hedging strategies by a nonlinear version of the Black-Scholes PDE. The core of the paper consists of a simulation study. We …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varyingrst and second moments of …. This generates a positive correlation between dividendyields and nominal yields and between stock and bond returns. High …

characteristics of her portfolio. This empirical study is embedded into an introduction to correlation breakdown, which can be …

as exit channel. We find significant statistical evidence for the negative correlation between early stage investments … on correlation coefficients, but need to carefully consider a funds investment strategy. The conflict of objectives for …

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 find that the optimal demand to hedge …

allow for efficient simulation of portfolio loss distributions. …