Does the failure of the expectations hypothesis matter for long-term investors ?
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. .Printed Journal
Ketersediaan
Call Number | Location | Available |
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| PSB lt.dasar - Pascasarjana | 1 |
Penerbit |
The American Finance Association.,
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Edisi |
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Subjek |
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ISBN/ISSN |
00221082 |
Klasifikasi |
- |
Deskripsi Fisik |
- |
Info Detail Spesifik |
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Other Version/Related |
Tidak tersedia versi lain |
Lampiran Berkas |
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