Nothing Special   »   [go: up one dir, main page]
create a website
A Dynamic Inflation Hedging Trading Strategy Using a CPPI. (2012). Fulli-Lemaire, Nicolas.
In: MPRA Paper.
RePEc:pra:mprapa:42851.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 22

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Alternative inflation hedging strategies for ALM. (2013). Fulli-Lemaire, Nicolas.
    In: MPRA Paper.
    RePEc:pra:mprapa:43755.

    Full description at Econpapers || Download paper

  2. Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics. (2012). Fulli-Lemaire, Nicolas.
    In: MPRA Paper.
    RePEc:pra:mprapa:42854.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amenc, Noël., Lionel. Martellini, and Volker. Ziemann. Inflation‐Hedging Properties of Real Assets and Implications for Asset–Liability Management. Journal of Portfolio Management, 2009: Summer 2009, Vol. 35, No. 4: pp. 94‐110.
    Paper not yet in RePEc: Add citation now

  2. Ang, A., G Bekaert, and M Wei. The term structure of real rates and expected inflation. Journal of Finance, 2008: 63, p797‐849.

  3. Attié, Alexander P, and Shaun K Roache. Inflation Hedging for Long‐Term Investors. IMF Working Paper, April 2009.

  4. Barclays Capital Research. Dividend Swap Indices, Access to equity income streams made easy. Analysts Index Products Research. April 2008.
    Paper not yet in RePEc: Add citation now
  5. Black, Fischer, and Robert Jones. Simplifying portfolio insurance. Journal of Portfolio Management 14, no. 1 (Fall 1987): p48‐51.
    Paper not yet in RePEc: Add citation now

  6. Bodie, Zvi. Common Stocks as a Hedge Against Inflation. The Journal of Finance, May 1976: VOL. XXXI, NO. 2. Bodie, Zvi. Inflation, index‐linked bonds, and asset allocation. Journal of Portfolio Management Vol.

  7. Bodie, Zvie. Commodity futures as a hedge against inflation. The Journal of Portfolio Management, Spring 1983: Vol. 9, No. 3: pp. 12‐17.
    Paper not yet in RePEc: Add citation now

  8. Brennan, Michael J., and Yihong Xia. Dynamic Asset Allocation under Inflation. The Journal of Finance, 2002: 1201–1238.

  9. Brière, Marie & Signori, Ombretta. Inflation‐hedging portfolios in Different Regimes. Working Papers, Universite Libre de Bruxelles, 2009: CEB 09‐047.RS, ULB.

  10. Brière, Marie, and Ombretta Signori. Inflation‐hedging portfolios in Different Regimes. Working Paper. 2010.

  11. D'Amico, S, D Kim, and M Wei. Tips from TIPS: The informational content of Treasury Inflation‐ Protected Security prices. Federal Reserve Board, Working Paper, 2009.
    Paper not yet in RePEc: Add citation now

  12. Fisher, Irvine. The Rate of Interest. New York: Macmillan, 1907.

  13. Leland, Hayne E. Who Should Buy Portfolio Insurance? The Journal of Finance 35, no. 2 (Mai 1980).

  14. Leland, Hayne E., and Mark Rubinstein. Replicating Options with Positions in Stocks and Cash. Financial Analysts Journal, 1981: 63‐72.
    Paper not yet in RePEc: Add citation now
  15. Newell, Graeme, and Chris Eves Lincoln. The Role of U.S. Farmland in Real Estate Portfolios. Journal of Real Estate Portfolio Management, 2009: 317‐328.
    Paper not yet in RePEc: Add citation now
  16. Park, Jeong Yun, Donald J. Mullineaux, and It‐Keong Chew. Are REITs Inflation Hedges? The Journal of Real Estate Finance and Economics, 1990: 91‐103. 37
    Paper not yet in RePEc: Add citation now
  17. Perold, Andre F., and William F. Sharpe. Dynamic Strategies for Asset Allocation. Financial Analyst Journal, 1988: 16‐27.
    Paper not yet in RePEc: Add citation now

  18. Politis, Dimitris N., and Halbert White. Automatic Block‐Length Selection for the Dependent Bootstrap. Econometric Reviews Vol. 23, no. Issue 1 (Feb 2004): p53‐70.

