Intertemporal asset allocation strategies under inflationary risk
Hsiao C-Y (2006)
Bielefeld (Germany): Bielefeld University.
Bielefelder E-Dissertation | Englisch
Download
Autor*in
Hsiao, Chih-Ying
Gutachter*in / Betreuer*in
Semmler, Willi (Prof. Dr.)
Einrichtung
Abstract / Bemerkung
In the framework of the intertemporal asset allocation problem, this dissertation focuses on the modelling of inflation risk and its impact on intertemporal asset allocation strategies. The contributions of this dissertation to the current literature are as follows.
First, in considering inflation risk, Merton's continuous-time framework of the intertemporal model is extended to accommodate a time-varying consumption price index. Recall that it is important to consider a time-varying consumption price index for the intertemporal asset allocation problem because: (i) a time-varying price level will affect consumption decisions since agents care about how many goods they can consume (real terms) instead of how much money they spend for consumption. (ii) A time-varying price level will affect the portfolio strategies because the implied inflation risk from the time-varying price index affects interest rates (bond yields) of different maturities.
Second, this dissertation extends the solution method of the intertemporal asset allocation problem, that is, the method of dynamic programming, to a framework with a stochastic consumption price level. An analytical solution formula is provided for the optimal intertemporal investment strategy in this extended framework by using the Feymann-Kac formula.
With regard to inflation modelling, the third contribution of this work is to develop a new interest rate model to include inflation-indexed bonds. Based on this new model, we can study the hedging performance of inflation-indexed bonds against the inflation risk within the intertemporal asset allocation problem.
Fourthly, due to the difficulty in solving the intertemporal asset allocation problem for some extended cases, this dissertation develops a computational algorithm based on the Jacobi iteration method in the Markov Chain Approximation family of Kushner (1977). This algorithm is then applied to our intertemporal asset allocation problem taking account of various kinds of short-sale constraints.
Stichworte
, , Dynamic programming , Duffie-Kan term structure model , Kalman filter , Short-sale constraints
Jahr
2006
Page URI
https://pub.uni-bielefeld.de/record/2305881
Zitieren
Hsiao C-Y. Intertemporal asset allocation strategies under inflationary risk. Bielefeld (Germany): Bielefeld University; 2006.
Hsiao, C. - Y. (2006). Intertemporal asset allocation strategies under inflationary risk. Bielefeld (Germany): Bielefeld University.
Hsiao, Chih-Ying. 2006. Intertemporal asset allocation strategies under inflationary risk. Bielefeld (Germany): Bielefeld University.
Hsiao, C. - Y. (2006). Intertemporal asset allocation strategies under inflationary risk. Bielefeld (Germany): Bielefeld University.
Hsiao, C.-Y., 2006. Intertemporal asset allocation strategies under inflationary risk, Bielefeld (Germany): Bielefeld University.
C.-Y. Hsiao, Intertemporal asset allocation strategies under inflationary risk, Bielefeld (Germany): Bielefeld University, 2006.
Hsiao, C.-Y.: Intertemporal asset allocation strategies under inflationary risk. Bielefeld University, Bielefeld (Germany) (2006).
Hsiao, Chih-Ying. Intertemporal asset allocation strategies under inflationary risk. Bielefeld (Germany): Bielefeld University, 2006.
Alle Dateien verfügbar unter der/den folgenden Lizenz(en):
Copyright Statement:
Dieses Objekt ist durch das Urheberrecht und/oder verwandte Schutzrechte geschützt. [...]
Volltext(e)
Name
Access Level
![Open access file OA](https://pub.uni-bielefeld.de/images/access_open.png)
Zuletzt Hochgeladen
2019-09-06T08:57:49Z
MD5 Prüfsumme
cc942ef55f38c1d542bc80be37065221