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Correlation Risk and Optimal Portfolio Choice

Citations

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Cited by:

  1. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
  2. Georgy Chabakauri, 2012. "Asset Pricing with Heterogeneous Investors and Portfolio Constraints," FMG Discussion Papers dp707, Financial Markets Group.
  3. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
  4. Leovardo Mata Mata & José Antonio Núñez Mora & Ramona Serrano Bautista, 2021. "Multivariate Distribution in the Stock Markets of Brazil, Russia, India, and China," SAGE Open, , vol. 11(2), pages 21582440211, April.
  5. Zhaoyuan Li & Maozai Tian, 2017. "A New Method For Dynamic Stock Clustering Based On Spectral Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 373-392, October.
  6. Suleyman Basak & Georgy Chabakauri, 2012. "Dynamic Hedging in Incomplete Markets: A Simple Solution," The Review of Financial Studies, Society for Financial Studies, vol. 25(6), pages 1845-1896.
  7. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  8. Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 36-46, January.
  9. Chiu, Junmao & Lien, Donald & Tsai, Wei-Che, 2023. "Global financial crisis, funding constraints, and liquidity of VIX futures," Pacific-Basin Finance Journal, Elsevier, vol. 80(C).
  10. Song, Jae Wook & Ko, Bonggyun & Cho, Poongjin & Chang, Woojin, 2016. "Time-varying causal network of the Korean financial system based on firm-specific risk premiums," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 287-302.
  11. Wolfgang Schadner, 2021. "Feasible Implied Correlation Matrices from Factor Structures," Papers 2107.00427, arXiv.org.
  12. Costas Siriopoulos & Athanasios Fassas, 2013. "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, vol. 16(3), pages 233-266, October.
  13. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  14. Jensen, Mark J. & Maheu, John M., 2013. "Bayesian semiparametric multivariate GARCH modeling," Journal of Econometrics, Elsevier, vol. 176(1), pages 3-17.
  15. Matthias Pelster, 2015. "Marketable and non-hedgeable risk in a duopoly framework with hedging," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(4), pages 697-716, October.
  16. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2017. "Volatility of aggregate volatility and hedge fund returns," Journal of Financial Economics, Elsevier, vol. 125(3), pages 491-510.
  17. Azad, A.S.M. Sohel & Batten, Jonathan A. & Fang, Victor, 2015. "What determines the yen swap spread?," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 1-13.
  18. Arısoy, Yakup Eser & Altay-Salih, Aslıhan & Akdeniz, Levent, 2015. "Aggregate volatility expectations and threshold CAPM," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 231-253.
  19. repec:diw:diwwpp:dp1974 is not listed on IDEAS
  20. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
  21. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
  22. Yichen Zhu & Marcos Escobar-Anel & Matt Davison, 2023. "A Polynomial-Affine Approximation for Dynamic Portfolio Choice," Computational Economics, Springer;Society for Computational Economics, vol. 62(3), pages 1177-1213, October.
  23. Jun-jie Chen & Bo Zheng & Lei Tan, 2014. "Agent-based model with asymmetric trading and herding for complex financial systems," Papers 1407.5258, arXiv.org.
  24. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
  25. Robertson, Scott & Xing, Hao, 2017. "Long term optimal investment in matrix valued factor models," LSE Research Online Documents on Economics 69520, London School of Economics and Political Science, LSE Library.
  26. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
  27. Daniela Neykova & Marcos Escobar & Rudi Zagst, 2015. "Optimal investment in multidimensional Markov-modulated affine models," Annals of Finance, Springer, vol. 11(3), pages 503-530, November.
  28. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
  29. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
  30. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
  31. Packham, Natalie & Woebbeking, Fabian, 2021. "Correlation scenarios and correlation stress testing," IRTG 1792 Discussion Papers 2021-012, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
  32. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
  33. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
  34. Immacolata Oliva & Ilaria Stefani, 2023. "Co-jumps and recursive preferences in portfolio choices," Annals of Finance, Springer, vol. 19(3), pages 291-324, September.
