A Dynamic Inflation Hedging Trading Strategy Using a CPPI

Journal of Finance & Risk Perspectives, Volume 1 (2) 2012

12th ACRN International Research Conference Proceeding 2012, Steyr

European Business Research Conference Proceedings 2012, Rome

21 Pages Posted: 2 Apr 2012 Last revised: 7 Jan 2013

Multiple version iconThere are 2 versions of this paper

Date Written: January 4, 2013

Abstract

This article tries to solve the portfolio inflation hedging problem by introducing a new class of dynamic trading strategies derived from classic portfolio insurance techniques adapted to the real world. These strategies aim at yielding higher returns on a risk-adjusted basis than regular inflation hedging portfolio allocation while achieving a lower cost than comparable option–based guaranteed real value strategies.

Keywords: ALM, Inflation Hedging, Portfolio Insurance, CPPI

JEL Classification: C58, C63, G12, G21

Suggested Citation

Fulli-Lemaire, Nicolas, A Dynamic Inflation Hedging Trading Strategy Using a CPPI (January 4, 2013). Journal of Finance & Risk Perspectives, Volume 1 (2) 2012 , 12th ACRN International Research Conference Proceeding 2012, Steyr , European Business Research Conference Proceedings 2012, Rome , Available at SSRN: https://ssrn.com/abstract=2033166 or http://dx.doi.org/10.2139/ssrn.2033166

Nicolas Fulli-Lemaire (Contact Author)

Oliver Wyman SA ( email )

1 rue Euler
Paris, 75008
France

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
332
Abstract Views
2,002
Rank
60,076
PlumX Metrics