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Author : Edward Gerard McCarthy
Publisher :
ISBN 13 :
Total Pages : 124 pages
Book Rating : 4.3/5 (121 download)
Download or read book Inflation-hedged Portfolio Selection written by Edward Gerard McCarthy and published by . This book was released on 1988 with total page 124 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Pierluigi Balduzzi
Publisher :
ISBN 13 :
Total Pages : 16 pages
Book Rating : 4.:/5 (129 download)
Download or read book Money, Transactions, and Portfolio Choice written by Pierluigi Balduzzi and published by . This book was released on 2008 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Real money balances are held separately for consumption and portfolio reasons. When real balances are a state variable in the investor s optimization problem, there is a specific inflation-hedging portfolio. An investor hedges against inflation when the effect of real money holdings on the marginal utility of wealth is negative. We show that an increase in real balances due to inflation has two opposite effects on the marginal utility of wealth. On the one hand, the decrease in the real balances reduces consumption, which in turn raises the marginal utility and decreases the marginal cost of consuming: this explains why an investor would normally hedge inflation. One the other hand, the decrease in real balances tends to increase the marginal cost of consuming. When this second effect dominates, we have the somewhat surprising result that the investor reverse-hedges inflation.
Author : Menachem Brenner
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (17 download)
Download or read book The Impact of Inflation on Portfolio Selection written by Menachem Brenner and published by . This book was released on 1978 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kosuke Aoki
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (13 download)
Download or read book Inflation, Money Demand and Portfolio Choice written by Kosuke Aoki and published by . This book was released on 2019 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a nominal life-cycle portfolio choice model using shopping costs to generate money demand. The model delivers realistic implications for stock market participation and portfolio composition because money crowds out other assets at lower levels of financial wealth. Higher mean inflation leads to a reallocation between money and bonds with a modest impact on stock holdings, while inflation risk can give rise to significant hedging demands. The impact of inflation volatility depends on whether stocks are a hedge against inflation risk. Higher inflation volatility reduces (increases) stock-holdings when inflation has a negative (positive) correlation with real stock returns.
Author : Minsuk Kwak
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Optimal Portfolio Selection with Life Insurance Under Inflation Risk written by Minsuk Kwak and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates a continuous-time optimal consumption, investment, and life insurance decision problem of a family under inflation risk. In the financial market, there is a liquid inflation-linked index bond market which can be utilized to hedge the inflation risk. The explicit solutions for the optimal strategies including consumption rate, investment for each financial asset, and life insurance premium are derived for constant relative risk aversion (CRRA) utility case using martingale approach. The roles of an index bond are investigated and it is verified that they depend on market parameters. We analyze the effects of market parameters on the optimal strategies with focus on the demand for index bond and optimal life insurance premium. Especially, the change of inflation rate has considerable impact on optimal life insurance premium.
Author : Jamshid Mehran
Publisher :
ISBN 13 :
Total Pages : 424 pages
Book Rating : 4.:/5 (15 download)
Download or read book A Quantitative Companion of the Inflation Hedge Protection in Three Equty Dominated Institutional Portfolios written by Jamshid Mehran and published by . This book was released on 1983 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Son-Nan Chen
Publisher :
ISBN 13 :
Total Pages : 38 pages
Book Rating : 4.:/5 (225 download)
Download or read book Uncertain Inflation and Optimal Portfolio Selection written by Son-Nan Chen and published by . This book was released on 1984 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John Y. Campbell
Publisher : Clarendon Lectures in Economic
ISBN 13 : 9780198296942
Total Pages : 280 pages
Book Rating : 4.2/5 (969 download)
Download or read book Strategic Asset Allocation written by John Y. Campbell and published by Clarendon Lectures in Economic. This book was released on 2002 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides a scientific foundation for the advice offered by financial planners to long-term investors. Based upon statistics on asset return behavior and assumed investor objectives, the authors derive optimal portfolio rules that investors can compare with existing rules of thumb.
