Current research on sustainable property investment focuses mainly on property-level profitability of green buildings along with the development and implementation of eco-certifications. A second strand of studies investigates the company-level financial implications of corporate social...

The optimization of a large random portfolio under the Expected Shortfall risk measure with an ℓ₂ regularizer is carried out by analytical calculation. The regularizer reins in the large sample fluctuations and the concomitant divergent estimation error, and eliminates the phase transition...

Defining extreme liquidity as the tail of the illiquidity for all stocks, I propose a direct measure of market-wide extreme liquidity risk and find that it is priced cross-sectionally in the U.S. Between 1973 and 2014, the stocks with low extreme liquidity risk beta earned value-weighted average...

Uncertainty is generally avoided when investing. Volatility is a popular proxy for investment uncertainty, and indeed low volatility stocks outperform high volatility stocks. However, there are also many other possible measures of uncertainty, among which are entropy and the Hurst exponent. Here...

We investigate a discrete-time mean-risk portfolio selection problem, where risk is measured by the conditional value-at-risk (CVaR). By embedding this time-inconsistent problem into a family of expected utility maximization problems with a piecewise linear utility function, we solve the problem...

In this paper, we propose a method for hedge fund replication using a factor-based model supplemented with a series of risk and return constraints that implicitly target all the moments of the hedge fund return distribution. We use the approach to replicate the monthly returns of ten broad hedge...

In the standard approach to fund valuation, it is often assumed that markets are perfectly liquid and hence assets have unique prices. In practice, however, as has been widely documented, this is not the case. Asset values are impacted by deterioration of market liquidity (market depth)....

In the existing literature, the value-at-risk (VaR) is one of the most representative downside risk measures due to its wide spectra of applications in practice. In this paper, we investigate the dynamic mean-VaR portfolio selection formulation, while the state-of-the-art has only witnessed...

The present paper looks into the question of whether it provides the investor diversification benefits to include sukuk (Islamic bonds) in their portfolio of bonds, and what these might be quantitatively. Analysed are sovereign bonds of Bahrain, Pakistan, Qatar, Malaysia, and the UAE. The...