Correlation Risk and Optimal Portfolio Choice
构建了一个多期投资组合选择框架，研究行业、国家或资产类别间相关性随机变化时的最优投资组合，发现对冲需求大于单变量模型，且包含显著的经济协方差对冲成分。
ABSTRACT We develop a new framework for multivariate intertemporal portfolio choice that allows us to derive optimal portfolio implications for economies in which the degree of correlation across industries, countries, or asset classes is stochastic. Optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. We find that the hedging demand is typically larger than in univariate models, and it includes an economically significant covariance hedging component, which tends to increase with the persistence of variance–covariance shocks, the strength of leverage effects, the dimension of the investment opportunity set, and the presence of portfolio constraints.