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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Year of publication:	2012-01-02
Authors:	Fulli-Lemaire, Nicolas
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	ALM \| Inflation Hedging \| Portfolio Insurance \| CPPI

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Notes:	Forthcoming in Journal of Finance & Risk Perspective 2.1(2012): pp. 89-111
Classification:	G1 - General Financial Markets ; C6 - Mathematical Methods and Programming ; C5 - Econometric Modeling
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011109483