英文标题：
《Long Forward Probabilities, Recovery and the Term Structure of Bond Risk
  Premiums》
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作者：
Likuan Qin and Vadim Linetsky and Yutian Nie
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最新提交年份：
2016
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英文摘要：
  We show that the martingale component in the long-term factorization of the stochastic discount factor due to Alvarez and Jermann (2005) and Hansen and Scheinkman (2009) is highly volatile, produces a downward-sloping term structure of bond Sharpe ratios, and implies that the long bond is far from growth optimality. In contrast, the long forward probabilities forecast an upward sloping term structure of bond Sharpe ratios that starts from zero for short-term bonds and implies that the long bond is growth optimal. Thus, transition independence and degeneracy of the martingale component are implausible assumptions in the bond market.
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中文摘要：
我们证明，阿尔瓦雷斯和杰曼（2005）以及汉森和舍因克曼（2009）的随机贴现因子的长期因子分解中的鞅成分具有高度的波动性，产生了向下倾斜的债券夏普比率期限结构，这意味着长期债券远未达到增长最优。相比之下，长期远期概率预测债券夏普比率的期限结构向上倾斜，短期债券的夏普比率从零开始，这意味着长期债券是增长最优的。因此，在债券市场中，鞅分量的转移独立性和简并性是不可信的假设。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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