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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

Nicolas Fulli-Lemaire

Amundi Asset Management; University of Paris 2 Pantheon-Assas

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)

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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