  35. Oliva, I. & Renò, R., 2018. "Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like," Journal of Economic Dynamics and Control, Elsevier, vol. 94(C), pages 242-256.
  36. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
  37. Yufeng Lin & Xiaogang Wang & Yuehua Wu, 2023. "An Adaptive Multiple-Asset Portfolio Strategy with User-Specified Risk Tolerance," Mathematics, MDPI, vol. 11(7), pages 1-35, March.
  38. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
  39. N. Packham & F. Woebbeking, 2021. "Correlation scenarios and correlation stress testing," Papers 2107.06839, arXiv.org, revised Sep 2022.
  40. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
  41. Hong Mao & Zhongkai Wen, 2019. "Pricing options of security portfolio in cyclical economic environment," Journal of Asset Management, Palgrave Macmillan, vol. 20(5), pages 384-394, September.
  42. Chazi, Abdelaziz & Samet, Anis & Azad, A.S.M. Sohel, 2023. "Volatility and correlation of Islamic and conventional indices during crises," Global Finance Journal, Elsevier, vol. 55(C).
  43. Monfort, Alain & Pegoraro, Fulvio, 2012. "Asset pricing with Second-Order Esscher Transforms," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
  44. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
  45. Sim, Min Kyu & Deng, Shijie & Huo, Xiaoming, 2021. "What can cluster analysis offer in investing? - Measuring structural changes in the investment universe," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 299-315.
  46. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.
  47. O'Hagan-Luff, Martha & Berrill, Jenny, 2015. "Why stay-at-home investing makes sense," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 1-14.
  48. Tianyao Chen & Xue Cheng & Jingping Yang, 2019. "Common Decomposition of Correlated Brownian Motions and its Financial Applications," Papers 1907.03295, arXiv.org, revised Nov 2020.
  49. Paul De Grauwe & Zhaoyong Zhang & Kin-Yip Ho & Yanlin Shi & Zhaoyong Zhang, 2016. "It takes two to tango: A regime-switching analysis of the correlation dynamics between the mainland Chinese and Hong Kong stock markets," Scottish Journal of Political Economy, Scottish Economic Society, vol. 63(1), pages 41-65, February.
  50. Chenxu Li & Olivier Scaillet & Yiwen Shen, 2020. "Wealth Effect on Portfolio Allocation in Incomplete Markets," Papers 2004.10096, arXiv.org, revised Aug 2021.
  51. Chenxu Li & O. Scaillet & Yiwen Shen, 2020. "Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets," Swiss Finance Institute Research Paper Series 20-22, Swiss Finance Institute.
  52. Yingting Miao & Qiang Zhang, 2023. "Optimal Investment and Consumption Strategies with General and Linear Transaction Costs under CRRA Utility," Papers 2304.07672, arXiv.org.
  53. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
  54. Ma, Cong & Nan, Shijing, 2024. "Dynamic graph reinforcement learning algorithm for portfolio management: A novel time–frequency correlated model," Finance Research Letters, Elsevier, vol. 63(C).
  55. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
  56. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
  57. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
  58. Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
  59. Francisco Gomes & Alexander Michaelides & Yuxin Zhang, 2022. "Tactical Target Date Funds," Management Science, INFORMS, vol. 68(4), pages 3047-3070, April.
  60. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
  61. Fan, Qingliang & Wu, Ruike & Yang, Yanrong & Zhong, Wei, 2024. "Time-varying minimum variance portfolio," Journal of Econometrics, Elsevier, vol. 239(2).
  62. Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
  63. Qin, Xiao, 2020. "Oil shocks and financial systemic stress: International evidence," Energy Economics, Elsevier, vol. 92(C).
  64. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  65. Likitwongkajon, Napaporn & Vithessonthi, Chaiporn, 2022. "Internationalization, foreign exchange exposure and firm risk," International Review of Financial Analysis, Elsevier, vol. 83(C).
  66. Lioui, Abraham, 2013. "Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences," Journal of Economic Dynamics and Control, Elsevier, vol. 37(5), pages 1066-1096.
