Residual Inflation Risk
将通胀风险分解为与投资者偏好和投资机会相关的部分以及剩余部分，发现只有前者获得风险溢价，因此投资者应避免剩余通胀风险，并建议将所有财富投资于实际资产。
I decompose inflation risk into (i) a component that is correlated with factors that determine investors’ preferences and investment opportunities and real returns on real assets with risky cash flows (stocks, corporate bonds, real estate, commodities, etc.), and (ii) a residual inflation risk component. In equilibrium, only the first component earns a risk premium. Therefore, investors should avoid exposure to the residual component. All nominal bonds, including money-market accounts, have constant nominal cash flows, and thus their real returns are equally exposed to residual inflation risk. In contrast, inflation-protected bonds provide a means to avoid cash flow and residual inflation risk. Hence, every investor should put 100% of her wealth in real assets (inflation-protected bonds, stocks, corporate bonds, real estate, commodities, etc.) and finance every long/short position in nominal bonds with an equal amount of other nominal bonds or by borrowing/lending cash; that is, investors should hold a zero-investment portfolio of nominal bonds and cash. This paper was accepted by Neng Wang, finance.