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 …

of the time otherwise required. The proposed method is a two-step procedure, separating the estimation of the correlation …

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 …

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 …