DYNAMIC HEDGING OF INFLATION RISK

被引：0

作者：

Broll, Udo ^{[1
]}

Schubert, Stefan ^{[2
]}

机构：

[1] Tech Univ Dresden, Dept Business Management & Econ, Helmholzstr 10, D-01062 Dresden, Germany

[2] Free Univ Bozen Bolzano, Dept Econ, Bolzano, Italy

来源：

ANNALS OF FINANCIAL ECONOMICS | 2009年 / 5卷 / 01期

关键词：

Inflation risk; consumption; asset price; dynamic hedging;

D O I：

10.1142/S2010495209500031

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

National and international investors are exposed to risk, stemming from volatile asset prices and inflation uncertainty. However investors can enter futures markets to hedge against these risks. The paper develops a dynamic hedging model, where the evolution of asset price, price level and futures price and hence real wealth is stochastic. For a risk averse investor, optimal dynamic consumption and hedging strategy are derived and discussed.

引用

页数：13

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