Portfolio construction and risk management: theory versus practice
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| Natura: | Artículo científico |
| Lingua: | en |
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Universidade de São Paulo
2018
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| _version_ | 1876462978255028224 |
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| author | Stefan Colza Lee |
| author_facet | Stefan Colza Lee |
| contents | Portfolio construction and risk management: theory versus practice Stefan Colza Lee William Eid Junior Administración y Contabilidad Risk Performance evaluation Portfolio construction Purpose This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil. Design/methodology/approach The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions. Findings The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings. Originality/value This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners. 2018 artículo científico 2531-0488 https://www.redalyc.org/articulo.oa?id=553856533005 https://www.redalyc.org/journal/5538/553856533005/ https://www.redalyc.org/journal/5538/553856533005/html/ https://www.redalyc.org/journal/5538/553856533005/553856533005.epub https://www.redalyc.org/journal/5538/553856533005/movil en http://www.redalyc.org/revista.oa?id=5538 RAUSP Management Journal application/pdf Universidade de São Paulo RAUSP Management Journal (Brasil) Num.3 Vol.53 |
| format | Artículo científico |
| id | redalyc_553856533005 |
| institution | Redalyc |
| language | en |
| publishDate | 2018 |
| publisher | Universidade de São Paulo |
| spellingShingle | Portfolio construction and risk management: theory versus practice Stefan Colza Lee Administración y Contabilidad Risk Performance evaluation Portfolio construction Portfolio construction and risk management: theory versus practice Stefan Colza Lee William Eid Junior Administración y Contabilidad Risk Performance evaluation Portfolio construction Purpose This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil. Design/methodology/approach The chosen approach is a field survey. This paper considers 78 survey responses from 274 asset management companies. Data obtained are analyzed using independence tests between two variables and multiple regressions. Findings The results show that most Brazilian investment managers have not adopted current best practices recommended by the financial academic literature and that there is a significant gap between academic recommendations and asset management practices. The modern portfolio theory is still more widely used than the post-modern portfolio theory, and quantitative portfolio optimization is less often used than the simple rule of defining a maximum concentration limit for any single asset. Moreover, the results show that the normal distribution is used more than parametrical distributions with asymmetry and kurtosis to estimate value at risk, among other findings. Originality/value This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. Although academia in Brazil and abroad has thoroughly researched portfolio construction, risk management and performance evaluation, little is known about the actual implementation and utilization of this research by Brazilian practitioners. 2018 artículo científico 2531-0488 https://www.redalyc.org/articulo.oa?id=553856533005 https://www.redalyc.org/journal/5538/553856533005/ https://www.redalyc.org/journal/5538/553856533005/html/ https://www.redalyc.org/journal/5538/553856533005/553856533005.epub https://www.redalyc.org/journal/5538/553856533005/movil en http://www.redalyc.org/revista.oa?id=5538 RAUSP Management Journal application/pdf Universidade de São Paulo RAUSP Management Journal (Brasil) Num.3 Vol.53 |
| title | Portfolio construction and risk management: theory versus practice |
| topic | Administración y Contabilidad Risk Performance evaluation Portfolio construction |
| url | https://www.redalyc.org/articulo.oa?id=553856533005 https://www.redalyc.org/journal/5538/553856533005/ https://www.redalyc.org/journal/5538/553856533005/html/ https://www.redalyc.org/journal/5538/553856533005/553856533005.epub https://www.redalyc.org/journal/5538/553856533005/movil |