  19. Rubens, Jack H, Michael T Bond, and James R Webb. The Inflation‐Hedging Effectiveness of Real Estate. Journal of Real Estate Research, 2009: 45‐55.
    Paper not yet in RePEc: Add citation now
  20. Van den Goorbergh, Rob., Onno. W. Steenbeek, R. Molenaar, and Peter Vlaar. Risk Models after the Credit Crisis. SSRN Working Paper Series, December 2009.
    Paper not yet in RePEc: Add citation now

  21. Washburn, Courtland L., and Clark S. Binkley. Do Forest Assets Hedge Inflation? Land Economics, 1993: 215‐224 .

  22. Zvie, Bodie. Commodity futures as a hedge against inflation. The Journal of Portfolio Management, Spring 1983: Vol. 9, No. 3: pp. 12‐17.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Aggregates in Real Expression and Price Indices by Deflation. (2017). Anghelache, Constantin ; Stanciu, Emilia ; SOLOMON, Alina Georgiana ; Popovici, Marius .
    In: International Journal of Academic Research in Business and Social Sciences.
    RePEc:hur:ijarbs:v:7:y:2017:i:6:p:1053-1060.

    Full description at Econpapers || Download paper

  2. Estimating Parameters of Short-Term Real Interest Rate Models. (2013). Khramov, Vadim.
    In: IMF Working Papers.
    RePEc:imf:imfwpa:2013/212.

    Full description at Econpapers || Download paper

  3. Inflation ambiguity and the term structure of U.S. Government bonds. (2013). Ulrich, Maxim .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:295-309.

    Full description at Econpapers || Download paper

  4. No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth. (2013). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:2:p:389-402.

    Full description at Econpapers || Download paper

  5. Term structure dynamics with macro-factors using high frequency data. (2013). Kim, Hwagyun ; Park, Hail.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:22:y:2013:i:c:p:78-93.

    Full description at Econpapers || Download paper

  6. Monetary policy regimes and the term structure of interest rates. (2013). Chernov, Mikhail ; Bikbov, Ruslan .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:174:y:2013:i:1:p:27-43.

    Full description at Econpapers || Download paper

  7. Monetary Policy at the Zero Lower Bound: The Chilean Experience. (2013). Saravia, Diego ; Garcia Cicco, Javier ; Cespedes, Luis ; Garcia-Cicco, Javier.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:712.

    Full description at Econpapers || Download paper

  8. Endogenous Monetary Policy Shifts and the Term Structure: Evidence from Japanese Government Bond Yields. (2013). Koeda, Junko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf303.

    Full description at Econpapers || Download paper

  9. Market-implied inflation and growth rates adversely affected by the Brent.. (2013). de Jong, Marielle ; Cette, Gilbert.
    In: Working papers.
    RePEc:bfr:banfra:433.

    Full description at Econpapers || Download paper

  10. A Dynamic Inflation Hedging Trading Strategy Using a CPPI. (2012). Fulli-Lemaire, Nicolas.
    In: MPRA Paper.
    RePEc:pra:mprapa:42851.

    Full description at Econpapers || Download paper

  11. Market expectations of the short rate and the term structure of interest rates: a new perspective from the classic model. (2012). Ye, Xiaoxia.
    In: MPRA Paper.
    RePEc:pra:mprapa:41093.

    Full description at Econpapers || Download paper

  12. The term structure of inflation expectations. (2012). Mueller, Philippe ; Chernov, Mikhail.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:2:p:367-394.

    Full description at Econpapers || Download paper

  13. Bounds on the autocorrelation of admissible stochastic discount factors. (2012). Chrtien, Stphane .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1943-1962.

    Full description at Econpapers || Download paper

  14. Uncovering the US term premium: An alternative route. (2012). Moreno, Antonio ; Gil-Alana, Luis.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:4:p:1181-1193.

