We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to permanent impact. We show analytically that...

We study Roll's (1992) conjecture that there may exist an implicit value in index-tracking (IVIT) relative to forming mean-variance (MV) optimal portfolios under estimation error. While index-tracking portfolios are deemed MV inefficient ex-ante, it is unclear whether this is the case when...

We introduce a minimum spanning tree framework to describe the risk dependencies and interactions of both total and idiosyncratic risk in the energy sector. We apply the framework to equity and CDS spread data of 51 domestic and 116 international energy firms, both non-renewable and renewable,...

In this paper, we examine the impact of regulation on the risk culture of U.S. insurance firms, to address the refocused attention on federal insurance regulations after the 2008 financial crisis. To better understand the risk culture of insurers, we apply textual analysis and unsupervised...