Inflation rate tracking portfolio optimization method: Evidence from Japan

Kei Nakagawa and Yoshiyuki Suimon

Finance Research Letters, 2022, vol. 49, issue C

Abstract: Index tracking portfolio is a portfolio that tracks economic indicators or stock indexes. In this study, we propose an inflation rate tracing portfolio method that considers the portfolio turnover and the target return in the past inflation phase. The method is formulated as a quadratic programming problem, and the optimization algorithm is derived. We verify the advantages of the method using Japanese inflation rate data.

Keywords: Inflation hedge; Index tracking; Turnover (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322003531

DOI: 10.1016/j.frl.2022.103130

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