The UN Declaration of 24 September 2012 reaffirming the commitment of Heads of State and Government to the Rule of Law reflects the current uneasiness accompanying the application of just the concept. This paper argues that it is also due to discrepancies in its worldwide understanding and to the rise of non-state, transnational regulatory regimes. Presumably, they are not compelled to apply it as such. Thus, a governance issue arises to either reinforce or contest the rule of law.
{"title":"Towards Reinforcing or Contesting the Vision of the Rule of Law?","authors":"M. Senn","doi":"10.2139/ssrn.2370038","DOIUrl":"https://doi.org/10.2139/ssrn.2370038","url":null,"abstract":"The UN Declaration of 24 September 2012 reaffirming the commitment of Heads of State and Government to the Rule of Law reflects the current uneasiness accompanying the application of just the concept. This paper argues that it is also due to discrepancies in its worldwide understanding and to the rise of non-state, transnational regulatory regimes. Presumably, they are not compelled to apply it as such. Thus, a governance issue arises to either reinforce or contest the rule of law.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126147390","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The enforcement of copyrights and related rights in the internet is an arduous affair, especially, when it comes to copyright infringements arising from file-sharing in peer-to-peer networks. For years, there have been attempts to fight these infringements with current legal enforcement measures. They were mostly unsuccessful. This is why copyright holders are demanding the implementation of new and better means to enforce their rights. But the web-user’s interests in an easy and inexpensive consumption of works and in the protection of their privacy clash with that.To make sure their rights are protected, copyright holders require information regarding the usage of their works and the identification of potential copyright infringers. On the other hand, the protection of the users’ privacy requires anonymous usage possibilities which comply with data protection regulations.This tension was unloaded in the tanking of the ACTA, the Anti-Counterfeiting Trade-Agreement. After this, one can assume that new mechanisms to ensure the enforcement of copyrights will only be successful if they are backed by the public and by political decision makers. This is merely achievable if internet-users’ privacy is adequately protected.Thus, this article discusses three different approaches to enforce copyrights online - i.e. collecting adequate remunerations by collecting societies, the introduction of a content flat rate or private pay per use or pay per volume systems – and assesses if and to what extent these possible solutions affect the privacy of internet users.Die Durchsetzung von Urheberrechten und verwandten Schutzrechten im Internet ist eine muhevolle Angelegenheit1. Fur die Verfolgung von Urheberrechtsverletzungen privater Nutzer, etwa durch Filesharing in Peer-to-Peer-Netzwerken, gilt dies ganz besonders. Die Inhaber von Urheberrechten bemuhen sich denn auch seit Jahren, der privaten Werknutzung mit dem bestehenden Rechtsdurchsetzungsinstrumentarium entgegen zu treten. Angesichts der beschrankten Erfolge erstaunt wenig, dass die Rechtsinhaber auf nationaler und internationaler Ebene die Schaffung anderer und besserer Mittel zur Rechtsdurchsetzung fordern. Den Anliegen der Rechtsinhaber stehen allerdings die Interessen der privaten Nutzer an einem einfachen und kostengunstigen Konsum von Werken und am Schutz ihrer Privatsphare im Internet gegenuber.Der Gegensatz der Interessen von Rechtsinhabern und privaten Werknutzern spiegelt sich auf rechtlicher Ebene im Spannungsverhaltnis zwischen der Durchsetzung von Urheberrechten und dem Datenschutz wider: Fur die Durchsetzung ihrer Rechte sind die Rechtsinhaber auf Informationen uber die Werknutzungen und auf die Identifikation der mutmasslichen Verletzer angewiesen. Der Schutz der Privatsphare der Werknutzer verlangt demgegenuber nach anonymen Nutzungsmoglichkeiten, zumindest aber nach einer Rechtsdurchsetzung, die mit den Grundsatzen des Datenschutzrechts vereinbar ist.Das Spannungsverhaltnis von Urheberrecht
