INCOMPLETE! Preliminary and incomplete lecture notes intended for use at an advanced
master's level or an introductory Ph. D. level. I appreciate comments and corrections from …

In this article, we develop an identifiable multi-factor stochastic volatility model for
international portfolio choice problems in complete and incomplete markets. Allowing for …

Variance‐covariance risk of the exchange rate is highly relevant for international investors.
This paper addresses optimal asset allocation with stochastic variances and covariances in …

In this paper, we propose a new multivariate mean-reverting model incorporating state-of-
the art 4/2 stochastic volatility and a convenient principal component stochastic volatility …

This study compares the differences and efficiencies of investment strategies among
anticipative and adaptive models using three representative decision approaches: the static …

In this paper, we propose a new multivariate mean-reverting model incorporating state-of-
the art 4/2 stochastic volatility and a convenient principal component stochastic volatility …

In this thesis, we target commodity and volatility index markets, and develop a novel
stochastic volatility model that incorporates mean-reverting property and 4/2 stochastic …

We develop a model of international portfolio choice in complete and incomplete markets
with stochastic covariance between financial asset returns and exchange rates. The optimal …

We propose a continuous-time process for modeling real exchange rates (RER) to provide
new insights into the mechanism of reversion and into the limit properties of the process. In …

The purpose of this thesis is to analyse investor's dynamic asset allocation strategies, when
introducing a stochastic interest rate, and a non-constant market price of risk. This is …