Mean-variance portfolio selection with correlation risk

Keyphrases

• Asset Returns 33%
• Change of Variables 33%
• Continuous-time 33%
• Copyright 33%
• Correlation Regimes 33%
• Correlation Risk 100%
• Economic Variables 33%
• Hedging Demand 33%
• Investment Demand 33%
• Market Conditions 33%
• Market Leverage 33%
• Market Regimes 66%
• Market Returns 33%
• Markowitz 66%
• Mean-variance Portfolio Selection 100%
• Modern Portfolio Theory 33%
• Optimal Policy 33%
• Optimal Portfolio 33%
• Portfolio Optimization 100%
• Portfolio Policy 33%
• Risky Assets 33%
• Stable Markets 33%
• Well-behaved 33%

Economics, Econometrics and Finance

• Capital Market Returns 20%
• Continuous Time 20%
• Hedging 20%
• Portfolio Selection 100%