@article {Bruno102, author = {Salvatore Bruno and Ludwig Chincarini}, title = {A Multi-Asset Approach to Inflation Hedging fora U.S. Investor}, volume = {37}, number = {3}, pages = {102--115}, year = {2011}, doi = {10.3905/jpm.2011.37.3.102}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The objective of Bruno and Chincarini is to explore and identify the inflation embedded in a broad range of asset classes beyond simplyTIPS, oil, gold, and real estate. Their analysis is conducted from the perspective of a U.S. investor. The authors find that an investor who is looking for a positive real return of 4.5\% while minimizing the downside with respect to inflation will have an allocation that consists primarily of short-term bonds, longer-term bonds, some gold, some oil, and some emerging market equities. The weight of gold and oil together is less than 10\% of the portfolio. Bruno and Chincarini also find that TIPS are only slightly effective for protecting against inflation, conditional on an investor using a group of asset classes. The out-of-sample performance of the real return optimizations is quite promising, providing an emulative inflation-protection strategy for U.S. investors.TOPICS: Portfolio construction, statistical methods, financial crises and financial market history}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/37/3/102}, eprint = {https://jpm.pm-research.com/content/37/3/102.full.pdf}, journal = {The Journal of Portfolio Management} }