Dynamic asset allocation under inflation

• 成果类型: Article
• 署名作者: Brennan, MJ; Xia, YH
• 署名单位: University of California System; University of California Los Angeles; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00459
• 发表日期: 2002
• 页码: 1201-1238
• 关键词: PORTFOLIO POLICIES; consumption; returns; INVESTMENT

摘要

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.