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A Dynamic Inflation Hedging Trading Strategy Using a CPPI

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  • Fulli-Lemaire, Nicolas

Abstract

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular inflation hedging portfolio allocation while achieving a lower cost than comparable option-based guaranteed real value strategies.

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File URL: http://mpra.ub.uni-muenchen.de/42851/
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File URL: http://mpra.ub.uni-muenchen.de/43039/
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File URL: http://mpra.ub.uni-muenchen.de/43620/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 42851.

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Date of creation: 02 Jan 2012
Date of revision: 13 Nov 2012
Publication status: Forthcoming in Journal of Finance & Risk Perspective 2.1(2012): pp. 89-111
Handle: RePEc:pra:mprapa:42851

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Related research

Keywords: ALM; Inflation Hedging; Portfolio Insurance; CPPI;

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References

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  1. Ang, Andrew & Bekaert, Geert, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
  2. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06.
  3. Hayne E. Leland., 1979. "Who Should Buy Portfolio Insurance?," Research Program in Finance Working Papers 95, University of California at Berkeley.
  4. Marie Briere & Ombretta Signori, 2009. "Inflation-hedging portfolios in Different Regimes," Working Papers CEB 09-047.RS, ULB -- Universite Libre de Bruxelles.
  5. Courtland L. Washburn & Clark S. Binkley, 1993. "Do Forest Assets Hedge Inflation?," Land Economics, University of Wisconsin Press, vol. 69(3), pages 215-224.
  6. Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
  7. Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund.
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Cited by:
  1. Fulli-Lemaire, Nicolas, 2012. "Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics," MPRA Paper 42854, University Library of Munich, Germany.
  2. Fulli-Lemaire, Nicolas, 2013. "Alternative inflation hedging strategies for ALM," MPRA Paper 43755, University Library of Munich, Germany.

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