Portfolio Implications of Empirical Rejections of the Expectations Hpothesis
利用期限结构预期假设被实证拒绝的信息，构建最优国库券投资组合，并评估其风险收益权衡。
The purpose of this paper is to characterize a portfolio strategy that exploits the information conveyed by empirical rejections of the termstructure Expectations Hypothesis. After providing new evidence on such rejections, the analysis derives optimal portfolio positions across Treasury bills of 1 through 6 months maturities and gives a quantitative assessment of the implied risk/return tradeoffs.