Portfolio Implications of Empirical Rejections of the Expectations Hypothesis
利用期限结构预期假设被拒绝的信息，推导出1至6个月期国库券的最优投资组合，并量化其风险收益权衡。
The purpose of this paper is to characte rize a portfoli o strategy that exploits the informat ion conveyed by empirica l rejectio ns of the termstructur e Expectat ions Hypothes is.After providin g new evidence on such rejectio ns, the analysis derives optimal portfoli o position s across Treasury bills of 1 through 6 months maturiti es and gives a quantita tive assessme nt of the implied risk/ret urn tradeoff s.