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Inflation-Protecting Asset Allocation: A Downside Risk Analysis

Koniarski, Tim and Sebastian, Steffen P. (2015) Inflation-Protecting Asset Allocation: A Downside Risk Analysis. The Journal of Portfolio Management 41 (2), pp. 57-70. (In Press)

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Abstract

This paper studies the ability of cash, bonds, stocks and direct real estate to hedge inflation and optimal inflation-protecting asset allocations within a downside risk framework. Using a VAR model to capture predictable price dynamics, we find that the inflation-hedging properties of assets substantially change over the investment horizon. Cash clearly hedges inflation best in the short run. ...

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Item type:Article
Date:2015
Institutions:Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)
Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian)

Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS
Interdisciplinary Subject Network:Immobilien- und Kapitalmärkte
Classification:
NotationType
C32Journal of Economics Literature Classification
E31Journal of Economics Literature Classification
G1!Journal of Economics Literature Classification
Dewey Decimal Classification:300 Social sciences > 330 Economics
Status:In Press
Refereed:Yes, this version has been refereed
Created at the University of Regensburg:Yes
Item ID:29843
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