Industry portfolio allocation with asymmetric correlations
研究了行业与市场投资组合间动态非对称相关性下的最优消费和投资组合选择，推导出闭式解，发现忽略这种相关性会损害投资者收益，并实证检验了策略表现。
We develop a new framework of optimal consumption and portfolio choice at industry portfolio level under dynamic and asymmetric correlations between industry and market portfolios. We derive in closed form the optimal consumption and investment strategies under regime-dependent correlations environment. Overall, we find that ignoring time-varying and asymmetric correlations between portfolios can be costly to investors when applied to a construction of the optimal portfolio. Finally, we empirically test the performance of the model-based investment strategy.