在互联网上执行版权和相关权利是一件艰巨的事情，特别是当涉及到点对点网络中由文件共享引起的版权侵权时。多年来，人们一直试图用现行的执法措施来打击这些侵权行为。他们大多不成功。这就是为什么版权所有者要求采用新的、更好的手段来行使他们的权利。但是，网络用户对简单廉价的作品消费和隐私保护的兴趣与此相冲突。为了确保他们的权利得到保护，版权所有者需要有关其作品使用情况的信息，以及识别潜在的版权侵权者。另一方面，用户隐私的保护需要匿名的使用可能性，符合数据保护法规。这种紧张关系在《反假冒贸易协定》(ACTA, Anti-Counterfeiting trade agreement)的瓦解中得到了缓解。在此之后，人们可以假设，只有在公众和政治决策者的支持下，确保版权执行的新机制才会成功。这只有在互联网用户的隐私得到充分保护的情况下才能实现。因此，本文讨论了三种不同的在线版权保护方法——即通过收集协会收取足够的报酬，引入内容统一费率或私人按次付费或按量付费系统——并评估这些可能的解决方案是否以及在多大程度上影响了互联网用户的隐私。1.德国互联网研究与发展协会(dachsetzung):[footnoteref: 1] [footnoteref: 1] [footnoteref: 1] [footnoteref: 1] [footnoteref: 1]。在德国，在德国，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲，在欧洲。在德国、德国、德国、德国、德国、德国、德国、德国、德国、德国、德国、德国、德国和德国。在互联网上，互联网上的私有空间与互联网上的私有空间是相互关联的。德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国德国Der Schutz Der Privatsphare Der Werknutzer verlangt demgegenuber nach anonymen Nutzungsmoglichkeiten, zumindest berberer berchtsdurchsetzung, die mit den Grundsatzen des Datenschutzrechts vereinbar ist。《反假冒贸易协定》(Das Spannungsverhaltnis von Urheberrecht and Datenschutz)已载入。研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象:网络研究对象
{"title":"Durchsetzung von Urheberrechten und Datenschutz: Lehren aus dem Scheitern von ACTA (Enforcement of Copyrights and Data Protection: Lessons Learned from the Failure of ACTA)","authors":"F. Thouvenin","doi":"10.2139/SSRN.2273483","DOIUrl":"https://doi.org/10.2139/SSRN.2273483","url":null,"abstract":"The enforcement of copyrights and related rights in the internet is an arduous affair, especially, when it comes to copyright infringements arising from file-sharing in peer-to-peer networks. For years, there have been attempts to fight these infringements with current legal enforcement measures. They were mostly unsuccessful. This is why copyright holders are demanding the implementation of new and better means to enforce their rights. But the web-user’s interests in an easy and inexpensive consumption of works and in the protection of their privacy clash with that.To make sure their rights are protected, copyright holders require information regarding the usage of their works and the identification of potential copyright infringers. On the other hand, the protection of the users’ privacy requires anonymous usage possibilities which comply with data protection regulations.This tension was unloaded in the tanking of the ACTA, the Anti-Counterfeiting Trade-Agreement. After this, one can assume that new mechanisms to ensure the enforcement of copyrights will only be successful if they are backed by the public and by political decision makers. This is merely achievable if internet-users’ privacy is adequately protected.Thus, this article discusses three different approaches to enforce copyrights online - i.e. collecting adequate remunerations by collecting societies, the introduction of a content flat rate or private pay per use or pay per volume systems – and assesses if and to what extent these possible solutions affect the privacy of internet users.Die Durchsetzung von Urheberrechten und verwandten Schutzrechten im Internet ist eine muhevolle Angelegenheit1. Fur die Verfolgung von Urheberrechtsverletzungen privater Nutzer, etwa durch Filesharing in Peer-to-Peer-Netzwerken, gilt dies ganz besonders. Die Inhaber von Urheberrechten bemuhen sich denn auch seit Jahren, der privaten Werknutzung mit dem bestehenden Rechtsdurchsetzungsinstrumentarium entgegen zu treten. Angesichts der beschrankten Erfolge erstaunt wenig, dass die Rechtsinhaber auf nationaler und internationaler Ebene die Schaffung anderer und besserer Mittel zur Rechtsdurchsetzung fordern. Den Anliegen der Rechtsinhaber stehen allerdings die Interessen der privaten Nutzer an einem einfachen und kostengunstigen Konsum von Werken und am Schutz ihrer Privatsphare im Internet gegenuber.Der Gegensatz der Interessen von Rechtsinhabern und privaten Werknutzern spiegelt sich auf rechtlicher Ebene im Spannungsverhaltnis zwischen der Durchsetzung