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Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
Tinbergen Institute Discussion Paper No. TI 2025-059/IV
Verlag: 
Tinbergen Institute, Amsterdam and Rotterdam
Zusammenfassung: 
We explore to what extent real returns on investment portfolios can be hedged against inflation risk by using existing financial market instruments. We find that inflation-linked bonds offer only limited protection against inflation risk and that nominal debt and stocks play at least comparable roles in this respect. These findings apply to both a static and a dynamic setting. The demonstrated limits of hedging inflation risk are of particular relevance for long-term investors, such as pension funds with participants concerned about the real value of their pension benefits.
Schlagwörter: 
unhedgeable inflation risk
incomplete markets
welfare loss
meanvariance frontiers
minimum risk portfolio
nominal and index-linked bonds
JEL: 
C61
E21
G11
G23
Dokumentart: 
Working Paper
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