Risk sharing and counter-cyclical variation in market correlations

DOI10.1016/J.JEDC.2007.11.006zbMATH Open1181.91068OpenAlexW2091128601MaRDI QIDQ844776FDOQ844776

Authors: A. Cevdet Aydemir 

Publication date: 19 January 2010

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2007.11.006

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zbMATH Keywords

portfolio diversificationinternational financestock correlations

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Asset Prices in an Exchange Economy
• Volatility and Links between National Stock Markets
• Existence and Uniqueness of Multi-Agent Equilibrium in a Stochastic, Dynamic Consumption/Investment Model

Cited In (2)

• Correlation and coordination risk
• Bond yields and debt supply: new evidence through the lens of a preferred-habitat model

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