Replication data for: A Multivariate Model of Strategic Asset Allocation (doi:10.7910/DVN/8ED29S)

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Part 1: Document Description
Part 2: Study Description
Part 3: Data Files Description
Part 4: Variable Description
Part 5: Other Study-Related Materials
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Replication data for: A Multivariate Model of Strategic Asset Allocation

doi:10.7910/DVN/8ED29S

Harvard Dataverse

2007-12-03

2

John Y. Campbell; Yeung L. Chan; and Luis Viceira, 2007, "Replication data for: A Multivariate Model of Strategic Asset Allocation", https://doi.org/10.7910/DVN/8ED29S, Harvard Dataverse, V2, UNF:3:ZnYhHkZe2veTJAWaBDpPKA== [fileUNF]

Replication data for: A Multivariate Model of Strategic Asset Allocation

doi:10.7910/DVN/8ED29S

John Y. Campbell (Harvard University)

Yeung L. Chan (Harvard University)

and Luis Viceira (Harvard University)

John Y. Campbell

2003

Harvard Dataverse

The Harvard Dataverse Network

2007-06

2007

https://doi.org/10.7910/DVN/8ED29S

Intertemporal hedging demand, Portfolio choice, Predictability, Strategic asset allocation

Economics, Contributed, John Campbell, Economic theory, Replication

We develop an approximate solution method for the optimal consumption and portfolio choice problem of an infinitely long-lived investor with Epstein-Zin utility who faces a set of asset returns described by a vector autoregression in returns and state variables. Empirical estimates in long-run annual and post-war quarterly U.S. data suggest that the predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios depends on the importance of real interest rate risk relative to other sources of risk. Long-term inflation-indexed bonds greatly increase the utility of conservative investors.

Subject: STANDARD DEPOSIT TERMS 1.0 Type: DATAPASS:TERMS:STANDARD:1.0 Notes: This study was deposited under the of the Data-PASS standard deposit terms. A copy of the usage agreement is included in the file section of this study.;

<a href="http://creativecommons.org/publicdomain/zero/1.0">CC0 1.0</a>

Campbell, John Y.; Chan, Yeung Lewis; and Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80: <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html" target= "_new">article available here</a>

Campbell, John Y.; Chan, Yeung Lewis; and Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80: <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html" target= "_new">article available here</a>

Campbell, John Y.; Chan, Yeung Lewis; and Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80: <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html" target= "_new">article available here</a>

Campbell, John Y.; Chan, Yeung Lewis; and Viceira, Luis M., 2003, "A multivariate model of strategic asset allocation," Journal of Financial Economics, Elsevier, vol. 67(1), pages 41-80: <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html" target= "_new">article available here</a>

John Y. Campbell &amp;Yeung Lewis Chan &amp;Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc. <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html#related" target="_new">article available here</a> <br /><br />Campbell, John Y &amp; Chan, Yeung Lewis &amp; Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html#related" target="_new">article available here</a>

John Y. Campbell &amp;Yeung Lewis Chan &amp;Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc. <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html#related" target="_new">article available here</a> <br /><br />Campbell, John Y &amp; Chan, Yeung Lewis &amp; Viceira, Luis M, 2001. "A Multivariate Model of Strategic Asset Allocation," CEPR Discussion Papers 3070, C.E.P.R. Discussion Papers. <a href= "http://ideas.repec.org/a/eee/jfinec/v67y2003i1p41-80.html#related" target="_new">article available here</a>

• Number of cases: 109

• No. of variables per record: 8

• Type of File: text/tab-separated-values

UNF:3:RVjeeV5JOY6jb8hJtk2T/A==

Data file

• Number of cases: 571

• No. of variables per record: 7

• Type of File: text/tab-separated-values

UNF:3:TMiZOYj0Wdtq58sDBJjveQ==

Data file

• Number of cases: 191

• No. of variables per record: 13

• Type of File: text/tab-separated-values

UNF:3:cTsOMQHb3efFo7i7pq6FfQ==

Data file

• V1 - Date
• V2 - PPI
• V3 - PPI Return
• V4 - Price of Equities
• V5 - Dividend on Equities
• V6 - Simple return on equities, incl dividends
• V7 - short rate
• V8 - long rate
• V1 - Date
• V2 - Simple return on equities, incl dividends
• V3 - Level of equity index
• V4 - Yield on five-year bond
• V5 - Return on five-year bond
• V6 - Return on 30-year bond
• V7 - CPI return
• V1 - Date
• V2 - Simple return on equities, incl dividends
• V3 - Level of equity index
• V4 - 30-year bond return
• V5 - 20-year bond retur
• V6 - 10-year bond return
• V7 - 7-year bond return
• V8 - 5-year bond return
• V9 - 2-year bond return
• V10 - 1-year bond return
• V11 - Return on 90-day T-Bill
• V12 - CPI return
• V13 - Yield on 5-year bond

f108558 Location:

