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Optimal portfolio choice in real time : measuring the benefits of TIPS
Cartea, Álvaro; Saúl, Jonatan; Toro, Juan - In: Journal of empirical finance 19 (2012) 5, pp. 721-740
Persistent link: https://www.econbiz.de/10009700594
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Portfolio Selection with Inflation-linked Bonds and Indexation Lags
Li, Kai - 2019
the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase …We derive the price of inflation-indexed bonds of which the payments are linked to a lagged price index, and solve for … variables affect the future investment opportunity and hence further arm investors with the tools for hedging inflation risk …
Persistent link: https://www.econbiz.de/10012872319
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Portfolio selection with inflation-linked bonds and indexation lags
Li, Kai - In: Journal of economic dynamics & control 107 (2019), pp. 1-17
Persistent link: https://www.econbiz.de/10012312637
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Is a pure TIPS strategy truly risk free?
Haensly, Paul J. - In: Review of financial economics : RFE 28 (2016), pp. 1-20
Persistent link: https://www.econbiz.de/10011579659
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Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
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Inflation-linked products and optimal investment with macro derivatives
Beletski, Taras (contributor) - 2006
Persistent link: https://www.econbiz.de/10003406503
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Dynamisches Hedging zur Absicherung des Garantierisikos bei indexgebundenen Versicherungen
Hauser, Melanie - 2010
Persistent link: https://www.econbiz.de/10003981741
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Non-fully invested derivative-free bond index replication
Markov, Iliya; Oeuvray, Rodrigue; Tuchschmid, Nils S. - In: Financial markets and portfolio management 27 (2013) 1, pp. 101-124
Persistent link: https://www.econbiz.de/10009720944
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Ambiguity aversion and the absence of indexed debt
Mukerji, Sujoy; Tallon, Jean-Marc - In: Economic theory : official journal of the Society for … 24 (2004) 3, pp. 665-685
Persistent link: https://www.econbiz.de/10002208482
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Ambiguity aversion and the absence of indexed debt
Mukerji, Sujoy; Tallon, Jean-Marc - In: Essays in dynamic general equilibrium theory ; …, (pp. 143-179). 2004
Persistent link: https://www.econbiz.de/10002575991