Nijman, Theo; Werker, Bas J.M.; Koijen, R.S.J. - Tilburg University, Center for Economic Research - 2005
The riskless nature in real terms of inflation-linked bonds has led to the conclusion that inflation-linked bonds … with inflation, labor income in itself constitutes an implicit holding of real bonds.As such, the optimal investment in … inflation-linked bonds is substantially reduced.By extending recently developed simulation-based techniques, we are able to …