A Dynamic Inflation Hedging Trading Strategy Using a CPPI Report as inadecuate




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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 -

Original Title: A Dynamic Inflation Hedging Trading Strategy Using a CPPI-

Language: English-

Keywords: ALM, Inflation Hedging, Portfolio Insurance, CPPI-

Subjects: G - Financial Economics > G1 - General Financial MarketsC - Mathematical and Quantitative Methods > C6 - Mathematical Methods ; Programming Models ; Mathematical and Simulation ModelingC - Mathematical and Quantitative Methods > C5 - Econometric Modeling-





Author: Fulli-Lemaire, Nicolas

Source: https://mpra.ub.uni-muenchen.de/43620/







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