文章基本信息

标题：Consumption, inflation risk and dynamic hedging
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作者：Stefan Franz Schubert ; Udo Broll
期刊名称：Współczesna Ekonomia
印刷版ISSN：1897-9254
出版年度：2015
卷号：9
期号：2
页码：171-180
DOI：10.5709/ce.1897-9254.165
出版社：VIZJA Press & IT
摘要：Our study examines the behavior of a risk-averse investor who faces two sources of uncertainty:a random asset price and inflation risk. Both sources of uncertainty make it difficult to stabilizeconsumption over time. However, investors can enter risk-sharing markets, such as futures markets,to manage these risks. We develop a dynamic risk management model. Optimal consumption andrisk management strategies are derived. It is shown that dynamic hedging increases an investor’swelfare in terms of the expected inter-temporal utility of consumption
关键词：Dynamic hedging; asset price risk; inflation risk; real wealth; consumption