inflation-linked bonds (ILB mispricing) in the G7 government bond markets, and extends the slow moving capital explanation of … which represents more than eight percent of the total size of the G7 inflation-linked bond markets. Furthermore, the index …-linked nominal bond trade generates positively-skewed risk-adjusted excess returns across all countries. The key new insight for the …

the optimal bond portfolio under both inflation and indexation lags in closed form. We show that indexation lags increase … the number of state variables characterizing both the bond prices and the optimal portfolio. The lag-induced state … that is, however, unhedgeable if there is no indexation lag. We find that the optimal portfolio accounts for the indexation …