This paper proposes an approach to constructing the insured portfolios under the VaR-based portfolio insurance strategy (VBPI) and provides a comprehensive analysis of its hedging effectiveness in comparison with the buy-and-hold (B&H) as well as the constant proportion portfolio insurance...

This paper investigates the impact of background risk on an investor's portfolio choice in a mean-variance framework, and analyzes the properties of efficient portfolios as well as the investor's hedging behaviour in the presence of background risk. Our model implies that the efficient portfolio...

This paper analyzes international portfolio selection with exchange rate risk based on behavioural portfolio theory (BPT). We characterize the conditions under which the BPT problem with a single foreign market has an optimal solution, and show that the optimal portfolio contains the traditional...

Purpose – The main purpose of this paper is to investigate whether Chinese investors can benefit from international diversification and where these benefits are to be found. Design/methodology/approach – This paper applies an expanding optimization procedure, which is different from the...

This paper reviews the evolution of Chinese land policy over the past two decades and examines its impact on the dynamic relationship between housing and land prices in the Chinese real estate market. Using panel datasets from Beijing, Shanghai, Tianjin, and Chongqing, we find that there exists...

This paper attempts to study the relationships among corporate real estate (CRE), capital structure and stock performance of China¡¦s non-real estate firms, including the bidirectional relationships between debt ratio (DR) and corporate real estate ratio (CRER), the impact of CRER on stock...

The objective of this paper is to investigate the dynamic effects of fundamental factors on housing prices in China. We examine how quickly and strongly housing prices react to changes in these factors. We especially want to test whether these reactions change after China adopted a new system...

Most research on project financing focuses mainly on structuring and financing issues. In this paper we propose a model that incorporates the effects of the management efforts on market outcomes in its framework. Thus, we can examine project financing from the perspective of managerial...

In this paper we focus on the performance of volatility options as hedging instruments for hedging volatility risk. We investigate (a) the relative hedging performance of volatility and European options, (b) the relative hedging performance of volatility index and straddle options, and (c) the...

This paper investigates information transmission and price discovery in informationally linked markets within the multivariate generalized autoregressive conditional heteroskedasticity and information share frameworks. Based on both synchronous and non-synchronous trading information from...