A Dynamic Inflation Hedging Trading Strategy Using a CPPI
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.
|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|
|Contact details of provider:|| Postal: Ludwigstraße 33, D-80539 Munich, Germany|
Web page: https://mpra.ub.uni-muenchen.de
More information through EDIRC
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.:
- Shaun K. Roache & Alexander P. Attie, 2009. "Inflation Hedging for Long-Term Investors," IMF Working Papers 09/90, International Monetary Fund.
- 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.
- Andrew Ang & Geert Bekaert, 2004. "The term structure of real rates and expected inflation," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Andrew Ang & Geert Bekaert & Min Wei, 2007. "The Term Structure of Real Rates and Expected Inflation," NBER Working Papers 12930, National Bureau of Economic Research, Inc.
- Ang, Andrew & Bekaert, Geert, 2004. "The Term Structure of Real Rates and Expected Inflation," CEPR Discussion Papers 4518, C.E.P.R. Discussion Papers.
- Dimitris Politis & Halbert White, 2004. "Automatic Block-Length Selection for the Dependent Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 23(1), pages 53-70.
- Courtland L. Washburn & Clark S. Binkley, 1993. "Do Forest Assets Hedge Inflation?," Land Economics, University of Wisconsin Press, vol. 69(3), pages 215-224.
- Michael J. Brennan & Yihong Xia, 2002. "Dynamic Asset Allocation under Inflation," Journal of Finance, American Finance Association, vol. 57(3), pages 1201-1238, 06.
- Marie Briere & Ombretta Signori, 2009.
"Inflation-hedging portfolios in Different Regimes,"
Working Papers CEB
09-047.RS, ULB -- Universite Libre de Bruxelles.
- Hayne E. Leland., 1979.
"Who Should Buy Portfolio Insurance?,"
Research Program in Finance Working Papers
95, University of California at Berkeley.
When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:42851. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Joachim Winter)
If references are entirely missing, you can add them using this form.