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
Hauptverfasser:	Brennan, Michael J., Xia, Yihong
Format:	Artikel
Sprache:	eng
Schlagworte:	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
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