DYNAMIC HEDGING OF INFLATION RISK

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal dynamic consumption and hedging strategy are derived and discussed.

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Year of publication:	2009
Authors:	BROLL, UDO ; SCHUBERT, STEFAN
Published in:	Annals of Financial Economics (AFE). - World Scientific Publishing Co. Pte. Ltd., ISSN 2010-4960. - Vol. 05.2009, 01, p. 0950003-1
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Inflation risk \| consumption \| asset price \| dynamic hedging

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011011028