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 | ||||||||
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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: |
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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 |