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...

Purpose – The main purpose of this paper is to investigate whether Chinese investors can benefit from international diversification and where these benefits are to be found. Design/methodology/approach – This paper applies an expanding optimization procedure, which is different from the...