par Briere, Marie 
;Signori, Ombretta
Référence Research in international business and finance, 27, 1, page (209-222)
Publication Publié, 2013-01
;Signori, OmbrettaRéférence Research in international business and finance, 27, 1, page (209-222)
Publication Publié, 2013-01
Article révisé par les pairs
| Résumé : | Inflation shocks are one of the pitfalls of developing economies and are usually difficult to hedge. This paper examines the optimal strategic asset allocation for a Brazilian investor seeking to hedge inflation risk at different horizons, ranging from one to 30 years. Using a vector-autoregressive specification to model inter-temporal dependency across variables, we measure the inflation hedging properties of domestic and foreign investments and carry out a portfolio optimisation. Our results show that foreign currencies complement traditional assets very efficiently when hedging a portfolio against inflation: around 70% of the portfolio should be dedicated to domestic assets (equities, inflation-linked (IL) bonds and nominal bonds), whereas 30% should be invested in foreign currencies, especially the US dollar and the euro. © 2012 Elsevier B.V. |
