When one constructs long-term investment plan, one needs to consider the fact that long-term bonds are still exposed to inflation risk. This paper studies the intertemporal portfolio-consumption decision where the investment opportunities include "inflation-indexed bonds" -- a modern financial asset for hedging inflation risks. It is assumed that as well as optimising the agents use non-linear filtering methods to estimate the unobservable variables which drive the asset returns. The model will be calibrated to empirical data. Investment strategies and total utilities will be compared with and without the inflation-indexed bonds
Download Info
To our knowledge, this item is not available for
download. To find whether it is available, there are three
options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page
whether it is in fact available.
3. Perform a search for a similarly titled item that would be
available.
Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.