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This paper investigates the impacts 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...
Persistent link: https://www.econbiz.de/10013095535
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...
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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...
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This paper explores the incentives of investment in renewable energy of two utility firms who compete or cooperate under either a cap-and-trade grandfathering mechanism (GM) or benchmarking mechanism (BM). We find that utility firms will invest in renewable energy more under BM than under GM, in...
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