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Inflation and Optimal Portfolio Choices

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  • Solnik, Bruno H.

Abstract

Capital market equilibrium has been extensively studied in the recent past, mostly in a mean-variance framework. In a perfect capital market with riskless assets and homogenous expectations among risk-averse investors, Sharpe and Lintner have shown that the efficient set of all investors could be described by only two portfolios (or mutual funds):(1) the market portfolio(2) the riskless asset.

Suggested Citation

  • Solnik, Bruno H., 1978. "Inflation and Optimal Portfolio Choices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(5), pages 903-925, December.
    • Handle: RePEc:cup:jfinqa:v:13:y:1978:i:05:p:903-925_01
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    Citations

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    Cited by:

    1. Bob Korkie & Harry J. Turtle, 2002. "A Mean-Variance Analysis of Self-Financing Portfolios," Management Science, INFORMS, vol. 48(3), pages 427-443, March.
    2. Huang, Xiaoxia & Ma, Di & Choe, Kwang-Il, 2023. "Uncertain mean–variance portfolio model with inflation taking linear uncertainty distributions," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 203-217.
    3. Brière, Marie & Signori, Ombretta, 2013. "Hedging inflation risk in a developing economy: The case of Brazil," Research in International Business and Finance, Elsevier, vol. 27(1), pages 209-222.
    4. Penaranda, Francisco, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
    5. Vukovic, Darko B. & Maiti, Moinak & Frömmel, Michael, 2022. "Inflation and portfolio selection," Finance Research Letters, Elsevier, vol. 50(C).
    6. Cartea, Álvaro & Saúl, Jonatan & Toro, Juan, 2012. "Optimal portfolio choice in real terms: Measuring the benefits of TIPS," Journal of Empirical Finance, Elsevier, vol. 19(5), pages 721-740.
    7. Eichner, Thomas & Wagener, Andreas, 2012. "Tempering effects of (dependent) background risks: A mean-variance analysis of portfolio selection," Journal of Mathematical Economics, Elsevier, vol. 48(6), pages 422-430.
    8. Alain Bensoussan & Jussi Keppo & Suresh P. Sethi, 2009. "Optimal Consumption And Portfolio Decisions With Partially Observed Real Prices," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 215-236, April.
    9. Zvi Bodie, 1979. "Inflation Risk and Capital Market Equilibrium," NBER Working Papers 0373, National Bureau of Economic Research, Inc.
    10. Baumann, Roger T. & Müller, Heinz H., 2008. "Pension funds as institutions for intertemporal risk transfer," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1000-1012, June.

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