We consider the patterns in the predictability of interest rates expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the...

Inflation rates are highly persistent and extremely difficult to predict. Most statistical predictions based on predictive regressions fail to outperform the simple assumption of random walk in out-of-sample testing. The poor out-of-sample performance is a common feature of predictive...

We study market-timing strategies on a given portfolio to achieve a particular risk or return target. Targeting a constant risk level leads to increasing investment at better investment opportunities whereas targeting a constant expected return does the opposite. Theoretical and numerical...