Advanced search
Publication Cover
Financial Analysts Journal Volume 60, 2004 - Issue 1
Submit an article Journal homepage
259
Views
59
CrossRef citations to date
0
Altmetric
PORTFOLIO MANAGEMENT

Asset Allocation with Inflation-Protected Bonds

S.P. Kothari S.P. Kothari is Gordon Y. Billard Professor of Management and head of the Department of Economics, Finance, and Accounting at MIT Sloan School of Management, Cambridge, Massachusetts.
&
Jay Shanken Jay Shanken is Goizueta Chair in Finance at Goizueta School of Business, Emory University, Atlanta, Georgia.
Pages 54-70 | Published online: 02 Jan 2019

Citations (59)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Tri M. Hoang. (2023) Long-horizon asset and portfolio returns revisited: Evidence from US markets. Cogent Business & Management 10:2.
Read now
Ivo J.M. Arnold. (2015) One index fits none: the conundrum of euro area inflation-linked bonds. The European Journal of Finance 21:7, pages 575-583.
Read now
Laurens Swinkels. (2012) Emerging Market Inflation-Linked Bonds. Financial Analysts Journal 68:5, pages 38-56.
Read now
Aleksandar Andonov, Florian Bardong & Thorsten Lehnert. (2010) TIPS, Inflation Expectations, and the Financial Crisis. Financial Analysts Journal 66:6, pages 27-39.
Read now

Articles from other publishers (55)

