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- Title
Inflation-Hedging Portfolios: Economic Regimes Matter.
- Authors
BRIÈRE, MARIE; SIGNORI, OMBRETTA
- Abstract
The article discusses challenges faced by investors seeking to hedge inflation risk and achieve a fixed target real rate of return. It is given that the main issue is to determine the optimal asset allocation that will preserve the investor's capital from inflation with an acceptable probability of shortfall. It develops joint dynamics model of asset classes and state variables, then we simulate long-term holding portfolio returns for a range of different assets and inflation paths.
- Subjects
INFLATION risk; RATE of return; ASSET allocation; MATHEMATICAL statistics; MONEY market
- Publication
Journal of Portfolio Management, 2012, Vol 38, Issue 4, p43
- ISSN
0095-4918
- Publication type
Article
- DOI
10.3905/jpm.2012.38.4.043