A Downside Risk Analysis of Inflation Hedging Capabilities of Individual Assets and Optimal Asset Allocation
DOI:
https://doi.org/10.30537/sijmb.v8i1.454Keywords:
Asset’s inflation, Hedging Properties, Optimal Portfolios, Inflation Hedged Portfolios Downside RiskAbstract
The objective of this study is to examine the inflation hedging capabilities of most widely used asset classes in Pakistan. It also attempts to find out the possibility of creating an inflation protected optimal asset mix. The sample consists of monthly data of cash, gold, stocks, foreign currency, real estate and inflation from 2005 to 2015. The major sources of data are SBP, World Bank and Pakistan Statistics Bureau. The downside analysis of these assets concludes that cash act as an inflation hedge for all the investment horizons. The findings showed that the Gold and stocks also have inflation hedging abilities in short run which extend to medium term investment horizon for gold only, while stocks appear to be a good inflation hedge for longer investment horizons. This study also suggests that investors can strategically create optimal portfolios that are hedged against inflation.
Downloads
Downloads
Published
Issue
Section
License
The SIJMB holds the rights of all the published papers. Authors are required to transfer copyrights to journal to make sure that the paper is solely published in SIJMB, however, authors and readers can freely read, download, copy, distribute, print, search, or link to the full texts of its articles and to use them for any other lawful purpose.
The SIJMB is licensed under Creative Commons Attribution-NonCommercial 4.0 International License.