关于长期债券是长期投者无风险资产的研究

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。

The Study on that Long-Term Bonds are Risk- free Assets for Long-Term Investors

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 imestors, 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.