Investment in Capital Markets creates a strategic vision on the financial capital investment in the capital markets with the aim to get an increased return premium in the short and long time periods. The book is written with a main goal to explain the pros and cons of the financial capital...

This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweden. The analysis focuses on two main sources of inefficiency in the financial portfolio: underdiversification of risky...

We draw a straight line connecting financial shocks, capital investment decisions by firms, and change in measured aggregate productivity using a dynamic general equilibrium model. Data shows that post the 2008 crisis, firms changed their allocation between assets of varying depreciation rates...

We study how the introduction of carbon taxes in a closed economy propagate in a credit portfolio and precisely describe how carbon taxes dynamics affect the firm value and credit risk measures such as probability of default, expected and unexpected losses.We adapt a stochastic multisectoral...

This paper studies the issue of coordinating equipment maintenance operations with capital investment strategy in the presence of random equipment failures. This problem represents an important extension of the celebrated Kamien and Schwartz (KS) paper published in Management Science. The...

Investors sometimes have strong convictions that a distinctive economic regime will prevail in the period ahead and therefore would like to form a portfolio that reflects the expected returns, standard deviations, and correlations of assets during such a regime. To do so, they typically isolate...

It is well-known that under some conditions, the mean-variance rule is equivalent to stochastic dominance rule. Some academics hypothesize that there could exist mean-Omega ratio rule that could be equivalent to stochastic dominance rule under certain conditions. To explore this possible, in...

In this paper, we will investigate whether there is any Sharpe ratio rule or Omega ratio rule that can be used to show that one asset outperforms another asset if it has a higher Sharpe ratio and/or Omega ratio. We find that Sharpe ratio rule could not detect preference of both risk averters and...

This paper extends Jiang, et al. (2010), Guo, et al. (2017), and others by investigating the impact of background risk on an investor's portfolio choice in the mean-VaR, mean-CVaR and mean-variance framework, and analyzes the characterizations of the mean-variance boundary and mean-VaR efficient...

Rationally justifying Bitcoin's immense price fluctuations has remained a persistent challenge for both investors and researchers in this field. A primary reason is our potential weakness toward robustly quantifying unquantifiable risks or ambiguity in Bitcoin returns. This paper introduces a...