An approach for minimizing risk through diversification of foreign exchange reserves and sovereign borrowings is proposed for central banks of small open economies. This approach--developed in a simple 2-period, 3-country framework--differs from past work in that the elements of exchange and...

This paper compares the SDR in terms of its risk-return characteristics relative to those of its five components and, on this basis, finds that the SDR has performed favorably over the period under review. In addition, several efficient portfolios including the SDR and its components are...

The current financial market crisis has impressively demonstrated the importance of an effective credit risk management for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised as a result of the crisis. Over the past decade, credit...

Since portfolio management relies on the association of portfolio diversification, analyzing the spillover between the United States (US) and Asian-Pacific financial markets has become more critical. If Asian stock markets have low or negative correlations with each other and/or the US market,...

This study empirically investigates a relationship between MAX and lottery-type stocks in the Chinese stock markets. We find that the lottery-type stocks, which are preferred for lottery demand of investors, are negatively priced in the Chinese market. Moreover, the MAX effect as a proxy for...

The main objective of this paper is to examine the determinants of portfolio at risk in Palestine by analyzing the impact of macroeconomic and micro-level factors on credit risk for microfinance institutions during the period of 2010-2020. This study includes five regulated MFIs using...

Our experiments evaluate the role of information presentation in reducing violations of the Law of One Price in individual investor selection of index mutual funds. The results indicate that most individuals fail to minimize fees. However, individuals allocate nearly 27% (43%) more of their...