von Urheberrechten und dem Datenschutz wider: Fur die Durchsetzung ihrer Rechte sind die Rechtsinhaber auf Informationen uber die Werknutzungen und auf die Identifikation der mutmasslichen Verletzer angewiesen. Der Schutz der Privatsphare der Werknutzer verlangt demgegenuber nach anonymen Nutzungsmoglichkeiten, zumindest aber nach einer Rechtsdurchsetzung, die mit den Grundsatzen des Datenschutzrechts vereinbar ist.Das Spannungsverhaltnis von Urheberrecht","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"128 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-05-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116204393","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We investigate whether patents that are jointly held by legally independent companies help sustain product-market collusion. We use a simple model of repeated interactions to show that joint patents can serve collusive purposes. Our model generates two testable predictions: when joint patents are held for collusive purposes, a) there is a positive relationship between the propensity to jointly own a patent and proximity in the product market; b) joint patents are associated with less licensing in the market for technology than individually owned patents, especially when firms are close product-market competitors. We construct a large, novel dataset that contains information on patents, research joint ventures, and licensing at the firm-level for the US and the EU to validate our theoretical predictions. We exploit differences in the legal regimes applicable to joint patents in the US and Europe to show that the data is consistent with our theoretical predictions.
{"title":"Are Joint Patents Collusive? Evidence from the US and Europe","authors":"Andrea Fosfuri, C. Helmers, C. Roux","doi":"10.2139/ssrn.2164222","DOIUrl":"https://doi.org/10.2139/ssrn.2164222","url":null,"abstract":"We investigate whether patents that are jointly held by legally independent companies help sustain product-market collusion. We use a simple model of repeated interactions to show that joint patents can serve collusive purposes. Our model generates two testable predictions: when joint patents are held for collusive purposes, a) there is a positive relationship between the propensity to jointly own a patent and proximity in the product market; b) joint patents are associated with less licensing in the market for technology than individually owned patents, especially when firms are close product-market competitors. We construct a large, novel dataset that contains information on patents, research joint ventures, and licensing at the firm-level for the US and the EU to validate our theoretical predictions. We exploit differences in the legal regimes applicable to joint patents in the US and Europe to show that the data is consistent with our theoretical predictions.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130168657","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
There seems to be a virtual consensus among corporate law scholars that state legislatures should enable corporations to select governance terms from a menu of predefined statutory rules. In this Article, I challenge this view. The private sector has produced menus of contract terms, such as standard form contracts and model documents, long before the idea of statutory menus became fashionable. There is no evidence that the market for private menus has failed, and legislatures are unlikely to be efficient menu producers. Advocates of statutory menus have suggested a number of rationales, most notably considerations based on transaction costs, network and learning effects, bounded attention, or endogenous preferences. But at closer look, none of these justifications are plausible, if nothing else because they equally apply to private menus. The existing statutory menus do, however, clarify that certain governance terms are legal in cases where this would otherwise be uncertain. Yet that uncertainty should be reduced by other means than menus. For these reasons, menu production should be left to the private sector.