    Full description at Econpapers || Download paper

  15. Why are excess returns on China’s Treasury bonds so predictable? The role of the monetary system. (2012). Zhang, Chu ; Tian, Shu ; Fan, Longzhen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:1:p:239-248.

    Full description at Econpapers || Download paper

  16. An estimated DSGE model: Explaining variation in nominal term premia, real term premia, and inflation risk premia. (2012). Andreasen, Martin.
    In: European Economic Review.
    RePEc:eee:eecrev:v:56:y:2012:i:8:p:1656-1674.

    Full description at Econpapers || Download paper

  17. Regime Changes and Financial Markets. (2011). Timmermann, Allan ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17182.

    Full description at Econpapers || Download paper

  18. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Nardari, Federico ; Martin, Spencer J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

    Full description at Econpapers || Download paper

  19. Asset pricing in the production economy subject to monetary shocks. (2011). Grishchenko, Olesya.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:63:y:2011:i:3:p:187-216.

    Full description at Econpapers || Download paper

  20. A reduced form model of default spreads with Markov-switching macroeconomic factors. (2011). Dionne, Georges ; Gauthier, Genevieve ; Maurice, Mathieu ; Hammami, Khemais ; Simonato, Jean-Guy.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:8:p:1984-2000.

    Full description at Econpapers || Download paper

  21. How arbitrage-free is the Nelson-Siegel model?. (2011). Coroneo, Laura ; Nyholm, Ken ; Vidova-Koleva, Rositsa .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:393-407.

    Full description at Econpapers || Download paper

  22. Comparing inflation and price-level targeting: A comprehensive review of the literature. (2011). Hatcher, Michael.
    In: Cardiff Economics Working Papers.
    RePEc:cdf:wpaper:2011/22.

    Full description at Econpapers || Download paper

  23. The Cross-Section and Time-Series of Stock and Bond Returns. (2010). Van Nieuwerburgh, Stijn ; Lustig, Hanno ; koijen, ralph ; Ralph S. J. Koijen, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15688.

    Full description at Econpapers || Download paper

  24. Falling Behind the Curve: A Positive Analysis of Stop-Start Monetary Policies and the Great Inflation. (2010). Taylor, John ; Levin, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15630.

    Full description at Econpapers || Download paper

  25. Indexed bonds and revisions of inflation expectations. (2010). Reschreiter, Andreas.
    In: Annals of Finance.
    RePEc:kap:annfin:v:6:y:2010:i:4:p:537-554.

    Full description at Econpapers || Download paper

  26. Macro-finance models of interest rates and the economy. (2010). Rudebusch, Glenn ; GlennD. Rudebusch, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2010-01.

    Full description at Econpapers || Download paper

  27. Inflation and the stock market: Understanding the Fed Model. (2010). Engstrom, Eric ; Bekaert, Geert.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:57:y:2010:i:3:p:278-294.

    Full description at Econpapers || Download paper

  28. Chinas official rates and bond yields. (2010). Johansson, Anders ; Fan, Longzhen .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:5:p:996-1007.

    Full description at Econpapers || Download paper

  29. Inflation risk and international asset returns. (2010). van Dijk, Mathijs ; Moerman, Gerard A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:4:p:840-855.

    Full description at Econpapers || Download paper

  30. Stock and bond returns with Moody Investors. (2010). Engstrom, Eric ; Bekaert, Geert ; Grenadier, Steven R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:5:p:867-894.

    Full description at Econpapers || Download paper

  31. Pricing the term structure of inflation risk premia: Theory and evidence from TIPS. (2010). Liu, BO ; Cheng, Xiaolin .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:702-721.

    Full description at Econpapers || Download paper

  32. No-arbitrage macroeconomic determinants of the yield curve. (2010). Chernov, Mikhail ; Bikbov, Ruslan .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:159:y:2010:i:1:p:166-182.

    Full description at Econpapers || Download paper

  33. Monetary Policy Shifts and the Term Structure. (2009). Loo-Kung, Rudy ; Boivin, Jean ; Ang, Andrew ; Dong, Sen .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15270.

