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.
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| Length: | |
| 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 |
| Contact details of provider: | Postal: Ludwigstraße 33, D-80539 Munich, Germany Phone: +49-(0)89-2180-2459 Fax: +49-(0)89-2180-992459 Web page: https://mpra.ub.uni-muenchen.de More information through EDIRC
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References listed on IDEAS
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Working Papers CEB
09-047.RS, ULB -- Universite Libre de Bruxelles.
- 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.
- Hayne E. Leland., 1979.
"Who Should Buy Portfolio Insurance?,"
Research Program in Finance Working Papers
95, University of California at Berkeley.
- Leland, Hayne E, 1980. " Who Should Buy Portfolio Insurance?," Journal of Finance, American Finance Association, vol. 35(2), pages 581-94, May.
- 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.
- 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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