{"title":"The Case Against Statutory Menus in Corporate Law","authors":"Daniel M. Häusermann","doi":"10.2139/ssrn.2024876","DOIUrl":"https://doi.org/10.2139/ssrn.2024876","url":null,"abstract":"There seems to be a virtual consensus among corporate law scholars that state legislatures should enable corporations to select governance terms from a menu of predefined statutory rules. In this Article, I challenge this view. The private sector has produced menus of contract terms, such as standard form contracts and model documents, long before the idea of statutory menus became fashionable. There is no evidence that the market for private menus has failed, and legislatures are unlikely to be efficient menu producers. Advocates of statutory menus have suggested a number of rationales, most notably considerations based on transaction costs, network and learning effects, bounded attention, or endogenous preferences. But at closer look, none of these justifications are plausible, if nothing else because they equally apply to private menus. The existing statutory menus do, however, clarify that certain governance terms are legal in cases where this would otherwise be uncertain. Yet that uncertainty should be reduced by other means than menus. For these reasons, menu production should be left to the private sector.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-03-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127828308","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We analyze a Tullock-type takeover contest between two CEOs. To deter wasteful influence activities in shareholder optimum, the parachute compensates the (potentially) foregone earnings of the contestant whose incentives to invest in such activities are strongest. Therefore, the parachute is “golden”, but must be calculated net of all influence and separation costs. Notably, this solution arises in equilibrium with uncoordinated shareholder decisions. Further, equilibrium severance pay does not depend on structures or levels of pre-merger manager compensations. Shareholders are always indifferent between dismissing either of the two managers.
{"title":"Do Parachutes Discipline Managers? An Analysis of Takeover Battles","authors":"O. Fabel, M. Kolmar","doi":"10.2139/ssrn.572343","DOIUrl":"https://doi.org/10.2139/ssrn.572343","url":null,"abstract":"We analyze a Tullock-type takeover contest between two CEOs. To deter wasteful influence activities in shareholder optimum, the parachute compensates the (potentially) foregone earnings of the contestant whose incentives to invest in such activities are strongest. Therefore, the parachute is “golden”, but must be calculated net of all influence and separation costs. Notably, this solution arises in equilibrium with uncoordinated shareholder decisions. Further, equilibrium severance pay does not depend on structures or levels of pre-merger manager compensations. Shareholders are always indifferent between dismissing either of the two managers.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"15 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2012-01-06","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124105968","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Contests between groups are plagued by intra-group externalities (freeriding). Yet, costless incentive schemes that entirely avoid free-riding within a group might not be desirable, neither individually nor socially. In contests among two groups, a relatively weak (i.e., small or unproductive) group will optimally not implement them because they compound strength differences between groups. If both groups rein in their intra-group externalities, they are both worse off, compared to a situation with free-riding, if they are relatively similar. If they are sufficiently heterogenous, the weak group loses at the expense of the relatively strong group.
{"title":"Inefficient Group Organization as Optimal Adaptation to Dominant Environments","authors":"M. Kolmar, A. Wagener","doi":"10.2139/ssrn.1645263","DOIUrl":"https://doi.org/10.2139/ssrn.1645263","url":null,"abstract":"Contests between groups are plagued by intra-group externalities (freeriding). Yet, costless incentive schemes that entirely avoid free-riding within a group might not be desirable, neither individually nor socially. In contests among two groups, a relatively weak (i.e., small or unproductive) group will optimally not implement them because they compound strength differences between groups. If both groups rein in their intra-group externalities, they are both worse off, compared to a situation with free-riding, if they are relatively similar. If they are sufficiently heterogenous, the weak group loses at the expense of the relatively strong group.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2010-07-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131596956","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2009-08-01DOI: 10.1163/157237409X477699
Anne van Aaken, Richard F. Chambers
International Election Monitoring has become ever more important in the national as well as the international context. Plenty of (regional) International Organizations (and NGOs) send Election Observers Missions (EOMs) to countries in order to assess the quality of their democratic process and elections. Whereas the influence of EOMs is largely undisputed, their independence, impartiality and accountability have been less discussed. This paper describes the legal set-up of EOMs in order to assess their independence. It also uses accountability mechanisms as discussed in international law scholarship (ILA Report and the Global Administrative Law project) in order to analyze the accountability mechanisms currently in place for EOMs.
