would do well to read it and take its lessons to heart. Journal of Pension Economics and Finance This book has the potential to change fundamentally the way researchers and practitioners think about the investment and portfolio aspects of pensions. It is clearly written, concise, and explains the implications of mathematical results with care and rigor ... essential reading for anyone who works with pension funds in a research or practical capacity ... crucial reading for those who wish to understand, and improve upon, the investment advice offered to members of defined contribution pension plans. Journal of Pension Economics and Finance Uses some sophisticated mathematics such as partial differential equations and stochastic calculus but the exposition is nonetheless clear and a reader does not have to be at a very high technical level to appreciate the main ideas. Investment & Pensions Europe The material covered is technically demanding, but Campbell and Viceira do an excellent job of presenting it in a way that maximises accessibility. Those in investment consulting, private client management and brokerage services should be interested in this book. Professional Investor Campbell and Viceira do an excellent job of interspersing the mathematical findings with lucid summaries of what they mean for portfolio planning and how they interrelate. Professional Investor Provides a useful build-up to the logical requirements of the long-term investor. Financial Adviser Useful as an academic reference. Actuary In Strategic Asset Allocation John Campbell and Luis Viceira go beyond the usual capital-markets research monographs that survey a broad swath of asset pricing and investment theory. Instead, they dig deeply and insightfully into how an individual investor would best allocate wealth into broad asset classes over a lifetime, bearing in mind age, risk preferences, changing market conditions, and uninsurable income shocks. With this clearly written synthesis of the best recent research on the topic, much of it their own, Campbell and Viceira have achieved excellence! Darrell Duffie, Graduate School of Business, Stanford University

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