A Reexamination of Traditional Hypotheses about the Term Structure: A Comment
给出了一个连续时间经济体的例子，其一般均衡期限结构符合连续复利利率和收益的预期假说，反驳了Cox、Ingersoll和Ross（1981）声称此类经济在数学上不可能的观点，且该例子不产生可套利的套利机会。
ABSTRACT An example of a continuous time economy is given whose general equilibrium term structure of interest rates obeys the Expectations Hypothesis for continuously compounded interest rates and returns, contradicting the 1981 claim by Cox, Ingersoll, and Ross that such an economy is mathematically impossible. This example does not generate exploitable arbitrage opportunities of the type Cox, Ingersoll, and Ross claim must arise. The “Logarithmic Expectations Hypothesis,” as we call it, it therefore an acceptable benchmark from which to measure term premia in continuous time term structure modeling.