Variable Format: numeric

Notes: UNF:3:pg9C/GWomfSvhx/ivjPz3Q==

f108558 Location:

Variable Format: numeric

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f108558 Location:

Variable Format: numeric

Notes: UNF:3:EqId/+LSG2VjKwJMsWenvA==

f108558 Location:

Variable Format: numeric

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f108558 Location:

Variable Format: numeric

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f108558 Location:

Variable Format: numeric

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f108558 Location:

Variable Format: numeric

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f108558 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108565 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

Notes: UNF:3:H3g3My0P/NGnQMEZ/CZSww==

f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

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f108577 Location:

Variable Format: numeric

Notes: UNF:3:R48uG3D1JIva8dwoZAd/Aw==

Label:

batch_new.m

Text:

This is the starting point for running all of the portfolio selection programs. Calls in main_replacement.m

text/plain; charset=US-ASCII

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calcvar2_lc.m

Text:

Calculates variances of returns on various investment strategies as a function of maturity.

text/plain; charset=US-ASCII

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cols.m

Text:

File necessary to create the tables and graphs found in the CCV paper

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ComputeStatistics.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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ConvergeB.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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dataANN.asc

Text:

Data file, ASCII format

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dataMTH_update.asc

Text:

Data file, ASCII format

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dataQTR.asc

Text:

Data file, ASCII format

text/plain; charset=US-ASCII

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finalccv.zip

Text:

All files used in this study, Zip file format

application/zip

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FindMaxNEG.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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FindMaxNEGindc.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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FindMinPOS.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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FindMinPOSindc.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GammaPlot.m

Text:

Assumes that GammaPlotData*.mat have been generated by running batch_new.m with the switch ForPlot set to 1. Generates plots of asset allocations vs. values of gamma

text/plain; charset=US-ASCII

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gen_alloc.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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gen_alloc_Q.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetB2B2.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetConsolBondRetold.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetDataANN.m

Text:

Precise conventions used in creating data for the portfolio choice exercises, together with sources of data

text/plain; charset=US-ASCII

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GetDataInfMTH.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetDataQTR.m

Text:

Precise conventions used in creating data for the portfolio choice exercises, together with sources of data

text/plain; charset=US-ASCII

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GetK.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetNewDelta.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetParmsNumState.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetParms_res.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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GetVARvv.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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graphs.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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graphs_lc.m

Text:

Plots risk vs. maturity using variables derived in calcvar2_lc.m

text/plain; charset=US-ASCII

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hacnw.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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InflStateVar_general.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

Label:

John Y. Campbell-Data PASS Deposit Agreement.pdf

Text:

Legal agreement between the data depositor and the Murray Archive

application/pdf

Label:

keep.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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main_replacement.m

Text:

Calls either the variance decomposition program or the influence of state variables program (VarDecomp2.m, or InflStateVar_general.m)

text/plain; charset=US-ASCII

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Original_Article_2003.pdf

Text:

Original article for this study

application/pdf

Label:

printVF.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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printVF_Q.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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processtotex.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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README.txt

Text:

Detailed description of the files in this study

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ReverseVecl.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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rows.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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signifr2.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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signifr2oo.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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suptitle.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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Symmetrize.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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TexTable_ISV_SNR.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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TexTable_ISV_SN_.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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TexTable_ISV_SR_.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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TexTable_SS.m

Text:

Creates summary statistics and a table to present them in

text/plain; charset=US-ASCII

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TexTable_VAR_SNR.m

Text:

Creates Tex tables to display the VAR results.

text/plain; charset=US-ASCII

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TexTable_VAR_SN_.m

Text:

Create Tex tables to display the VAR results.

text/plain; charset=US-ASCII

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TexTable_VDCa.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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uberbatch.m

Text:

Changes state variables used and assets used between runs

text/plain; charset=US-ASCII

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valuefunction3.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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VarDecomp2.m

Text:

Files necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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vec.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII

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vecl.m

Text:

File necessary to create the tables and graphs found in the CCV paper

text/plain; charset=US-ASCII