This paper focuses on portfolio selection with a systematic skewness constraint within the mean-variance framework. We derive the composition of efficient portfolios in our model, and analyze the properties of these efficient portfolios. We show that the required systematic skewness is achieved...

This paper analyzes international portfolio selection with exchange 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...

This paper investigates the potential benefits of international diversification with short-selling constraints from the perspective of Chinese investors. Based on a stream of time-rolling realized portfolios, we show that Chinese investors can gain substantially in terms of portfolio risk...