Does the Failure of the Expectations Hypothesis Matter for Long‐Term Investors?
求解了长期投资者在利率期限结构为高斯过程且可投资名义债券和股票时的资产组合问题，发现预期假说失效导致长期债券产生巨大的对冲需求，使最优债券组合显著不同于均值-方差优化者的组合。
ABSTRACT We solve the portfolio problem of a long‐run investor when the term structure is Gaussian and when the investor has access to nominal bonds and stock. We apply our method to a three‐factor model that captures the failure of the expectations hypothesis. We extend this model to account for time‐varying expected inflation, and estimate the model with both inflation and term structure data. The estimates imply that the bond portfolio of a long‐run investor looks very different from the portfolio of a mean‐variance optimizer. In particular, time‐varying term premia generate large hedging demands for long‐term bonds.