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dc.contributor.authorBrière, Marie
dc.contributor.authorSignori, Ombretta
dc.date.accessioned2011-12-07T13:16:53Z
dc.date.available2011-12-07T13:16:53Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7744
dc.language.isoenen
dc.subjectportfolio optimisationen
dc.subjectInflation hedgeen
dc.subjectshortfall risken
dc.subjectpension financeen
dc.subject.ddc332en
dc.subject.classificationjelG23en
dc.subject.classificationjelE31en
dc.subject.classificationjelG11en
dc.subject.classificationjelG12en
dc.titleInflation-hedging Portfolios in Different Regimesen
dc.typeCommunication / Conférence
dc.description.abstractenThe unconventional monetary policies implemented in the wake of the subprime crisis and the recent increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal strategic asset allocation for investors seeking to hedge inflation risk. Using a vector-autoregressive model, we investigate the optimal choice for an investor with a fixed target real return at different horizons, with shortfall probability constraint. We show that the strategic allocation differs sharply across regimes. In a volatile macroeconomic environment, inflation-linked bonds, equities, commodities and real estate play an essential role. In a stable environment (“Great Moderation”), nominal bonds play the most significant role, with equities and commodities. An ambitious investor in terms of required real return should have a larger weighting in risky assets, especially commodities.en
dc.identifier.citationpages139-163en
dc.relation.ispartoftitlePortfolio and risk management for central banks and sovereign wealth funds
dc.relation.ispartofeditorBank für Internationalen Zahlungsausgleich
dc.relation.ispartofpublnameBank for International Settlements
dc.relation.ispartofpublcityBasel
dc.relation.ispartofdate2011-10
dc.relation.ispartofpages314
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.ispartofisbn92-9131-888-4
dc.relation.conftitlePortfolio and risk management for central banks and sovereign wealth fundsen
dc.relation.confdate2010-11
dc.relation.confcityBaselen
dc.relation.confcountrySuisse


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