Author : Zhenmei Lin
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (139 download)
Download or read book Optimal Consumption and Portfolio Selection for Retirees Under Inflation and Pension Default Risk written by Zhenmei Lin and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The optimal investment-consumption analysis under insurer default risk and inflation risk for retirees who receive defined benefit pension payments is conducted. To enhance applicability, the minimum welfare guarantee and bequest motives are considered. Using the dynamic programming principle and the convex-duality method, we obtain the implicit solution of optimal consumption and investment strategies for retirees with a standard constant relative risk aversion utility. Certain implications consistent with financial advice are obtained by numerical analysis. As pension default risk increases, the rich prefer inflation-indexed bonds for hedging motive and the poor invest more in stocks for compensation motive. Despite of the presence of default risk, negative inflation risk premium leads to short positions in inflation-indexed bonds. The life portfolios of the rich tend to be more stable than those of the poor.
Author : Kenneth Froot
Publisher :
ISBN 13 :
Total Pages : 32 pages
Book Rating : 4.:/5 (338 download)
Download or read book Hedging Portfolios with Real Assets written by Kenneth Froot and published by . This book was released on 1994 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investors are always searching for assets which are negatively correlated with common portfolios of stocks and bonds and which provide reasonable average returns. One broad group of such assets might be termed real assets--assets which are at least partially hedged against inflation, in that they tend to increase in price in response to an inflation shock. This paper examines the properties of a variety of asset classes which might broadly be thought of as "real" assets. It looks at how closely correlated these classes are with inflation as well as how effectively they help insure major financial asset classes against adverse shocks. It also examines how inflation hedges might be combined in a portfolio
Author : Mao-Wei Hung
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Dynamic Portfolio Choice and Consumption Plan under Inflation with Nominal and Indexed Bonds written by Mao-Wei Hung and published by . This book was released on 2009 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve for an intertemporal portfolio-consumption choice problem under inflation. We assume that the nominal interest rate is observable while the expected inflation rate is not. The inclusion of the indexed bond in the investor's portfolio provides the investor an opportunity to perfectly hedge against the inflation risk. While the hedging demand of the nominal bonds would be crowded out proportional to the demand of the indexed bonds. The estimation risk of the estimated inflation rate would also introduce an additional hedging demand. We also show that the direction in which the interest rate and the inflation rate affect the optimal consumption-wealth ratio would rely on the elasticity of intertemporal substitution of the investor. When the elasticity of intertemporal substitution is smaller than one, the consumption-wealth ratio is increasing in the nominal interest rate and decreasing in the inflation rate; the income effect dominates. When the elasticity of intertemporal substitution is greater than one, the consumption-wealth ratio is affected in an opposite way; the substitution effect dominates. However, the consumption-wealth ratio is not decided by the real interest rate, i.e., the difference of the nominal interest rate and the inflation rate. It also depends on the absolute levels of the nominal interest rate and the inflation rate. The nominal and real consumption growth rates are derived. The nominal consumption growth is decided by the sum of the real consumption growth rate and inflation rate.
Author : Frank De Jong
Publisher :
ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio and Consumption Choice with Habit Formation Under Inflation written by Frank De Jong and published by . This book was released on 2013 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the optimal portfolio and consumption policies for a finite-horizon investor in a life-cycle model with habit formation and inflation risk. We consider two types of habit investors: one forms habit based on real past consumption, while the other on nominal past consumption, which is motivated by money illusion. The optimal strategy is expressed explicitly in terms of the solution to a linear partial differential equation. We find that the effects of inflation on the optimal strategy depend on the type of habit investor, because it determines the risk profile of the hedge portfolio and subsistence portfolio. This dependence is robust to the incompleteness of the financial market.
