Andrea Buraschi is at the Tanaka Business School, Imperial College London. Paolo Porchia is at the University of St Gallen. Fabio Trojani is at the University of Lugano and the Swiss Finance Institute. We thank Francesco Audrino, Mikhail Chernov, Anna Cieslak, Bernard Dumas, Christian Gouriéroux, Denis Gromb, Peter Gruber, Robert Kosowski, Abraham Lioui, Frederik Lundtofte, Antonio Mele, Erwan Morellec, Riccardo Rebonato, Michael Rockinger, Pascal St. Amour, Claudio Tebaldi, Nizar Touzi, Raman Uppal, Louis Viceira, and seminar participants at the AFA 2008 meeting, the EFA 2006 meeting, the Gerzensee Summer Asset-Pricing Symposium, CREST, HEC Lausanne, the Inquire Europe Conference, the NCCR FINRISK research day, and the annual SFI meeting for valuable suggestions. We also thank the Editor (Campbell Harvey), an Associate Editor, and an anonymous referee for many helpful comments that improved the paper. Paolo Porchia and Fabio Trojani gratefully acknowledge the financial support of the Swiss National Science Foundation (NCCR FINRISK and grants 101312-103781/1 and 100012-105745/1). The usual disclaimer applies.
Correlation Risk and Optimal Portfolio Choice
Version of Record online: 13 JAN 2010
© 2009 the American Finance Association
The Journal of Finance
Volume 65, Issue 1, pages 393–420, February 2010
How to Cite
BURASCHI, A., PORCHIA, P. and TROJANI, F. (2010), Correlation Risk and Optimal Portfolio Choice. The Journal of Finance, 65: 393–420. doi: 10.1111/j.1540-6261.2009.01533.x
- Issue online: 13 JAN 2010
- Version of Record online: 13 JAN 2010
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