    Full description at Econpapers || Download paper

  34. The Determinants of Stock and Bond Return Comovements. (2009). Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15260.

    Full description at Econpapers || Download paper

  35. Inflation Bets or Deflation Hedges? The Changing Risks of Nominal Bonds. (2009). Viceira, Luis ; Campbell, John ; Sunderam, Adi.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14701.

    Full description at Econpapers || Download paper

  36. International Interest-Rate Risk Premia in Affine Term Structure Models. (2009). Geiger, Felix.
    In: Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim.
    RePEc:hoh:hohdip:316.

    Full description at Econpapers || Download paper

  37. The case for TIPS: an examination of the costs and benefits. (2009). Roush, Jennifer ; Dudley, William C. ; Ezer, Michelle Steinberg.
    In: Economic Policy Review.
    RePEc:fip:fednep:y:2009:i:jul:p:1-17:n:v.15no.1.

    Full description at Econpapers || Download paper

  38. Mortgage timing. (2009). Van Nieuwerburgh, Stijn ; koijen, ralph ; Koijen,Ralph S. J., ; Van Hemert, Otto ; Koijen, Ralph S. J., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:93:y:2009:i:2:p:292-324.

    Full description at Econpapers || Download paper

  39. Risk, uncertainty, and asset prices. (2009). Xing, Yuhang ; Engstrom, Eric ; Bekaert, Geert.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:91:y:2009:i:1:p:59-82.

    Full description at Econpapers || Download paper

  40. Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns. (2009). Møller, Stig ; Moller, Stig Vinther .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:4:p:525-536.

    Full description at Econpapers || Download paper

  41. No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth.. (2009). Pegoraro, Fulvio ; Monfort, Alain ; Jardet, Caroline.
    In: Working papers.
    RePEc:bfr:banfra:234.

    Full description at Econpapers || Download paper

  42. Extraction of financial market expectations about inflation and interest rates from a liquid market. (2009). Marqués Sevillano, Jose Manuel ; Gimeno, Ricardo ; Marqus, Jos Manuel .
    In: Working Papers.
    RePEc:bde:wpaper:0906.

    Full description at Econpapers || Download paper

  43. The term structure and the expectations hypothesis: a threshold model. (2008). Modena, Matteo.
    In: MPRA Paper.
    RePEc:pra:mprapa:9611.

    Full description at Econpapers || Download paper

  44. The Term Structure and the Expectations Hypothesis: a Threshold Model. (2008). Modena, Matteo.
    In: Working Papers.
    RePEc:gla:glaewp:2008_36.

    Full description at Econpapers || Download paper

  45. Inflation expectations and risk premiums in an arbitrage-free model of nominal and real bond yields. (2008). Rudebusch, Glenn ; Lopez, Jose ; Christensen, Jens ; Jens H. E. Christensen, .
    In: Working Paper Series.
    RePEc:fip:fedfwp:2008-34.

    Full description at Econpapers || Download paper

  46. Estimating real and nominal term structures using Treasury yields, inflation, inflation forecasts, and inflation swap rates. (2008). Pennacchi, George ; Haubrich, Joseph ; Ritchken, Peter .
    In: Working Papers (Old Series).
    RePEc:fip:fedcwp:0810.

    Full description at Econpapers || Download paper

  47. Monetary Policy Regimes and the Term Structure of Interest Rates. (2008). Chernov, Mikhail ; Bikbov, Ruslan .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7096.

    Full description at Econpapers || Download paper

  48. The inflation risk premium in the term structure of interest rates. (2008). Hördahl, Peter ; Hordahl, Peter.
    In: BIS Quarterly Review.
    RePEc:bis:bisqtr:0809e.

    Full description at Econpapers || Download paper

  49. Econometric Asset Pricing Modelling.. (2008). Pegoraro, Fulvio ; Monfort, Alain ; Bertholon, H..
    In: Working papers.
    RePEc:bfr:banfra:223.

    Full description at Econpapers || Download paper

  50. A Habit-Based Explanation of the Exchange Rate Risk Premium. (2006). Verdelhan, Adrien.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2006-047.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-26 14:29:18 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.