Francisco Gomes

London Business School

Institute of Finance and Accounting

Sussex Place - Regent's Park

London NW1 4SA

United Kingdom

http://www.london.edu/faculty/fgomes

SCHOLARLY PAPERS

22

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5,753

CITATIONS
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in Total Papers Citations

446

Scholarly Papers (22)

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Number of pages: 28 Posted: 01 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 995 (19,457)
Citation 22

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Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Posted: 10 Apr 2002
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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2.

Portfolio Choice and Trading Volume with Loss Averse Investors

EFA 0663
Number of pages: 43 Posted: 15 Dec 2000
Francisco Gomes
London Business School
Downloads 913 (22,539)
Citation 48

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Loss Aversion, First-Order Risk Aversion, Portfolio Insurance, Portfolio Choice, Stock Market Participation, Trading Volume

3.
Downloads 841 ( 25,371)
Citation 66

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 783 (27,646)
Citation 66

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Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 12 Oct 2010
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 58 (341,785)
Citation 66

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Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

Number of pages: 50 Posted: 26 May 2003
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 473 (53,907)
Citation 102

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Life-Cycle Models, Portfolio Choice, Preference Heterogeneity, Liquidity Constraints, Stock Market Participation, Uninsurable Labor Income Risk

Optimal Life-Cycle Asset Allocation: Understanding the Empirical Evidence

CEPR Discussion Paper No. 4853
Number of pages: 65 Posted: 11 May 2005
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 31 (441,251)
Citation 102
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Life-cycle models, portfolio choice, preference heterogeneity, liquidity constraints, stock market participation, uninsurable labor income risk

5.

Life-Cycle Asset Allocation: A Model with Borrowing Constraints, Uninsurable Labor Income Risk and Stock-Market Participation Costs

Number of pages: 46 Posted: 08 Feb 2002
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 445 (58,754)
Citation 8

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Life-Cycle Asset Allocation, Liquidity Constraints, Stock Market Participation Costs, Uninsurable Labor Income Risk

6.

Lending Relationships in the Interbank Market

AFA 2004 San Diego Meetings
Number of pages: 38 Posted: 04 Feb 2005
Joao F. Cocco, Francisco Gomes and Nuno C. Martins
London Business School, London Business School and Bank of Portugal
Downloads 411 (64,658)
Citation 32

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7.

Exploiting Short-Run Predictability

AFA 2002 Atlanta Meetings
Number of pages: 48 Posted: 22 Mar 2002
Francisco Gomes
London Business School
Downloads 379 (71,226)
Citation 10

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8.

Optimal Savings with Taxable and Tax-Deferred Accounts

Number of pages: 49 Posted: 14 Sep 2004
Federal Reserve Board - Division of Research and Statistic, London Business School and Imperial College Business School
Downloads 281 (99,830)
Citation 12

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Portfolio Choice, Tax-Deferred Accounts, Retirement Savings, Liquidity Constraints, Uninsurable Labor Income Risk

9.

Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labor Income Risk

Number of pages: 52 Posted: 01 Feb 2002
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 246 (114,669)
Citation 27

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Life-Cycle Asset Allocation, Habit Formation, Liquidity Constraints, Stock Market Participation Costs, Uninsurable Labor Income Risk

Longevity Risk, Retirement Savings and Financial Innovation

Number of pages: 62 Posted: 13 May 2011
Joao F. Cocco and Francisco Gomes
London Business School and London Business School
Downloads 186 (150,030)
Citation 8

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Longevity Risk, Retirement Savings, and Financial Innovation

Netspar Discussion Paper No. 03/2011-061
Number of pages: 76 Posted: 18 Jul 2011
Joao F. Cocco and Francisco Gomes
London Business School and London Business School
Downloads 59 (338,897)
Citation 7

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11.

Aggregate Implications of Defined Benefit and Defined Contribution Systems

Boston College Center for Retirement Research Working Paper No. 2003-16
Number of pages: 51 Posted: 10 Jun 2004
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 120 (216,079)

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General Equilibrium, Liquidity Constraints, Heterogeneous Agents, Undiversifiable Labor Income, Defined Benefit Systems, Defined Contribution Systems

12.
Downloads 82 (279,158)

Risk and Returns to Education

Number of pages: 49 Posted: 11 Nov 2012
Jeffrey R. Brown, Chichun Fang and Francisco Gomes
University of Illinois at Urbana-Champaign - Department of Finance, University of Michigan at Ann Arbor and London Business School
Downloads 68 (314,428)

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Human Capital, Returns to Education

Risk and Returns to Education

NBER Working Paper No. w18300
Number of pages: 49 Posted: 18 Aug 2012
Jeffrey R. Brown, Chichun Fang and Francisco Gomes
University of Illinois at Urbana-Champaign - Department of Finance, University of Michigan at Ann Arbor and London Business School
Downloads 14 (539,411)

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13.

