Optimal Educational Investment: Domestic Equity and International Competition

Optimal Educational Investment: Domestic Equity and International Competition

Systemic Influences on Optimal Equity-Credit Investment

We introduce an equity-credit portfolio framework taking into account the structural interaction of market and credit risk, along with their systemic dependencies. We derive an explicit expression for the optimal investment strategy in stocks and credit default swaps (CDSs). We exploit its representation structure and analyze the mechanisms driving the optimal investment decisions. The transmis...

Dynamic Model of Innovation: Optimal Investment, Optimal Timing, Market Competition

A dynamic model of investment process for a technology innovator in a market environment is designed. The ”light” dynamics of the active innovator is described by the system of exponential trajectories in which one can quickly change growth parameters. It is assumed that the innovator operates in the inert market environment which can be presented by ”heavy” exponential trajectories. The growth...

1 International Investors’ Home Bias in Portfolio Equity Investment

This paper utilizes International Monetary Fund’s high quality dataset over the period from 2001 to 2004, to investigate the determinants of home bias in the international context. This paper contributes to the existing literature by using float adjusted measure of home bias for 38 countries. Information asymmetries arising due to countries’ regulatory and legal environment have significant imp...

Diversification Benefit of International Equity Markets Subject to Investment Restrictions

This paper investigates the impact of constraints of short-sale and over-weight to international diversification benefits. We find that the short-sale restriction alone does not influence the diversifying benefit while the addition of over-weighting constraint significantly worsens mean-variance of optimal portfolio. This finding holds for the analyses of regional and cross-regional portfolios....