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:	2013
Authors:	Fulli-Lemaire, Nicolas
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Inflation \| Portfolio-Management \| Portfolio selection \| Hedging

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Extent:	1 Online-Ressource (21 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Finance & Risk Perspectives, Volume 1 (2) 2012 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 4, 2013 erstellt
Other identifiers:	10.2139/ssrn.2033166 [DOI]
Classification:	c58 ; C63 - Computational Techniques ; G12 - Asset Pricing ; G21 - Banks; Other Depository Institutions; Mortgages
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013091228