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