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A Dynamic Inflation Hedging Trading Strategy Using a CPPI

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Listed author(s):
  • 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: https://mpra.ub.uni-muenchen.de/42851/1/MPRA_paper_42851.pdf
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File URL: https://mpra.ub.uni-muenchen.de/43039/1/MPRA_paper_43039.pdf
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File URL: https://mpra.ub.uni-muenchen.de/43620/3/MPRA_paper_43620.pdf
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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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Keywords: 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:

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  1. Courtland L. Washburn & Clark S. Binkley, 1993. "Do Forest Assets Hedge Inflation?," Land Economics, University of Wisconsin Press, vol. 69(3), pages 215-224.
  2. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters,in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163 Bank for International Settlements.
  3. Leland, Hayne E, 1980. " Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-594, May.
  4. Andrew Ang & Geert Bekaert & Min Wei, 2008. "The Term Structure of Real Rates and Expected Inflation," Journal of Finance, American Finance Association, vol. 63(2), pages 797-849, 04.
  5. Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06.
  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, 2013. "Alternative inflation hedging strategies for ALM," MPRA Paper 43755, University Library of Munich, Germany.
  2. Fulli-Lemaire, Nicolas, 2012. "Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics," MPRA Paper 42854, University Library of Munich, Germany.

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