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25-059/IV - On the Limits of Hedging Inflation Risk in Investment Portfolios


  • Authors
    Damiaan Chen, De Nederlandsche Bank; Roel Beetsma, University of Amsterdam; Sweder van Wijnbergen, University of Amsterdam
  • Publication date
    October 10, 2025
  • Keywords
    unhedgeable inflation risk, incomplete markets, welfare loss, mean-variance frontiers, minimum risk portfolio, nominal and index-linked bonds
  • JEL
    C61, E21, G11, G23