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dc.contributor.authorBrière, Marie*
dc.contributor.authorSignori, Ombretta*
dc.date.accessioned2012-05-30T12:26:35Z
dc.date.available2012-05-30T12:26:35Z
dc.date.issued2012
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9296
dc.language.isoenen
dc.subjectInflation hedgeen
dc.subjectpension financeen
dc.subjectshortfall risken
dc.subjectportfolio optimisationen
dc.subject.ddc332en
dc.subject.classificationjelE.E3.E31en
dc.subject.classificationjelG.G1.G11en
dc.subject.classificationjelG.G1.G12en
dc.subject.classificationjelG.G2.G23en
dc.titleInflation-Hedging Portfolios : Economic Regimes Matteren
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe exceptional rise in government deficits following the subprime crisis, the recent commodity price spikes and the increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. Using a vector-autoregressive model, this paper investigates the relationships between asset returns and inflation and the optimal strategic asset allocation for investors seeking to hedge inflation risk in two different types of macroeconomic regimes. In a volatile macroeconomic environment marked by countercyclical supply shocks, cash, inflation-linked bonds and precious metals play an essential role, while in a more stable environment (“Great Moderation”) with procyclical demand shocks, cash and nominal bonds play the most significant role, followed by precious metals, real estate and equities. An ambitious investor in terms of required real returns should have a larger weighting in equities, real estate and precious metals.en
dc.relation.isversionofjnlnameJournal of Portfolio Management
dc.relation.isversionofjnlvol38
dc.relation.isversionofjnlissue4
dc.relation.isversionofjnldate2012
dc.relation.isversionofjnlpages43-58
dc.relation.isversionofdoi10.3905/jpm.2012.38.4.043
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitutional Investor Systemsen
dc.subject.ddclabelEconomie financièreen
dc.description.halcandidateoui
dc.description.readershiprecherche
dc.description.audienceInternational
dc.relation.Isversionofjnlpeerreviewedoui
hal.person.labIds255365*
hal.person.labIds229847*
hal.identifierhal-01494498*


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