Abstract

  


 



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

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: 21

Keywords: ALM, Inflation Hedging, Portfolio Insurance, CPPI

JEL Classification: C58, C63, G12, G21

Accepted Paper Series


Download This Paper

Date posted: April 2, 2012 ; Last revised: January 7, 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 . Available at SSRN: http://ssrn.com/abstract=2033166 or http://dx.doi.org/10.2139/ssrn.2033166

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
Feedback to SSRN (Beta)


Paper statistics
Abstract Views: 848
Downloads: 161
Download Rank: 32,452

© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright
This page was processed by apollo2 in 0.813 seconds