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
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