Over the period 1975 to 2005, the US dollar (particularly in relation to the Canadian dollar),
the euro, and the Swiss franc (particularly in the second half of the period) moved against …

This paper studies the strategic asset allocation for an investor with risky liabilities which are
subject to inflation and real interest rate risk and who invests in stocks, government bonds …

We find that several factors explain an individual investor׳ s style, ie, the value versus growth
orientation of the investor׳ s stock portfolio. First, we find that an investor׳ s style has a …

We study whether investors can exploit serial dependence in stock returns to improve out-of-
sample portfolio performance. We show that a vector-autoregressive (VAR) model captures …

We study the importance of time-varying bond risk premia in a consumption and portfolio-
choice problem for a life-cycle investor facing short-sales and borrowing constraints. Tilts in …

This paper investigates value and growth investing in a large administrative panel of
Swedish residents. We show that, over the life cycle, households progressively shift from …

We study an institutional investment problem in which a centralized decision maker, the
Chief Investment Officer (CIO), for example, employs multiple asset managers to implement …

We consider the portfolio selection problem in the accumulation phase of a defined
contribution (DC) pension scheme. We solve the mean–variance portfolio selection problem …

Fundamental indexers argue that capitalization weighting is an inferior investment strategy
because it necessarily invests more in overvalued stocks and less in undervalued stocks …

US retirement system has experienced a substantial transformation in recent years. It has
evolved from a system in which employees rely mainly on Social Security and professionally …