Shehryar Amin & Roméo Tédongap. (2023) The changing landscape of treasury auctions. Journal of Banking & Finance 148, pages 106714.
Crossref
ABRAHAM LIOUI & ANDREA TARELLI. (2022) Money Illusion and TIPS Demand. Journal of Money, Credit and Banking 55:1, pages 171-214.
Crossref
Spyros Papathanasiou, Dimitris Kenourgios, Drosos Koutsokostas & Georgios Pergeris. (2022) Can treasury inflation-protected securities safeguard investors from outward risk spillovers? A portfolio hedging strategy through the prism of COVID-19. Journal of Asset Management.
Crossref
Yu-Song Zhang, Chen Fei, Hai-Feng Pan & Jian Huang. (2022) Optimal Consumption, Leisure and Job Choice under Inflationary Environment. Journal of the Operations Research Society of China.
Crossref
Chen Fei, Weiyin Fei, Fanhong Zhang & Xiaoguang Yang. (2022) Agent’s Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model. Journal of Systems Science and Complexity 34:6, pages 2291-2309.
Crossref
Osman Gulseven & Ozgun Ekici. (2020) The role of real estate and gold as inflation hedges: the Islamic influence. International Journal of Islamic and Middle Eastern Finance and Management 14:2, pages 391-408.
Crossref
Monika ChopraChhavi MehtaAman Srivastava. (2018) Inflation-Linked Bonds as a Separate Asset Class: Evidence from Emerging and Developed Markets. Global Business Review 22:1, pages 219-235.
Crossref
Farid Mkaouar, Jean-Luc Prigent & Ilyes Abid. (2017) A Diffusion Model for Long-Term Optimization in the Presence of Stochastic Interest and Inflation Rates. Computational Economics 54:1, pages 367-417.
Crossref
Alexander Kupfer. 2019. Contemporary Topics in Finance. Contemporary Topics in Finance 117 149 .
Alexander Kupfer. (2018) ESTIMATING INFLATION RISK PREMIA USING INFLATION‐LINKED BONDS: A REVIEW. Journal of Economic Surveys 32:5, pages 1326-1354.
Crossref
Philipp Karl Illeditsch. (2018) Residual Inflation Risk. Management Science 64:11, pages 5289-5314.
Crossref
Laurens Swinkels. (2018) Simulating historical inflation-linked bond returns. Journal of Empirical Finance 48, pages 374-389.
Crossref
Mei-Ling Tang, Son-Nan Chen, Gene C. Lai & Ting-Pin Wu. (2018) Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee. Insurance: Mathematics and Economics 78, pages 87-104.
Crossref
Farid Mkaouar, Jean-Luc Prigent & Ilyes Abid. (2017) Long-term investment with stochastic interest and inflation rates: The need for inflation-indexed bonds. Economic Modelling 67, pages 228-247.
Crossref
Daniel Giamouridis, Athanasios Sakkas & Nikolaos Tessaromatis. (2017) Dynamic Asset Allocation with Liabilities. European Financial Management 23:2, pages 254-291.
Crossref
Olesya V. Grishchenko, Joel M. Vanden & Jianing Zhang. (2016) The informational content of the embedded deflation option in TIPS. Journal of Banking & Finance 65, pages 1-26.
Crossref
Paul J. Haensly. (2015) Is a pure TIPS strategy truly risk free?. Review of Financial Economics 28:1, pages 1-20.
Crossref
Stephan Arnold & Benjamin R. Auer. (2015) What do scientists know about inflation hedging?. The North American Journal of Economics and Finance 34, pages 187-214.
Crossref
Lionel Martellini, Vincent Milhau & Andrea Tarelli. (2014) Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds. The Journal of Fixed Income 24:3, pages 5-29.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2013) The Inflation Risk Premium: Evidence from the TIPS Market . The Journal of Fixed Income 22:4, pages 5-30.
Crossref
Olesya V. GrishchenkoJoel M. Vanden & Jianing Zhang. (2013) The Informational Content of the Embedded Deflation Option in TIPS. Finance and Economics Discussion Series 2013:24, pages 1-63.
Crossref
Marie Brière & Ombretta Signori. (2013) Hedging inflation risk in a developing economy: The case of Brazil. Research in International Business and Finance 27:1, pages 209-222.
Crossref
Jing-zhi Huang & Zhaodong Zhong. (2011) Time Variation in Diversification Benefits of Commodity, REITs, and TIPS. The Journal of Real Estate Finance and Economics 46:1, pages 152-192.
Crossref
Álvaro Cartea, Jonatan Saúl & Juan Toro. (2012) Optimal portfolio choice in real terms: Measuring the benefits of TIPS. Journal of Empirical Finance 19:5, pages 721-740.
Crossref
HUAXIONG HUANG & MOSHE A. MILEVSKY. (2011) Lifetime ruin minimization: should retirees hedge inflation or just worry about it?. Journal of Pension Economics and Finance 10:3, pages 363-387.
Crossref
Noël Amenc, Lionel Martellini, Vincent Milhau & Volker Ziemann. 2011. Asset and Liability Management Handbook. Asset and Liability Management Handbook 443 468 .
William W. Jennings. (2010) A Simple Stock–Bond Categorization of Alternative Investments. The Journal of Investing 19:4, pages 31-49.
Crossref
Geert Bekaert & Xiaozheng Wang. (2010) Inflation risk and the inflation risk premium. Economic Policy 25:64, pages 755-806.
Crossref
Bernd Scherer. 2010. Central Bank Reserves and Sovereign Wealth Management. Central Bank Reserves and Sovereign Wealth Management 220 230 .
Noël Amenc, Lionel Martellini, Vincent Milhau & Volker Ziemann. (2009) Asset-Liability Management in Private Wealth Management. The Journal of Portfolio Management 36:1, pages 100-120.
Crossref
Bernd Scherer. (2009) A note on portfolio choice for sovereign wealth funds. Financial Markets and Portfolio Management 23:3, pages 315-327.
Crossref
Noël Amenc, Lionel Martellini & Volker Ziemann. (2009) Inflation-Hedging Properties of Real Assets and Implications for Asset–Liability Management Decisions. The Journal of Portfolio Management 35:4, pages 94-110.
Crossref
Marie Brière & Ombretta Signori. (2009) Do Inflation-Linked Bonds Still Diversify?. European Financial Management 15:2, pages 279-297.
Crossref
Shaun K. Roache & Alexander P. Attie. (2009) Inflation Hedging for Long-Term Investors. IMF Working Papers 09:90, pages 1.
Crossref
Ning Gong & Tao Li. (2006) Role of index bonds in an optimal dynamic asset allocation model with real subsistence consumption. Applied Mathematics and Computation 174:1, pages 710-731.
Crossref
Abraham Lioui & Patrice Poncet. (2005) General equilibrium pricing of CPI derivatives. Journal of Banking & Finance 29:5, pages 1265-1294.
Crossref
Ivo J.M. Arnold. (2006) Which Price Index for Eurozone Index-linked Bonds?. SSRN Electronic Journal.
Crossref
Abdullah Mamun & Nuttawat Visaltanachoti. (2006) Inflation Expectation and Asset Allocation in the Presence of an Indexed Bond. SSRN Electronic Journal.
Crossref
Jing-Zhi Huang & Zhaodong Zhong. (2010) Time Variation in Diversification Benefits of Commodity, REITs, and TIPS. SSRN Electronic Journal.
Crossref
Abdullah Mamun & Nuttawat Visaltanachoti. (2006) Diversification Benefits of Treasury Inflation Protected Securities: An Empirical Puzzle. SSRN Electronic Journal.
Crossref
William W. Jennings. (2004) Disaggregated TIPS: The Case for Disaggregating Inflation-linked Bonds into Bonds Linked to Narrower CPI Components. SSRN Electronic Journal.
Crossref
Yaoting Lei & Jing Xu. (2019) Inflation, Taxation, and Capital Gains Indexation: Portfolio Choice and Welfare Implications. SSRN Electronic Journal.
Crossref
Abraham Lioui & Andrea Tarelli. (2018) Money Illusion: A Rationale for the Tips Puzzle. SSRN Electronic Journal.
Crossref
Paul J. Haensly & K. Prakash Pai. (2014) A New Strategy to Guarantee Retirement Income Using Tips and Longevity Insurance: A Second Look. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko, Joel M. M. Vanden & Jianing Zhang. (2012) The Informational Content of the Embedded Deflation Option in TIPS. SSRN Electronic Journal.
Crossref
William W. Lim. (2012) Real Return Bonds and Sunspots. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2012) The Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko, Joel M. M. Vanden & Jianing Zhang. (2012) The Informational Content of the Embedded Deflation Option in TIPS. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2011) Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko, Joel M. M. Vanden & Jianing Zhang. (2011) The Information Content of the Embedded Deflation Option in TIPS. SSRN Electronic Journal.
Crossref
Huang Huaxiong & Moshe A. Milevsky. (2010) Lifetime Ruin Minimization: Should Retirees Hedge Inflation or Just Worry About it?. SSRN Electronic Journal.
Crossref
Álvaro Cartea, Jonatan Saúl & Juan Toro. (2011) Optimal Portfolio Choice in Real Terms: Measuring the Benefits of TIPS. SSRN Electronic Journal.
Crossref
Anand S. Iyer, Madhusudan Subramanian & Vikash Punglia. (2011) The Road to Retirement - Bumpy or Smooth, Depends on Your Route, January 2011. SSRN Electronic Journal.
Crossref
Olesya V. Grishchenko & Jing-Zhi Huang. (2012) Inflation Risk Premium: Evidence from the TIPS Market. SSRN Electronic Journal.
Crossref
Jonathan Church. (2019) Inflation expectations and inflation realities: a comparison of the Treasury Breakeven Inflation curve and the Consumer Price Index before, during, and after the Great Recession. Monthly Labor Review.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.