simultaneous modeling of stochastic correlation and volatility. The solutions of the model are in closed form and include an … correlation risk is a non-negligible fraction of the myopic portfolio, which often dominates the pure volatility hedging demand …In this paper we solve an intertemporal portfolio problem with correlation risk, using a new approach for the …

the time-varying correlation of US stock and bond returns. Key ingredients are time-varyingrst and second moments of …. As a result,risk premiums on equity and nominal bonds comove positively through their exposureto macroeconomic volatility …. 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 … generated by regime-switching models, and theory onasset allocation …

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 …

Based on the APARCH model and two outlier detection methods, we computereliable time series of volatility asymmetry for … mostcountries. We nd that economic development and market capitalization/GDP arethe most important factors that increase volatility …

hedging. We use martingale arguments to provide upper and lower bounds, in terms of bounds on the correlation, for the value V … for the indifference value b of B at any time, even with a fairly general stochastic correlation. Earlier results with … constant correlation are recovered and extended. The reason why all this works is that after a transformation to the minimal …