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 analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside conditions. Our empirical analysis indicates that...