tradeable and non-tradeable asset, and we demonstrate that negative correlation is advantageous, in the sense that the hedging …

optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

optimization problem. We find that both naive and robust optimal portfolios depend on the hedging horizon and current funding ratio …

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …