Dynamic Asset Allocation under Inflation
提出了一个简单框架，分析投资者在只有名义资产可用且存在通胀时的资产配置问题，给出了最优投资策略和间接效用的闭式解，并发现对冲需求取决于投资者的投资期限、风险厌恶程度以及债券的到期期限。
ABSTRACT We develop a simple framework for analyzing a finite‐horizon investor's asset allocation problem under inflation when only nominal assets are available. The investor's optimal investment strategy and indirect utility are given in simple closed form. Hedge demands depend on the investor's horizon and risk aversion and on the maturities of the bonds included in the portfolio. When short positions are precluded, the optimal strategy consists of investments in cash, equity, and a single nominal bond with optimally chosen maturity. Both the optimal stock‐bond mix and the optimal bond maturity depend on the investor's horizon and risk aversion.