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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Mahlstedt, M; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Inflation protected investment strategies 
Abstract:
In this paper, a dynamic inflation-protected investment strategy is presented which is based on traditional asset classes and Markov-Switching models. Different stock market as well as inflation regimes are identified and within those regimes the inflation hedging potential of stocks, bonds, real estate, commodities and gold are investigated. Within each regime, we determine optimal investment portfolios driven by the investment idea of protection from losses due to changing inflation if inflati...    »
 
Stichworte:
Markov-Switching models, inflation, investment strategies 
Zeitschriftentitel:
Risks 
Journal gelistet in FT50 Ranking:
nein 
Jahr:
2016 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
1-21 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Finanzmathematik 
Leitbild: