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Strategic Asset Allocation
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Strategic Asset Allocation: Portfolio Choice for Long-Term Investors

John Y. Campbell and Luis M. Viceira

Abstract

One of the most important decisions many people face is the choice of a portfolio of assets for retirement savings. The leading academic paradigm of portfolio choice, the mean‐variance analysis of Markowitz, does not give adequate guidance for this long‐term investment problem because it assumes that investors care only about the mean and variance of return over a single short period. The book develops an alternative paradigm, the inter‐temporal model of Merton, into an empirically usable framework with the following implications. The safe asset for a long‐term investor is not a Treasury bill, ... More

Keywords: asset allocation, bonds, financial planning, income, investment horizon, mean‐variance analysis, Robert C. Merton, portfolio choice, retirement, savings

Bibliographic Information

Print publication date: 2002 Print ISBN-13: 9780198296942
Published to Oxford Scholarship Online: November 2003 DOI:10.1093/0198296940.001.0001

Authors

Affiliations are at time of print publication.

John Y. Campbell, author
Otto Eckstein Professor of Applied Economics, Harvard University
Author Webpage

Luis M. Viceira, author
Assistant Professor, Harvard Business School
Author Webpage

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