Article citationsMore>>

A. Buraschi, A. Cieslak and F. Trojani, “Correlation Risk and the Term Structure of Interest Rates,” Working Paper, University of St. Gallen, 2008.

has been cited by the following article:

• TITLE: Risk-Sensitive Asset Management under a Wishart Autoregressive Factor Model

  AUTHORS: Hiroaki Hata, Jun Sekine

  KEYWORDS: Risk-Sensitive Asset Management; Wishart Autoregressive Stochastic Factor; Stochastic Covariance; Stochastic Interest Rate; Stochastic Risk Premium; Riccati Differential Equation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.1A, March 29, 2013

  ABSTRACT: The risk-sensitive asset management problem with a finite horizon is studied under a financial market model having a Wishart autoregressive stochastic factor, which is positive-definite symmetric matrix-valued. This financial market model has the following interesting features: 1) it describes the stochasticity of the market covariance structure, interest rates, and the risk premium of the risky assets; and 2) it admits the explicit representations of the solution to the risk-sensitive asset management problem.