A Dynamic Inflation Hedging Trading Strategy Using a CPPI
AbstractThis 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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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 42851.
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
ALM; Inflation Hedging; Portfolio Insurance; CPPI;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
This paper has been announced in the following NEP Reports:
- NEP-ALL-2012-12-10 (All new papers)
- NEP-IAS-2012-12-10 (Insurance Economics)
- NEP-RMG-2012-12-10 (Risk Management)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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