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.
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页数：13
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