【摘要】 假设短期利率服从C IR模型,通过研究投资者如何选择长期债券和短期债券进行资产配置,发现保守的长期投资者在长期债券上投资的比例更大;投资者的投资期限越长,投资的长期债券越多;在进行债券投资时不存在市场时机的选择。对于长期投资者而言,可以为其提供长期稳定收益率的长期债券才是无风险的。更多还原

【Abstract】 Assuming short-term interest rate follows CIR model,after studying how investors allocate their wealth between a long-term bond and a short-term bond,we find that conservative investors hold more long-term bonds,and that investors hold more long-term bonds if they have longer horizon.We also find that there is not market timing in investing bonds.For long-term investors,long-term bonds are risk-free because they can deliver a steady return in the long term,though their value is variable in the short term.更多还原