Journal of Risk

Managing the risk of relative price changes by splitting index-linked bonds

Andrew R. Aziz, Eliakim Katz, Eliezer Z. Prisman


In this paper, the authors show that if consumption patterns differ across investors then the "splitting" of a CPI index-linked bond (ILB) into individual components of the CPI offers welfare gains to an economy which are considerably greater than those offered by an ILB that is not split into its components. The welfare gains derived by the splitting of ILBs, over and above the gains derived from the availability of a nonsplit ILB, varies from 5% for low investor levels of risk aversion to 400% and more for higher investor levels of risk aversion.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here