Abstract

http://ssrn.com/abstract=1978438
 
 

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A Dynamic Inflation Hedging Trading Strategy Using a CPPI


Nicolas Fulli-Lemaire


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

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.

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

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Date posted: January 3, 2012 ; Last revised: July 24, 2013

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: http://ssrn.com/abstract=1978438 or http://dx.doi.org/10.2139/ssrn.1978438

Contact Information

Nicolas Fulli-Lemaire (Contact Author)
Amundi Asset Management ( email )
90 Boulevard Pasteur
Paris, 75015
France
University of Paris 2 Pantheon-Assas ( email )
12 place du Pantheon
Paris cedex 06, 75231
France
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