  67. Wu, Chih-Chiang & Chiu, Junmao, 2017. "Economic evaluation of asymmetric and price range information in gold and general financial markets," Journal of International Money and Finance, Elsevier, vol. 74(C), pages 53-68.
  68. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
  69. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
  70. Paolo Guasoni & Scott Robertson, 2012. "Portfolios and risk premia for the long run," Papers 1203.1399, arXiv.org.
  71. Wang, Hang & Hu, Zhijun, 2020. "Optimal consumption and portfolio decision with stochastic covariance in incomplete markets," Chaos, Solitons & Fractals, Elsevier, vol. 138(C).
  72. Jun-Jie Chen & Bo Zheng & Lei Tan, 2013. "Agent-Based Model with Asymmetric Trading and Herding for Complex Financial Systems," PLOS ONE, Public Library of Science, vol. 8(11), pages 1-11, November.
  73. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
  74. Wang, Yifu & Lu, Wanbo & Lin, Min-Bin & Ren, Rui & Härdle, Wolfgang Karl, 2024. "Cross-exchange crypto risk: A high-frequency dynamic network perspective," International Review of Financial Analysis, Elsevier, vol. 94(C).
  75. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
  76. Gang-Zhi Fan & Zsuzsa Huszár & Weina Zhang, 2013. "The Relationships between Real Estate Price and Expected Financial Asset Risk and Return: Theory and Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 46(4), pages 568-595, May.
  77. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2018. "Public information arrival, price discovery and dynamic correlations in the Chinese renminbi markets," The North American Journal of Economics and Finance, Elsevier, vol. 46(C), pages 168-186.
  78. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  79. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
  80. Jun Ma, 2009. "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 303-327, November.
  81. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
  82. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
  83. Wu, Shan & Tong, Mu & Yang, Zhongyi & Zhang, Tianyi, 2021. "Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 569(C).
  84. Packham, N. & Woebbeking, C.F., 2019. "A factor-model approach for correlation scenarios and correlation stress testing," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 92-103.
  85. Giovanni Calice & Christos Ioannidis & Julian Williams, 2011. "Credit Derivatives and the Default Risk of Large Complex Financial Institutions," CESifo Working Paper Series 3583, CESifo.
  86. Masahiko Egami & Yuki Shigeta & Katsutoshi Wakai, 2014. "The change of correlation structure across industries:an analysis in the regime-switching framework," Discussion papers e-14-002, Graduate School of Economics Project Center, Kyoto University.
  87. Kraft, Holger & Meyer-Wehmann, André & Seifried, Frank Thomas, 2020. "Dynamic asset allocation with relative wealth concerns in incomplete markets," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
  88. Packham, N. & Woebbeking, F., 2023. "Correlation scenarios and correlation stress testing," Journal of Economic Behavior & Organization, Elsevier, vol. 205(C), pages 55-67.
  89. Aleksy Leeuwenkamp & Wentao Hu, 2023. "New general dependence measures: construction, estimation and application to high-frequency stock returns," Papers 2309.00025, arXiv.org.
  90. Vogel, Harold L. & Werner, Richard A., 2015. "An analytical review of volatility metrics for bubbles and crashes," International Review of Financial Analysis, Elsevier, vol. 38(C), pages 15-28.
  91. Wolfgang Schadner & Joshua Traut, 2022. "Estimating Forward-Looking Stock Correlations from Risk Factors," Mathematics, MDPI, vol. 10(10), pages 1-19, May.
  92. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
  93. Ziegler, Alexandre & Schürhoff, Norman, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
  94. Mike Buckle & Jing Chen & Julian Williams, 2014. "How Predictable Are Equity Covariance Matrices? Evidence from High‐Frequency Data for Four Markets," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(7), pages 542-557, November.
  95. Natalie Packham & Fabian Woebbeking, 2018. "A factor-model approach for correlation scenarios and correlation stress-testing," Papers 1807.11381, arXiv.org, revised Jan 2019.
  96. Buss, Adrian & Vilkov, Grigory & ,, 2018. "Expected Correlation and Future Market Returns," CEPR Discussion Papers 12760, C.E.P.R. Discussion Papers.
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