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Inflation Hedging, Asset Allocation and the Investment Horizon

Fleischmann, Benedikt ; Rehring, Christian ; Sebastian, Steffen P.


Focusing on the role of the investment horizon, we analyze the inflation-hedging abilities of stocks, bonds, cash and direct commercial real estate investments. Based on vector autoregression for the UK market we find that the inflation-hedging abilities of all assets improve with the investment horizon. For long horizons, real estate seems to hedge unexpected inflation as well as cash. This has ...


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