A Dynamic Inflation Hedging Trading Strategy Using a CPPI

MPRA Paper from University Library of Munich, Germany

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 (search for similar items in EconPapers)
JEL-codes: C5 C6 G1 (search for similar items in EconPapers)
Date: 2012-01-02, Revised 2012-11-13
New Economics Papers: this item is included in nep-ias and nep-rmg
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Forthcoming in Journal of Finance & Risk Perspective 2.1(2012): pp. 89-111

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https://mpra.ub.uni-muenchen.de/42851/1/MPRA_paper_42851.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/43039/1/MPRA_paper_43039.pdf revised version (application/pdf)
https://mpra.ub.uni-muenchen.de/43620/3/MPRA_paper_43620.pdf revised version (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:42851

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