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A Study on the Optimal Portfolio Strategies Under Inflation

Author

Listed:
  • Yu Mei

    (Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China)

  • Gao Qian

    (Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China)

  • Liu Zijian

    (Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China)

  • Zhou Yike

    (Research Center of Applied Finance, School of Banking and Finance, University of International Business and Economics, Beijing100029, China)

  • Ralescu Dan

    (Department of Mathematical Sciences, University of Cincinnati, Cincinnati, USA)

Abstract

This paper tests the inflation hedging ability of four categories of important financial assets in China: Commodity futures, real estate, gold and industry stock and select the assets that have significant inflation hedging effect. Then the authors construct the mean-variance model under the inflation factor, using the selected assets to construct the inflation hedging portfolio, solving the model and obtain the optimal investment strategy with inflation protection function. The result shows that the portfolio constructed by the model have more stable real returns and its inflation hedging ability can be even better if the short selling restriction of stocks is eliminated.

Suggested Citation

  • Yu Mei & Gao Qian & Liu Zijian & Zhou Yike & Ralescu Dan, 2015. "A Study on the Optimal Portfolio Strategies Under Inflation," Journal of Systems Science and Information, De Gruyter, vol. 3(2), pages 111-132, April.
    • Handle: RePEc:bpj:jossai:v:3:y:2015:i:2:p:111-132:n:2
    DOI: 10.1515/JSSI-2015-0111
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    References listed on IDEAS

    as
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