25-059/IV - On the Limits of Hedging Inflation Risk in Investment Portfolios
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AuthorsDamiaan Chen, De Nederlandsche Bank; Roel Beetsma, University of Amsterdam; Sweder van Wijnbergen, University of Amsterdam
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Publication dateOctober 10, 2025
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Keywordsunhedgeable inflation risk, incomplete markets, welfare loss, mean-variance frontiers, minimum risk portfolio, nominal and index-linked bonds
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JELC61, E21, G11, G23