Exercise 5.7.4 The return-to-maturity expectations theory postulates that the maturity strategy earns the same return as the

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Exercise 5.7.4 The return-to-maturity expectations theory postulates that the maturity strategy earns the same return as the rollover strategy with one-period bonds, i.e., [ 1+ S(n) ]n = E[ { 1+ S(1) } { 1+ S(1, 2) } · · · { 1+ S(n−1, n) } ], n > 1.
Show that it is inconsistent with the local expectations theory.

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