Quantifying the Distortionary Fiscal Cost of ‘The Bailout’

Number of pages: 47 Posted: 03 Jun 2010 Last Revised: 06 Oct 2010
London Business School, Imperial College Business School and Federal Reserve Board - Division of Research and Statistic
Downloads 76 (292,064)
Citation 1

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14.
Downloads 72 (301,144)
Citation 11

The Excess Burden of Government Indecision

Michigan Retirement Research Center Research Paper No. WP 2006-123
Number of pages: 42 Posted: 19 Feb 2008
Francisco Gomes, Laurence J. Kotlikoff and Luis M. Viceira
London Business School, Boston University - Department of Economics and Harvard Business School - Finance Unit
Downloads 45 (384,150)
Citation 11

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The Excess Burden of Government Indecision

NBER Working Paper No. w12859
Number of pages: 44 Posted: 26 Jan 2007 Last Revised: 22 Aug 2010
Francisco Gomes, Laurence J. Kotlikoff and Luis M. Viceira
London Business School, Boston University - Department of Economics and Harvard Business School - Finance Unit
Downloads 27 (461,601)
Citation 11

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15.

Optimal Life-Cycle Investing with Flexible Labor Supply: A Welfare Analysis of Life-Cycle Funds

NBER Working Paper No. w13966
Number of pages: 21 Posted: 23 Apr 2008 Last Revised: 31 Aug 2010
Francisco Gomes, Laurence J. Kotlikoff and Luis M. Viceira
London Business School, Boston University - Department of Economics and Harvard Business School - Finance Unit
Downloads 44 (380,556)
Citation 19

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16.
Downloads 43 (384,079)

Tactical Target Date Funds

Number of pages: 47 Posted: 16 Jul 2018 Last Revised: 09 Aug 2018
Francisco Gomes, Alexander Michaelides and Yuxin Zhang
London Business School, Imperial College Business School and Imperial College London
Downloads 43 (391,453)

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target date funds, life cycle portfolio choice, retirement savings, variance risk premium, strategic asset allocation, tactical asset allocation, market timing

Tactical Target Date Funds

CEPR Discussion Paper No. DP13019
Number of pages: 46 Posted: 03 Jul 2018
Francisco Gomes, Alexander Michaelides and Yuxin Zhang
London Business School, Imperial College Business School and Imperial College London
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life cycle portfolio choice, market timing., retirement savings, strategic asset allocation, tactical asset allocation, Target date funds, variance risk premium

17.

Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts

CEPR Discussion Paper No. 4852
Number of pages: 56 Posted: 11 May 2005
Imperial College Business School, London Business School and Federal Reserve Board - Division of Research and Statistic
Downloads 22 (475,242)
Citation 8
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Portfolio choice, tax-deferred accounts, retirement savings, liquidity constraints, uninsurable labor income risk

18.

Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk

CEPR Discussion Paper No. 3868
Number of pages: 54 Posted: 05 Jun 2003
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 22 (475,242)
Citation 25
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Life-cycle asset allocation, habit formation, liquidity constraints, stock market participation costs, uninsurable labour income risk

19.

Risk and Returns to Education Over Time

CEPR Discussion Paper No. DP10416
Number of pages: 57 Posted: 17 Feb 2015
Jeffrey R. Brown, Chichun Fang and Francisco Gomes
University of Illinois at Urbana-Champaign - Department of Finance, University of Michigan at Ann Arbor and London Business School
Downloads 5 (568,085)
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human capital, idiosyncratic earnings risk, life-cycle models

20.

Quantifying the Distortionary Fiscal Cost of 'The Bailout'

CEPR Discussion Paper No. DP7941
Number of pages: 45 Posted: 28 Jul 2010
London Business School, Imperial College Business School and Federal Reserve Board - Division of Research and Statistic
Downloads 4 (573,584)
Citation 1
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Bailout, Fiscal Policy, Government Debt, Incomplete Financial Markets., Tax Distortions

Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

CEPR Discussion Paper No. DP6136
Number of pages: 53 Posted: 19 May 2008
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School
Downloads 3 (607,296)
Citation 46
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Equity premium, incomplete risk sharing, life-cycle models, limited stock market participation, preference heterogeneity

Asset Pricing with Limited Risk Sharing and Heterogeneous Agents

The Review of Financial Studies, Vol. 21, Issue 1, pp. 415-448, 2008
Posted: 26 Jun 2008
Francisco Gomes and Alexander Michaelides
London Business School and Imperial College Business School

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22.

Life-Cycle Portfolio Choice with Liquid and Illiquid Assets

CEPR Discussion Paper No. DP10369
Number of pages: 78 Posted: 02 Feb 2015
Claudio Campanale, Carolina Fugazza and Francisco Gomes
Universidad de Alicante - Faculty of Economic and Business Sciences, Università degli Studi di Milano-Bicocca - Department of Economics, Management and Statistics (DEMS) and London Business School
Downloads 0 (614,322)
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cash-in-advance, household portfolio choice, self-insurance, transaction cost