Zhang, Xiaoyi; Guo, Junyi - In: Risks : open access journal 6 (2018) 2, pp. 1-16
decumulation phase which is risk-averse and pays close attention to inflation risk. The plan aims to maximize the expected constant … an inflation-indexed bond, an ordinary zero coupon bond and a risk-free asset. We derive the optimal investment strategy … results reveal that, with any level of the parameters, an inflation-indexed bond has significant advantage to hedge inflation …
