Stefan Weisheit

University of Bamberg

Kärntenstr. 7

Bamberg, 96052

Germany

http://www.uni-bamberg.de/bwl-bfc/

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

Correlation Risk and International Portfolio Choice

Posted: 08 Apr 2016 Last Revised: 16 Jun 2018
Nicole Branger, Matthias Muck and Stefan Weisheit
University of Muenster - Finance Center Muenster, University of Bamberg and University of Bamberg

Abstract:

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International asset allocation, stochastic correlation, Wishart process, intertemporal hedging demand, diversification benefits

2.

Optimal Portfolios when Variances and Covariances can Jump

Posted: 12 Mar 2015 Last Revised: 08 Oct 2017
University of Muenster - Finance Center Muenster, University of Bamberg, University of Trier and University of Bamberg

Abstract:

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Optimal portfolio choice, stochastic correlation, Wishart process, derivatives, jump risk, covariance jumps