this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

Compared to mature investment firms, first-time funds in private equity lack an investment and performance track record, and require alternative signals to establish initial trust with investors. The paper finds that investors allocate more capital to first-time funds if they have a higher share of managers with relevant experience, such as from another private equity group or a bank. In partic...

Hedge funds have gained popularity for increasing investment returns. We focus on the role of this asset category for longterm investors, with attention to rebalancing a portfolio of diversified assets. An investor must seek out securities with low correlations to traditional assets to maximize asset growth. Current hedge fund returns, as measured by average performance, show dependencies with ...

This is a draft version and must not be quoted. Comments are very welcome. A common approach in portfolio selection is to characterise a portfolio of assets by a desired property, the ‘reward’, and something undesirable, the risk. These properties are often identified with mean and variance of returns, respectively, even though, given the non-Gaussian nature of financial time series, alternativ...

Successful corporate acquisitions require its managers to achieve substantial performance improvements in order to sufficiently cover acquisition premiums, the expected return of debt and equity investors, and the additional resources needed to capture synergies and accelerate growth. Acquirers understand that achieving the performance improvements necessary to cover these costs and create valu...

Perhaps the primary concern faced by asset managers, investors, and advisors is the need to focus portfolio risk where more skill has been demonstrated, while reducing or eliminating risk where there has been less skill proven. Surprisingly, limited research has been done on this topic, even though the issue is critically important to both institutional and individual investors who seek to find...

This study analyses the information diffusion between Chinese A shares (restricted to domestic investors) and B shares (restricted to foreign investors). The results show that there is an important long-run information diffusion between A and B shares. In the Shanghai stock market, information flows from foreign to domestic investors. However, in the smaller and less liquid Shenzhen stock marke...

By building a game model between the institutional investors and the management, an analysis has been conducted to uncover the influential factors that are crucial to the role switching of institutional investors when confronting tunneling behaviors of the management: supervision cost, shareholding ratio, invisible income, fines and patience. In cases of lower supervision cost, higher sharehold...

There are two approaches which investors can exercise when using accounting information are commonly discussed, either to the use of financial reporting to value the company or the use of financial reporting to assess the management's stewardship of the company. Despite the fact that US GAAP, IFRS, and UK GAAP are all market oriented sets of accounting standards, both FASB and IASB are more inc...

We study the efficiency of dealers’ liquidity provision and the desirability of policy intervention in over-the-counter (OTC) markets during crises. Our theory emphasizes two key frictions in OTC markets: finding counterparties takes time, and trade is bilateral, with quantities and prices determined by bargaining. We model a crisis as a negative shock to investors’ asset demands that lasts unt...