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11-028/2 - Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection

  • Authors
    Redouane Elkamhia, University of Iowa, Henry B. Tippie College of Business; Denitsa Stefanova, VU University Amsterdam, and Duisenberg School of Finance
  • Publication date
    February 11, 2011
  • Keywords
    correlation hedging, dynamic portfolio allocation, Monte Carlo simulation, tail dependence
  • JEL
    C15, C16, C51, G11
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