{"title":"Accountability and Independence of International Election Observers","authors":"Anne van Aaken, Richard F. Chambers","doi":"10.1163/157237409X477699","DOIUrl":"https://doi.org/10.1163/157237409X477699","url":null,"abstract":"International Election Monitoring has become ever more important in the national as well as the international context. Plenty of (regional) International Organizations (and NGOs) send Election Observers Missions (EOMs) to countries in order to assess the quality of their democratic process and elections. Whereas the influence of EOMs is largely undisputed, their independence, impartiality and accountability have been less discussed. This paper describes the legal set-up of EOMs in order to assess their independence. It also uses accountability mechanisms as discussed in international law scholarship (ILA Report and the Global Administrative Law project) in order to analyze the accountability mechanisms currently in place for EOMs.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2009-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131966444","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
The private provision of public goods generally suffers from two types of efficiency failures: sorting problems (the wrong individuals contribute) and quantity problems (an inefficient amount is provided). Embedding the provision game into a contest that rewards larger contributions with higher probabilities of winning a prize may remedy such failures. Applications include tenure decisions at universities, electoral competition among politicians, etc. We identify a tradeoff between the value of the prize and the decisiveness of the contest. High-powered incentives in contests may cause an overprovision of the public good or wasteful participation of unproductive individuals in the contest.
{"title":"Contests and the Private Provision of Public Goods","authors":"M. Kolmar, A. Wagener","doi":"10.2139/ssrn.1316277","DOIUrl":"https://doi.org/10.2139/ssrn.1316277","url":null,"abstract":"The private provision of public goods generally suffers from two types of efficiency failures: sorting problems (the wrong individuals contribute) and quantity problems (an inefficient amount is provided). Embedding the provision game into a contest that rewards larger contributions with higher probabilities of winning a prize may remedy such failures. Applications include tenure decisions at universities, electoral competition among politicians, etc. We identify a tradeoff between the value of the prize and the decisiveness of the contest. High-powered incentives in contests may cause an overprovision of the public good or wasteful participation of unproductive individuals in the contest.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"85 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2008-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131413038","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Politics is a permanent work in progress where ideas, problems etc are converted in policies. The article's aim is to conretize what this does mean. It offers and presents a pattern which shapes theoretical research as well as practical consulting work.
{"title":"Politics as a Converting Process - a Common Pattern for Public Analysis","authors":"Hans Peter Fagagnini","doi":"10.2139/ssrn.906432","DOIUrl":"https://doi.org/10.2139/ssrn.906432","url":null,"abstract":"Politics is a permanent work in progress where ideas, problems etc are converted in policies. The article's aim is to conretize what this does mean. It offers and presents a pattern which shapes theoretical research as well as practical consulting work.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123878268","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
We develop a new framework for intertemporal portfolio choice when the covariance matrix of returns is stochastic. An important contribution of this framework is that it allows to derive optimal portfolio implications for economies in which the degree of correlation across different industries, countries, and asset classes is time-varying and stochastic. In this setting, markets are incomplete and optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. The model gives rise to simple optimal portfolio solutions that are available in closed-form. We use these solutions to investigate, in several concrete applications, the properties of the optimal portfolios. We find that the hedging demand is typically four to five times larger than in univariate models and it includes an economically significant correlation hedging component, which tends to increase with the persistence of variance covariance shocks, the strength of leverage effects and the dimension of the investment opportunity set. These findings persist also in the discrete-time portfolio problem with short-selling or VaR constraints.
{"title":"Correlation Risk and Optimal Portfolio Choice","authors":"Andrea Buraschi, Paolo Porchia, F. Trojani","doi":"10.2139/ssrn.908664","DOIUrl":"https://doi.org/10.2139/ssrn.908664","url":null,"abstract":"We develop a new framework for intertemporal portfolio choice when the covariance matrix of returns is stochastic. An important contribution of this framework is that it allows to derive optimal portfolio implications for economies in which the degree of correlation across different industries, countries, and asset classes is time-varying and stochastic. In this setting, markets are incomplete and optimal portfolios include distinct hedging components against both stochastic volatility and correlation risk. The model gives rise to simple optimal portfolio solutions that are available in closed-form. We use these solutions to investigate, in several concrete applications, the properties of the optimal portfolios. We find that the hedging demand is typically four to five times larger than in univariate models and it includes an economically significant correlation hedging component, which tends to increase with the persistence of variance covariance shocks, the strength of leverage effects and the dimension of the investment opportunity set. These findings persist also in the discrete-time portfolio problem with short-selling or VaR constraints.","PeriodicalId":277132,"journal":{"name":"University of St.Gallen Law School","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2006-05-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128135733","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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