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- Title
Optimal portfolio selection and uncertain inflation.
- Authors
Son-Nan Chen; Aggarwal, Reena
- Abstract
The article presents a simple portfolio selection model under inflation without resorting to the use of mathematical programming. Taking uncertain inflation into account will generally lead to an optimal portfolio that differs from the optimal portfolio when inflation is ignored. This is because different securities are influenced differently by inflation. The variability of real returns may be less severely affected or even dampened during periods of high inflation. This approach can be implemented easily using a calculator or microcomputer. Therefore the investor's objective is to obtain optimal portfolio weights that maximize the ratio of excess real return in the presence of uncertain inflation.
- Subjects
PORTFOLIO management (Investments); PRICE inflation; RATE of return; INVESTMENT analysis; ASSET management; INVESTMENTS
- Publication
Journal of Portfolio Management, 1986, Vol 13, Issue 1, p44
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.1986.409083