Fulli-Lemaire, Nicolas (2012): A Dynamic Inflation Hedging Trading Strategy Using a CPPI. Forthcoming in: Journal of Finance & Risk Perspective , Vol. 1, No. 2 (December 2012): pp. 89-111.
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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.
|Item Type:||MPRA Paper|
|Original Title:||A Dynamic Inflation Hedging Trading Strategy Using a CPPI|
|Keywords:||ALM, Inflation Hedging, Portfolio Insurance, CPPI|
|Subjects:||G - Financial Economics > G1 - General Financial Markets
C - Mathematical and Quantitative Methods > C6 - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
C - Mathematical and Quantitative Methods > C5 - Econometric Modeling
|Depositing User:||Nicolas Fulli-Lemaire|
|Date Deposited:||28. Nov 2012 13:15|
|Last Modified:||13. Feb 2013 18:18|
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