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Research Projects
Working Papers: “The Distortionary Fiscal Cost of the ‘Bailout’”, (Latest Version: September 2010), joint with Alex Michaelides and Valery Polkovnichenko. “Risk and Returns to Education: The Value of Human Capital”, (Latest Version: May 2011), joint with Jeffrey Brown and Chichun Fang. “Fiscal Policy in an Incomplete Markets Economy”, (Latest Version: July 2008), joint with Alex Michaelides and Valery Polkovnichenko. "The Excess Burden of Government Indecision", (Latest Version: June 2008), joint with Laurence Kotlikoff and Luis Viceira. Published Articles: "Longevity Risk, Retirement Savings and Financial Innovation", joint with Joao Cocco, Journal of Financial Economics, forthcoming. "Optimal Savings with Taxable and Tax-Deferred Accounts", joint with Alex Michaelides and Valery Polkovnichenko, Review of Economic Dynamics, Vol. 12, 718-735, October 2009. "Lending Relationships in the Interbank Market", joint with Joao Cocco and Nuno Martins, Journal of Financial Intermediation, Vol. 18, 24-48, January 2009. "Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds", joint with Laurence Kotlikoff and Luis Viceira, American Economic Review: Papers and Proceedings, Vol. 98, 297-303, May 2008 "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents", joint with Alex Michaelides, The Review of Financial Studies, vol 21 (1), 415-449, January 2008. "Exploiting Short-Run Predictability", Journal of Banking and Finance, 2007, 31, 1427–40. "Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence", joint with Alex Michaelides, Journal of Finance, vol. 60 (2), 869-904, April 2005. "Consumption and Portfolio Choice over the Life-Cycle", joint with Joao Cocco and Pascal Maenhout, The Review of Financial Studies, vol 18 (2), 491-533, Summer 2005. (Fortran Code) "Portfolio Choice and Trading Volume with Loss-Averse Investors" (Latest Version / Published Version: March 2003), Journal of Business, vol. 78 (2), March 2005. "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labor Income Risk", joint with Alex Michaelides, Review of Economic Dynamics, vol. 6 (4), 729-766, October 2003. "Stock Market
Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor",
joint with John Campbell, Joao Cocco, Pascal Maenhout and Luis Viceira,
European Finance Review, 5, 269-292, 2001. Book Chapters: Discussion of “Equity Premia with Benchmark
Levels of Consumption: Closed-Form Results” (by Andrew Abel), in Handbook of
Investments: Equity Risk Premium, "Investing Retirement Wealth: A Life-Cycle Model", in Risk Aspects of Investment-Based Social Security Reform, NBER, Eds. M. Feldstein and J. Campbell, 2001, joint with John Campbell, Joao Cocco and Pascal Maenhout. |
