We investigate the effects of debt-capital ratio and expected inflation rate on the stability of the economy using a Minsky model and reconsidering Fisher's debt-deflation theory. We have developed static and dynamic models that formalize an inflation-targeting policy. The static model reveals...

Purpose - this paper adopts the mean-variance approach in optimizing portfolios within the Colombian capital market, a setting full of complications such as lack of liquidity and market concentration. It delivers actionable messages for emerging market stakeholders and formulates guidance aimed...

Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...

We document that compared to all other investor groups investment funds exhibit a distinctly procyclical behavior when financial-market beliefs about the probability of a euro-related, institutional rare disaster spike. In response to such euro disaster risk shocks, investment funds shed...