Correlation Risk and Optimal Portfolio Choice
本文档由 纺织服装文库 分享于2010-10-26 22:57
In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an optimal portfolio demand for hedging correlation risk. We calibrate the model and nd that the optimal demand to hedge correlation risk is a non-negli..
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君,已阅读到文档的结尾了呢~~