The literature suggests that investors prefer portfolios based on mean, variance and skewness rather than portfolios based on mean-variance (MV) criteria solely. Furthermore, a small variety of methods have been proposed to determine meanvariance-skewness (MVS) optimal portfolios. Recently, the shortage function has been introduced as a measure of efficiency, allowing to characterize MVS optima...

We extend and unify existing international asset pricing models for perfect capital markets by allowing both exchange rates and inflation rates to be stochastic and investors to consume both tradable and nontradable goods. We show that country-specific demand for risky assets arises from two sources: PPP-deviationrate differential risks and nontradable-good-specific inflation-rate-differential ...

We develop the first top-down method to estimate greenness of financial portfolios, in terms alignment EU Taxonomy for sustainable activities. also a estimate, at same time, portfolio exposure climate transition risk. provide sector-level, standardized and transparent coefficients both estimates, based on definitions risk that are applicable across countries. analyse portfolios Euro Area invest...

Purpose The authors analyze the equilibrium effects of non-tradable assets on optimal policy portfolios. They study how existence impacts asset allocation decisions investors who own such and do not have access to assets. Design/methodology/approach In this theoretical analysis, a model with tradable classes whose cash flows are jointly normally distributed. There two types investors, without A...