Text
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 |
|---|---|---|
| PSB lt.dasar - Pascasarjana | 1 |
| Penerbit | : The American Finance Association |
|---|---|
| Edisi | - |
| Subjek | - |
| ISBN/ISSN | 00221082 |
| Klasifikasi | - |
| Deskripsi Fisik | - |
| Info Detail Spesifik | - |
| Other Version/Related | Tidak tersedia versi lain |
| Lampiran Berkas | Tidak Ada Data |