A Dynamic Inflation Hedging Trading Strategy Using a CPPI

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.

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.

• Item Type: MPRA Paper
• Language: English
• 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

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