We consider the problem of portfolio optimization with a correlation constraint. The frame- work is the multiperiod stochastic financial market setting with one tradable stock, stochastic income and a non-tradable index. The correlation constraint is imposed on the portfolio and the non-tradable...

We propose an equilibrium framework within which to price financial securities written on non- tradable underlyings such as temperature indices. We analyze a financial market with a finite set of agents whose preferences are described by a convex dynamic risk measure generated by the solution of...

We consider a capital at risk (CaR) minimization problem in an incomplete market Black-Scholes setting. The optimization problem is studied, given the possibility that a correlation constraint between the wealth process and a financial index is imposed. The optimal portfolio is not unique and it...