A Dynamic Inflation Hedging Trading Strategy Using a CPPI
Amundi Asset Management; University of Paris 2 Pantheon-Assas
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
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.
Number of Pages in PDF File: 39
Keywords: ALM, Inflation Hedging, Portfolio Insurance, CPPI
JEL Classification: C58, C63, E31, E43, E52 ,G12, G11, G2, Q0
Date posted: January 3, 2012 ; Last revised: July 24, 2013
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