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Inflation-Protecting Asset Allocation: A Downside Risk Analysis

Koniarski, Tim ; Sebastian, Steffen P.


This article studies the inflation-protection qualities of cash, bonds, stocks, and direct real estate, and the optimal inflation-protecting asset allocations within a downside risk framework. Using a value-at-risk model to capture predictable price dynamics, the authors find that the inflation-hedging properties of assets substantially change over the investment horizon. Cash is clearly the best ...


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