Dynamic Asset Allocation under Inflation
We develop a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor...
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| Veröffentlicht in: | The Journal of finance (New York) 2002-06, Vol.57 (3), p.1201-1238 |
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| Hauptverfasser: | , |
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| Sprache: | eng |
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| container_end_page | 1238 |
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| container_issue | 3 |
| container_start_page | 1201 |
| container_title | The Journal of finance (New York) |
| container_volume | 57 |
| creator | Brennan, Michael J. Xia, Yihong |
| description | We develop a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio. When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bond with optimally chosen maturity. Both the optimal stock-bond mix and the optimal bond maturity depend on the investor's horizon and risk aversion. |
| doi_str_mv | 10.1111/1540-6261.00459 |
| format | Article |
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The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio. When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bond with optimally chosen maturity. 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The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio. When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bond with optimally chosen maturity. Both the optimal stock-bond mix and the optimal bond maturity depend on the investor's horizon and risk aversion.</description><subject>Asset allocation</subject><subject>Bonds</subject><subject>Cash</subject><subject>Equity</subject><subject>Financial instruments</subject><subject>Financial portfolios</subject><subject>Hedging</subject><subject>Inflation</subject><subject>Inflation rates</subject><subject>Interest rates</subject><subject>Investment</subject><subject>Investment horizon</subject><subject>Investment policy</subject><subject>Investments</subject><subject>Investors</subject><subject>Real interest rates</subject><subject>Risk aversion</subject><subject>Studies</subject><issn>0022-1082</issn><issn>1540-6261</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2002</creationdate><recordtype>article</recordtype><recordid>eNqFkDtPwzAUhS0EEqUwszBETF3S-p1kLIWWIkQlBFRisVw_pJQ0KXYi6L_HaVAHFs5ydX2-c2UdAC4RHKKgEWIUxhxzNISQsuwI9A4vx6AHIcYxgik-BWfer2ErxnpgcLsr5SZX0dh7U0fjoqiUrPOqjJpSGxfNS1vs93NwYmXhzcXv7IPX6d3L5D5-XMzmk_FjLFlGslgaKi0kqdKZRIpZTaBV1KyI4ZZZhrTWKcSIS0Q4p0ZLpkkmU0QUW0EpKemDQXd366rPxvhabHKvTFHI0lSNFwinONxHhAT0-g-6rhpXht8JlNEEQ5bCAI06SLnKe2es2Lp8I91OICja4kRbk2hrEvviQoJ2ia-8MLv_cPGwmM672FUXW_u6cocY5lkSFOy4s3Nfm--DLd2H4AlJmFg-zcSSL2-mb8_vIiU_eNSGOg</recordid><startdate>200206</startdate><enddate>200206</enddate><creator>Brennan, Michael J.</creator><creator>Xia, Yihong</creator><general>Blackwell Publishers, Inc</general><general>Blackwell Publishers</general><general>Blackwell Publishers Inc</general><scope>BSCLL</scope><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>200206</creationdate><title>Dynamic Asset Allocation under Inflation</title><author>Brennan, Michael J. ; Xia, Yihong</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-a5939-ae4af038cd9a1c5fd30fc4eb3e6f5f51ddd80216a13664eda5d39a813c5b0aa43</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2002</creationdate><topic>Asset allocation</topic><topic>Bonds</topic><topic>Cash</topic><topic>Equity</topic><topic>Financial instruments</topic><topic>Financial portfolios</topic><topic>Hedging</topic><topic>Inflation</topic><topic>Inflation rates</topic><topic>Interest rates</topic><topic>Investment</topic><topic>Investment horizon</topic><topic>Investment policy</topic><topic>Investments</topic><topic>Investors</topic><topic>Real interest rates</topic><topic>Risk aversion</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Brennan, Michael J.</creatorcontrib><creatorcontrib>Xia, Yihong</creatorcontrib><collection>Istex</collection><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>The Journal of finance (New York)</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Brennan, Michael J.</au><au>Xia, Yihong</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Dynamic Asset Allocation under Inflation</atitle><jtitle>The Journal of finance (New York)</jtitle><date>2002-06</date><risdate>2002</risdate><volume>57</volume><issue>3</issue><spage>1201</spage><epage>1238</epage><pages>1201-1238</pages><issn>0022-1082</issn><eissn>1540-6261</eissn><coden>JLFIAN</coden><abstract>We develop a simple framework for analyzing a finite-horizon investor's asset allocation problem under inflation when only nominal assets are available. 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| fulltext | fulltext |
| identifier | ISSN: 0022-1082 |
| ispartof | The Journal of finance (New York), 2002-06, Vol.57 (3), p.1201-1238 |
| issn | 0022-1082 1540-6261 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_1282038133 |
| source | Jstor Complete Legacy; Wiley Online Library Journals Frontfile Complete |
| subjects | Asset allocation Bonds Cash Equity Financial instruments Financial portfolios Hedging Inflation Inflation rates Interest rates Investment Investment horizon Investment policy Investments Investors Real interest rates Risk aversion Studies |
| title | Dynamic Asset Allocation under Inflation |
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