search query: @author Levy, H. / total: 48
reference: 18 / 48
| Author: | Levy, H. Levy, A. |
| Title: | Equilibrium under uncertain inflation : a discrete time approach. |
| Journal: | Journal of Financial and Quantitative Analysis
1987 : SEP, VOL. 22:3, p. 285-297 |
| Index terms: | PORTFOLIO MANAGEMENT INFLATION |
| Language: | eng |
| Abstract: | Most research on portfolio selection under uncertain inflation applies either linear or quadratic approximation. In the present paper a general case is considered, namely it is assumed that the nominal return is the product of the real return and the inflation coefficient (one plus the inflation rate). The general assumption yields the following results (not to be found in the special approximations): (1) Even assuming independence of nominal rates w.r.t. inflation, the nominal and the real efficient sets are different. (2) Similar result holds when real returns are independent of the inflation. |
SCIMA