Koniarski, Tim and Sebastian, Steffen (2015) Inflation-Protecting Asset Allocation: A Downside Risk Analysis. JOURNAL OF PORTFOLIO MANAGEMENT, 41 (2). pp. 57-70. ISSN 0095-4918, 2168-8656
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This article studies the inflation-protection qualities of cash, bonds, stocks, and direct real estate, and the optimal inflation-protecting asset allocations within a downside risk framework. Using a value-at-risk model to capture predictable price dynamics, the authors find that the inflation-hedging properties of assets substantially change over the investment horizon. Cash is clearly the best hedge against inflation in the short run. However, as the investment horizon increases, bonds, stocks, and real estate become the more attractive options, with real estate exhibiting the best inflation-protection qualities on a medium- and long-term basis. While cash plays the most important role in short-term portfolios, the weights of the inflation-protecting portfolios shift to real estate, stocks, and bonds as the investment horizon increases.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | EXPECTED STOCK RETURNS; REAL-ESTATE; DIVIDEND YIELDS; HORIZON; PORTFOLIOS; GROWTH; TERM; |
| Subjects: | 600 Technology > 650 Management & auxiliary services |
| Divisions: | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) Business, Economics and Information Systems > Institut für Immobilienenwirtschaft / IRE|BS > Lehrstuhl für Immobilienfinanzierung (Prof. Dr. Steffen Sebastian) |
| Depositing User: | Dr. Gernot Deinzer |
| Date Deposited: | 07 May 2019 08:17 |
| Last Modified: | 07 May 2019 08:17 |
| URI: | https://pred.uni-regensburg.de/id/eprint/4437 |
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