A Dynamic Inflation Hedging Trading Strategy Using a CPPI

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.

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Year of publication:	2012-01-02
Authors:	Fulli-Lemaire, Nicolas

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Type of publication:	Book / Working Paper
Language:	English
Notes:	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.
Classification:	G1 - General Financial Markets ; C6 - Mathematical Methods and Programming ; C5 - Econometric Modeling
Source:	BASE

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