Who Should Buy Long-Term Bonds?
建立了一个无限期寿命投资者的最优消费与投资组合模型，发现保守型投资者应持有长期通胀指数债券以对冲实际利率下降风险，通胀风险低时也可用名义债券。
According to conventional wisdom, long-term bonds are appropriate for conservative long-term investors. This paper develops a model of optimal consumption and portfolio choice for infinite-lived investors with recursive utility who face stochastic interest rates, solves the model using an approximate analytical method, and evaluates conventional wisdom. As risk aversion increases, the myopic component of risky asset demand disappears but the intertemporal hedging component does not. Conservative investors hold assets to hedge the risk that real interest rates will decline. Long-term inflation-indexed bonds are most suitable for this purpose, but nominal bonds may also be used if inflation risk is low.