Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors

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Quadratic Variance Swap Models (2016, unknown): “Kim and Omberg (1996), Brennan and Xia (2002) and Sangvinatsos and Wachter (2005) provide related studies.”
Correlation Risk and Optimal Portfolio Choice (2010, unknown): “Examples include Brennan and Xia (2002), who study optimal asset allocations under inflation risk, and Sangvinatsos and Wachter (2005), who investigate the portfolio problem of a long-run investor with both nominal bonds and stocks.”
Portfolio Selection in Stochastic Environments (2007, unknown): “Cases for which exact solutions to Merton’s problem have been obtained include Kim and Omberg (1996), Brennan (1998), Brennan and Xia (2000, 2001, 2002a,b), Sangvinatsos and Wachter (2005) , and Wachter (2003).”
Portfolios and risk premia for the long run. (2012, unknown): “Lagnado (1997), Wachter (2002), Brennan and Xia (2002), Sangvinatsos and Wachter (2005) .”
Risk Everywhere: Modeling and Managing Volatility (2018, unknown): “3 French, Schwert, and Stambaugh (1987) and Schwert (1989), for instance, rely on the sum of daily squared returns in their construction and modeling of monthly U.”
Sharpe ratios in term structure models (2010, background): “Sangvinatsos and Wachter (2005) are probably the ﬁrst to analyze conditional Sharpe ratios in dynamic term structure models.”