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Paper eres2013_313:
Inflation-Protecting Asset Allocation: A Downside Risk Analysis

id eres2013_313
authors Koniarski, Tim; Steffen S. Sebastian
year 2013
title Inflation-Protecting Asset Allocation: A Downside Risk Analysis
source 20th Annual European Real Estate Society Conference in Vienna, Austria
summary This paper studies the ability of cash, bonds, stocks and direct real estate to hedge inflation and optimal inflation-protecting asset allocations within a downside risk framework. Using a VAR model to capture predictable price dynamics, we find that the inflation-hedging properties of assets substantially change over the investment horizon. Cash clearly hedges inflation best in the short run. However, as the investment horizon increases, bonds, stocks and real estate become more attractive with respect to inflation-hedging. Real estate has the best qualities to protect investors against inflation on a medium and long-term basis. While cash plays the most important role in short-term portfolios, the weights of the inflation-protecting portfolios shift to real estate, stocks and bonds as the investment horizon increases.
keywords Downside risk, Inflation-hedging, Asset allocation, Vector autoregression
series ERES:conference
type paper session
discussion No discussions. Post discussion ...
session P-7: Real Estate Portfolio Management
last changed 2014/10/21 21:51
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