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Alec Schmidt

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48
Date
2022/06/18
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3
Job
Financial Risk and Engineering, NYU School of Engineering | Adjunct Professor
Content
Inflation is now on everyone's mind. Will the traditional 60% capitalization weighted equity index and 40% bond index work during times of inflation? We filter 100 years of data to determine the high inflation regimes. Then, we concatenate all the returns from these high inflation eras to form a lengthy high inflation return series. Bootstrap tests on this series of returns shows that a 60% equal weighted stock index and 40% short term bond index performs quite well. Is this simply due to the small cap effect? Perhaps not. More details in the white paper ``Asset allocation during high inflation periods: a stress test.''
Property
Integromat
Link
https://www.linkedin.com/feed/update/urn:li:activity:6943734223618932736
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this
Profile
https://www.linkedin.com/in/alec-schmidt-9a761716/
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