Dynamic Asset Allocation Under Inflation  

Oleh:

Brennan, Michael J. ; Xia, Yihong

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 3 (2002), page 1201-1238.
Topik: asset allocation; studies; asset allocation; inflation; investment policy; hedging; bonds
Fulltext: p 1201.pdf (389.96KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.6 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop a simple framework for analyzing a finite horizon investors's asset allocation problem under inflation whe only nominal assets are available. The investor's optimal investment stratefy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bons included in the portfolio. When short positions are precluded, the optimal strategy consists of investments in cash, equity and a single nominal bond with optimally chosen maturity. Both the optimal stock - bond mix nad the optimal bond maturity depend on the investor's horizon and risk aversion.

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