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that financial development has important consequences for efficiency and specialization (or diversification) of investments …
Persistent link: https://www.econbiz.de/10005858336
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...
Persistent link: https://www.econbiz.de/10005858523