本研究探討通貨膨脹風險下長期投資人之最適資產配置。由於長年期通貨膨脹之估計誤差於投資決策上容易產生顯著差異，我們延伸 Brennan and Xia (2002)的模型，嘗試以消費者物價指數預估及修正通貨膨脹率，利用貝氏過濾方法預估未來通貨膨脹率。以平賭過程描述基金的限制條件，最適化投資人之效用值求得加入可預測性效果後之最適多期資產組合模型。研究結果顯示，長期投資人之最適策略可表示為固定比例股票指數基金及不同存續期間固定收益基金之組合。以不同存續期間之固定收益債券可以有效建構規避通貨膨脹風險之避險組合。本研究並提供數值計算與分析。 / This paper examines the optimal portfolio selection for a long-term investor. In order to consider the uncertainty of inflation rate, we extend the work in Brennan and Xia (2002) and use the consumer price index (CPI) to estimate and update the inflation rate through the filtering mechanism. The stochastic real interest rate is assumed to follow the Vasicek-type model. The investor’s optimal portfolio selection is solved through the Martingale method. The result is given in a simple closed form solution. We show that the optimal strategy for the fund manager in hedging the inflation uncertainty is to incorporate a dynamic fixed income portfolio with different durations. Numerical illustration is provided to clarify our findings.