Author : Ben Carlson
Publisher : John Wiley & Sons
ISBN 13 : 1119024927
Total Pages : 231 pages
Book Rating : 4.1/5 (19 download)
Download or read book A Wealth of Common Sense written by Ben Carlson and published by John Wiley & Sons. This book was released on 2015-06-22 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: A simple guide to a smarter strategy for the individual investor A Wealth of Common Sense sheds a refreshing light on investing, and shows you how a simplicity-based framework can lead to better investment decisions. The financial market is a complex system, but that doesn't mean it requires a complex strategy; in fact, this false premise is the driving force behind many investors' market "mistakes." Information is important, but understanding and perspective are the keys to better decision-making. This book describes the proper way to view the markets and your portfolio, and show you the simple strategies that make investing more profitable, less confusing, and less time-consuming. Without the burden of short-term performance benchmarks, individual investors have the advantage of focusing on the long view, and the freedom to construct the kind of portfolio that will serve their investment goals best. This book proves how complex strategies essentially waste these advantages, and provides an alternative game plan for those ready to simplify. Complexity is often used as a mechanism for talking investors into unnecessary purchases, when all most need is a deeper understanding of conventional options. This book explains which issues you actually should pay attention to, and which ones are simply used for an illusion of intelligence and control. Keep up with—or beat—professional money managers Exploit stock market volatility to your utmost advantage Learn where advisors and consultants fit into smart strategy Build a portfolio that makes sense for your particular situation You don't have to outsmart the market if you can simply outperform it. Cut through the confusion and noise and focus on what actually matters. A Wealth of Common Sense clears the air, and gives you the insight you need to become a smarter, more successful investor.
Author : Yang Zhou
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Choice Over the Life-Cycle in the Presence of Cointegration Between Labor Income and Inflation written by Yang Zhou and published by . This book was released on 2015 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study portfolio choice for a finite-horizon investor whose labor income is cointegrated with inflation. We show that this long-run relationship has substantial impact on the riskiness of human capital and consequently on the optimal portfolio strategy. Because cointegration raises the long-run correlation between human capital and inflation, young investors' human capital effectively hedges inflation risk and crowds out the allocation to inflation-indexed bonds. However, the hedging power of human capital diminishes for older investors because of a weaker cointegration effect and less importance of human capital in total wealth. These effects together show that inflation-indexed bonds matter more for older investors than for young investors.
Author : Saurabh Agarwal
Publisher : Springer
ISBN 13 : 3319544160
Total Pages : 240 pages
Book Rating : 4.3/5 (195 download)
Download or read book Portfolio Selection Using Multi-Objective Optimisation written by Saurabh Agarwal and published by Springer. This book was released on 2017-08-21 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective optimization. Next to outlining techniques for undertaking individual investor’s profiling and portfolio programming, it also offers a new and practical approach for multi-objective portfolio optimization. This book will be of interest to Foreign Institutional Investors (FIIs), Mutual Funds, investors, and researchers and students in the field.
Author : Benjamin M. Friedman
Publisher : University of Chicago Press
ISBN 13 : 0226263436
Total Pages : 125 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Changing Roles of Debt and Equity in Financing U.S. Capital Formation written by Benjamin M. Friedman and published by University of Chicago Press. This book was released on 2009-05-15 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume, consisting of papers presented at a conference held at Williamsburg, Va., 2-3 April 1981, is a progress report on the National Bureau of Economic Research project, The Changing Roles of Debt and Equity in Financing U.S. Capital Formation. The National Bureau has undertaken this project—including the conference, the research described in this volume, and the publication of the volume itself—with the support of the American Council of Life Insurance.
Author : Mr.Shaun K. Roache
Publisher : International Monetary Fund
ISBN 13 : 1451872372
Total Pages : 39 pages
Book Rating : 4.4/5 (518 download)
Download or read book Inflation Hedging for Long-Term Investors written by Mr.Shaun K. Roache and published by International Monetary Fund. This book was released on 2009-04-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Long-term investors face a common problem-how to maintain the purchasing power of their assets over time and achieve a level of real returns consistent with their investment objectives. While inflation-linked bonds and derivatives have been developed to hedge the effects of inflation, their limited supply and liquidity lead many investors to continue to rely on the indirect hedging properties of traditional asset classes. In this paper, we assess these properties over different time horizons, in the context of a diversified portfolio. Using a vector error correction model, we find that effective short-run hedges, such as commodities, may not work over longer horizons and that tactical asset allocation could enhance investment returns following inflation surprises.
