Intertemporal Asset Allocation with Inflation-Indexed Bonds

Carl Chiarella and C. Hsiao
Authors registered in the RePEc Author Service: Cheng Hsiao and Chih-Ying Hsiao ()

No 168, Computing in Economics and Finance 2005 from Society for Computational Economics

Abstract: When one constructs long-term investment plan, one needs to consider the fact that long-term bonds are still exposed to inflation risk. This paper studies the intertemporal portfolio-consumption decision where the investment opportunities include "inflation-indexed bonds" -- a modern financial asset for hedging inflation risks. It is assumed that as well as optimising the agents use non-linear filtering methods to estimate the unobservable variables which drive the asset returns. The model will be calibrated to empirical data. Investment strategies and total utilities will be compared with and without the inflation-indexed bonds

Keywords: Inflation-Indexed Bonds; Non-linear Filtering; Intertemporal Optimization (search for similar items in EconPapers)
JEL-codes: G11 G14 (search for similar items in EconPapers)
Date: 2005-11-11
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf5:168

Access Statistics for this paper

More papers in Computing in Economics and Finance 2005 from Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().