Strategic Asset Allocation [Hardcover]

John Y. Campbell (Author), Luis M. Viceira (Author)

Book Description

ISBN-10: 0198296940 | ISBN-13: 978-0198296942 | Publication Date: March 15, 2002 | Edition: 1st

This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.

Editorial Reviews

Review

`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

`At last we have a book that lays out how we should use the basic insights of mean-variance analysis to advise investors on their their lifetime portfolio problem. It is a pleasure to read when one sees such sensible and lucid application of highbrow financial theory to the most practical and important of problems. This book represents a major theoretical breakthrough that allows us to translate the principles of intertemporal financial and econometric theory into concrete advice for investing.' Robert J. Shiller, Yale University

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.

Product Details

• Hardcover: 274 pages
• Publisher: Oxford University Press, USA; 1st edition (March 15, 2002)
• Language: English
• ISBN-10: 0198296940
• ISBN-13: 978-0198296942
• Product Dimensions: 8.4 x 5.6 x 0.4 inches
• Shipping Weight: 14.4 ounces (View shipping rates and policies)
• Average Customer Review: 4.0 out of 5 stars  See all reviews (6 customer reviews)
• Amazon Best Sellers Rank: #1,010,093 in Books (See Top 100 in Books)

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Customer Reviews

Most Helpful Customer Reviews

44 of 47 people found the following review helpful:

5.0 out of 5 stars Just very good, April 8, 2002

By 

Rats "tusitala" (Milano, MI Italy) - See all my reviews

This review is from: Strategic Asset Allocation (Hardcover)

This book sums up recent research on the "strategic" (as opposed to "tactical", see eg Wai Lee's recent good book) asset allocation decisions - those of people wanting to design a portfolio for the very long term.

I am a practitioner, but this is not a practicioners' book on many counts: some of the formalism is hard (eg chap 5 on continuous-time models), it does not include rules of thumb, its basic framework requires a lot of effort to translate into numeric advice (10% cash, 40% bonds, 50% equity or suchlike). A PFP system based on this is some way off (also because real estate is left out).

Yet: (a) the book saves you a lot of time catching up with the literature; (b) it does dispel some bad criticisms of modern portfolio theory, especially in the first two chapters which are extremely useful as a reminder of basic dynamic theory; (c) it does throw in real-world considerations such as why do we advise older people to hold more conservative portfolios, what does labor income do to the basic model, why are bonds advised at all, the "asset allocation puzzle" etc.

You end up your quest for knowledge much the wiser having read this - and my quest was not effortless. I read this book (actually the Web version) while on a summer vacation. Got up every morning at 7 and worked about one hour at a time, first reading, the following day taking notes. In two weeks I sweated it out. It was worth it, and I bought the book too (the physical book is much leaner than the printout).

11 of 11 people found the following review helpful:

5.0 out of 5 stars Very nice, theoretical book, May 13, 2004

By 

"grebonek" - See all my reviews

This review is from: Strategic Asset Allocation (Hardcover)

This is a relatively good book on the consumption/investment problem for long-term investing.

To know whether it is appropriate for you, you need to realize that the "problem" the book addresses is the (now classical) consumption/investment problem from the standpoint of financial economics.

I would say it is not a practioner's book....mostly because practitioners usually do not have the specific background in math and economics, not because the ideas cannot be applied.

The ideas you will take away are at a very fundamental level. Not at the "how to" level.

I agree that most of what is covered in the book cannot be implemented in Excel. However, that statement applies to most of the interesting (and practical) problems in finance.

No one who uses Amazon's "search" feature to examine the book will be disappointed. If you bought this based on title alone, you could easily be let down.

5 of 7 people found the following review helpful:

5.0 out of 5 stars Excellent reference for the study of long-term investors, March 23, 2002

By 

Hae-Seon Hwang (Seoul, Korea) - See all my reviews

This review is from: Strategic Asset Allocation (Hardcover)

Two Harvard professors collect their own and other's excellent papers on the behaviour of long-term intevestors. They suggest theoretical and empirical results for the choice of a portfolio assets for retirement savings. It is clearly explained by mathematical and empirical methods. Readers can save time to read lots of papers related to this topic.