Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Lionel Martellini; Vincent Milhau; Andrea Tarelli

doi:10.3905/jfi.2014.24.3.005

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Lionel Martellini, Vincent Milhau and Andrea Tarelli

The Journal of Fixed Income Winter 2015, 24 (3) 5-29; DOI: https://doi.org/10.3905/jfi.2014.24.3.005

Lionel Martellini

is a professor of finance at EDHEC Business School, the Scientific Director of EDHEC-Risk Institute, and a senior scientific advisor for ERI Scientific Beta in Nice, France.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: lionel.martellini@edhec.edu

Vincent Milhau

is the deputy scientific director of EDHEC-Risk Institute in Nice, France.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: vincent.milhau@edhec.edu

Andrea Tarelli

is a post-doctoral research fellow at Bocconi University in Milano, Italy.

Find this author on Google Scholar
Find this author on PubMed
Search for this author on this site
For correspondence: andrea.tarelli@unibocconi.it

Article
Info & Metrics
PDF (Subscribers Only)

PreviousNext

Explore our content to discover more relevant research

By topic
Across journals
From the experts
Monthly highlights
Special collections

In this issue

The Journal of Fixed Income

Vol. 24, Issue 3

Winter 2015

Table of Contents
Index by author

Download PDF

Article Alerts

User Name *

Password *

Email *

Email Article

Thank you for your interest in spreading the word on The Journal of Fixed Income.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Your Email *

Your Name *

Send To *

Enter multiple addresses on separate lines or separate them with commas.

You are going to email the following Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

Message Subject (Your Name) has sent you a message from The Journal of Fixed Income

Message Body (Your Name) thought you would like to see the The Journal of Fixed Income web site.

Your Personal Message

CAPTCHA

This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.

Citation Tools

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds