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
7th Annual Risk Management Conference Paper - 2013, Singapore
39 Pages Posted: 3 Jan 2012 Last revised: 24 Jul 2013
There are 2 versions of this paper
A Dynamic Inflation Hedging Trading Strategy Using a CPPI
A Dynamic Inflation Hedging Trading Strategy Using a CPPI
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, E31, E43, E52 ,G12, G11, G2, Q0
Suggested Citation: Suggested Citation
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