Correlation Risk and Optimal Portfolio Choice

By Andrea Buraschi, Paolo Porchia, Fabio Trojani. 2010

277 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b560281bb65363c83b654a3d064fedd6ccb002e2

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Citations in the corpus

Affine Diffusion Processes: Theory and Applications (2009, methodology): “To this end we shall make use of a change of numeraire technique to price, e.g., Bond options and caplets.”
Asset Pricing with Second-Order Esscher Transforms (2010, background): “These RNVR or LRNVR are usually justified by a combination of assumptions on agents preferences and on probability distributions [see Rubinstein (1976), Brennan (1979), Duan (1995), Camara (2003)]. The assumptions made in both approaches obviously reduce the set of possible admissible pairs of histo”
Realized Wishart-Garch: A Score-Driven Multi-Asset Volatility Model (2016, unknown): “Buraschi, Porchia, and Trojani (2010) adopt a Wishart specification for modeling optimal portfolio choice with correlation risk.”
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (2014, methodology): “1 Electronic copy available at: http://ssrn.com/abstract=1054721”
Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “In our empirical analysis we are going to show that, contrarily to what stated in Buraschi et al. (2006), the size of the intertemporal hedging demand is small in absolute value.”
Affine Processes on Positive Semidefinite Matrices (2009, unknown): “Leippold and Trojani [38] introduce S+d -valued affine jump diffusions and 4For the diffusion case see also [20] or [19], Chapter 10.”
On strong solutions for positive definite jump diffusions (2009, unknown): “We call it of pure jump type provided Xt = X0 + ∑ 0 s≤t∆Xs, where ∆Xs = Xs −Xs−.”