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

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, E31, E43, E52 ,G12, G11, G2, Q0

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 , 7th Annual Risk Management Conference Paper - 2013, Singapore, Available at SSRN: https://ssrn.com/abstract=1978438 or http://dx.doi.org/10.2139/ssrn.1978438

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
439
Abstract Views
2,479
Rank
59,805
PlumX Metrics