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Titel:

Inflation protected investment strategies

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Mahlstedt, M; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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
Intellectual Contribution:
Discipline-based Research
Zeitschriftentitel:
Risks
Journal gelistet in FT50 Ranking:
nein
Jahr:
2016
Band / Volume:
4
Heft / Issue:
2
Seitenangaben Beitrag:
1-21
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.3390/risks4020009
TUM Einrichtung:
Lehrstuhl für Finanzmathematik
Urteilsbesprechung:
0
Key publication:
Nein
Peer reviewed:
Ja
commissioned:
not commissioned
Technology:
Nein
Interdisziplinarität:
Nein
Leitbild:
;
Ethics und Sustainability:
Nein
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