A Multi-Asset Approach to Inflation Hedging fora U.S. Investor
研究了美国投资者如何利用短期债券、长期债券、黄金、石油和新兴市场股票等多种资产构建组合，在追求4.5%实际回报的同时最小化通胀风险，发现TIPS效果有限。
The objective of Bruno and Chincarini is to explore and identify the inflation embedded in a broad range of asset classes beyond simplyTIPS, oil, gold, and real estate. Their analysis is conducted from the perspective of a U.S. investor. The authors find that an investor who is looking for a positive real return of 4.5% while minimizing the downside with respect to inflation will have an allocation that consists primarily of short-term bonds, longer-term bonds, some gold, some oil, and some emerging market equities. The weight of gold and oil together is less than 10% of the portfolio. Bruno and Chincarini also find that TIPS are only slightly effective for protecting against inflation, conditional on an investor using a group of asset classes. The out-of-sample performance of the real return optimizations is quite promising, providing an emulative inflation-protection strategy for U.S. investors. <b>TOPICS:</b>Portfolio construction, statistical methods, financial crises and financial market history