A Study on the Optimal Portfolio Strategies Under Inflation

Yu Mei (), Gao Qian, Liu Zijian, Zhou Yike and Ralescu Dan
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Yu Mei: Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China
Gao Qian: Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China
Liu Zijian: Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China
Zhou Yike: Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China
Ralescu Dan: Department of Mathematical Sciences, University of Cincinnati, Cincinnati, USA

Journal of Systems Science and Information, 2015, vol. 3, issue 2, 111-132

Abstract: This paper tests the inflation hedging ability of four categories of important financial assets in China: Commodity futures, real estate, gold and industry stock and select the assets that have significant inflation hedging effect. Then the authors construct the mean-variance model under the inflation factor, using the selected assets to construct the inflation hedging portfolio, solving the model and obtain the optimal investment strategy with inflation protection function. The result shows that the portfolio constructed by the model have more stable real returns and its inflation hedging ability can be even better if the short selling restriction of stocks is eliminated.

Keywords: inflation protection; mean-variance; investment portfolio (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:bpj:jossai:v:3:y:2015:i:2:p:111-132:n:2

DOI: 10.1515/JSSI-2015-0111

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