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...

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 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...