scholarly journals Portfolio construction and risk management: theory versus practice

2018 ◽  
Vol 53 (3) ◽  
pp. 345-365
Author(s):  
Stefan Colza Lee ◽  
William Eid Junior
Keyword(s):  
Risk Management ◽  
Performance Evaluation ◽  
Asset Management ◽  
Value At Risk ◽  
Portfolio Theory ◽  
Portfolio Construction ◽  
Modern Portfolio Theory ◽  
Content Type ◽  
Construction Risk ◽  
And Performance

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.

Asset management with TEV and VaR constraints: the constrained efficient frontiers

2019 ◽  
Vol 36 (4) ◽  
pp. 492-516 ◽  
Author(s):  
Giulio Palomba ◽  
Luca Riccetti
Keyword(s):  
Risk Management ◽  
Asset Management ◽  
Value At Risk ◽  
Absolute Risk ◽  
Tracking Error ◽  
Portfolio Risk ◽  
Content Type ◽  
Maximum Variance ◽  
Portfolio Efficiency ◽  
Asset Managers

Purpose This paper aims to perform an analytical analysis on portfolio allocation when a tracking error volatility (TEV) constraint holds, drawing specific attention to the portfolio efficiency issue. Indeed, it is well known that investors can assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. However, the risk management office often imposes a TEV constraint to the asset managers’ activity to maintain the portfolio risk near to the risk of the benchmark. This situation could lead asset managers to select non efficient portfolios in the total return and absolute risk perspective. However, the risk management office can impose further constraints, such as on maximum variance or maximum value at risk (VaR) to maintain the overall portfolio risk under control. Design/methodology/approach First the authors define the TEV constrained-efficient frontier (ECTF), a set of TEV constrained portfolios that are mean–variance efficient. Second, they define two new portfolio frontiers analyzing how the imposition of a maximum variance or maximum VaR restriction can reduce the ECTF. Third, they investigate the feasibility of such portfolio frontiers and their relationships. Findings The authors find that variance or VaR constraint can force asset managers to pursue portfolio efficiency. Originality/value This is a practically important issue given that asset managers often receive a constraint on TEV from the risk management office, but the risk management office does not ask them to minimize the TEV as often assumed in the optimizations performed in the literature on this topic.

Principles and practice in impact assessment for academic libraries

2018 ◽  
Vol 119 (1/2) ◽  
pp. 121-134 ◽  
Author(s):  
Christine Urquhart
Keyword(s):  
Performance Evaluation ◽  
Impact Assessment ◽  
Academic Libraries ◽  
Data Analytics ◽  
Open Data ◽  
Library Services ◽  
Content Type ◽  
Qualitative And Quantitative ◽  
Library Assessment ◽  
And Performance

Purpose This paper aims to examine the principles that underpin library assessment, methods used for impact and performance evaluation and how academic libraries should use the findings, and it discusses how value frameworks help. Design/methodology/approach This is a literature review covering aspects of value (value propositions, value co-creation), value frameworks (including the 2015 ACRL framework, Holbrook typology with worked example), data analytics and collaborative projects including LibQUAL+ initiatives and the use of balanced scorecard principles (including a values scorecard). Findings The use of data analytics in library assessment requires collaboration among library services to develop reliable data sets. Scorecards help ongoing impact and performance evaluation. Queries that arise may require a framework, or logic model, to formulate suitable questions and assemble evidence (qualitative and quantitative) to answer new questions about the value of library services. The perceived value framework of Holbrook’s typology, the values scorecard and the ACRL framework all support the deeper level of inquiry required. Research limitations/implications Includes examples of possible application of frameworks. Practical implications A value framework might help data analytic approaches in combining qualitative and quantitative data. Social implications Impact assessment may require assessing how value is co-created with library users in use of e-resources and open data. Originality/value The study contrasts the varying approaches to impact evaluation and library assessment in academic libraries, and it examines more in-depth value frameworks.

A validation of the performance management scale

2018 ◽  
Vol 35 (6) ◽  
pp. 1253-1267 ◽  
Author(s):  
Khahan Na-nan ◽  
Kanokporn Chaiprasit ◽  
Peerapong Pukkeeree
Keyword(s):  
Factor Analysis ◽  
Performance Evaluation ◽  
Performance Management ◽  
Goodness Of Fit ◽  
Mean Square ◽  
Evaluation Performance ◽  
Content Type ◽  
Performance Review ◽  
And Performance ◽  
Fit Index

Purpose The purpose of this paper is to develop a performance management (PM) scale questionnaire that encompasses the pre-requisite, performance planning, performance evaluation, performance review, and performance application dimensions of PM. Design/methodology/approach In the study, the 33 questionnaire questions were first validated using exploratory factor analysis (EFA) and then by confirmatory factor analysis (CFA) along the three performance dimensions. The research sample consists of 330 entrepreneurs. The factor analysis results confirm the validity of the questionnaire as a reliable entrepreneur PM evaluation tool, as evidenced by the composite reliability of 0.845 and the average variance extracted of 0.532. Findings All constructs revealed the acceptable internal consistency reliability. A good model fit was found for the measurement model using several fit index like χ2=449.983, degree of freedom=415, p-value (p)=0.114, goodness of fit index=0.927, adjusted goodness of fit index=0.901, root mean square error of approximation=0.016, and root of mean square residuals=0.032. Research limitations/implications The PM model was examined using EFA and CFA only. A sample with only SMEs entrepreneurs and large sample size and sample area can be used in future research. Practical implications This research paper is an endeavor to explore only the reliability and validity of the PM model. Thus all the five dimension, namely “pre-requisite” “performance planning,” “performance evaluation,” “performance review,” and “performance application” proved out of be reliable and validated when it will be tested in case of SMEs’ high-growth sectors and high-impact sectors. Originality/value The main contribution of this research is that all factors have a good fit and acceptable reliability value; each factor can be measured individually depending on the nature of the research.

Impact of employee pro-organizational unethical behavior on performance evaluation rated by supervisor: a moderated mediation model of supervisor bottom-line mentality

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Xiaohui Zhan ◽  
Yun Liu
Keyword(s):  
Performance Evaluation ◽  
Organizational Behavior ◽  
Hierarchical Linear Modeling ◽  
Mediating Effect ◽  
Mediation Effect ◽  
Linear Modeling ◽  
Bottom Line ◽  
Content Type ◽  
And Performance ◽  
The Relationship

Purpose The topic of employees’ unethical pro-organizational behavior (UPB) has attracted more and more interest in both practice and academic fields. However, previous studies have mainly investigated the antecedents of UPB and little research has discussed the outcome variables. This study aims to provide a comprehensive understanding of the effect mechanism of UPB on employee performance evaluation rated by a supervisor through a leader-member exchange (LMX) and the moderating role of supervisor bottom-line mentality (BLM). Design/methodology/approach This study used a sample consisting of 304 employees and 96 supervisors in several manufacturing firms in China. The authors used hierarchical linear modeling to test the hypotheses, as this was cross-level research. In addition, this paper also uses Mplus7.4 to test the moderating effects of supervisor BLM on the indirect effects between the UPB and performance evaluation by a moderated path analysis. Findings The results confirm that UPB is positively related to performance evaluation rated by supervisors. Additionally, the mediating effect of LMX in the relationship between UPB and performance evaluation is successfully demonstrated. Furthermore, supervisor BLM cross-levelly moderates the relationship between UPB and LMX, as well as moderates the mediation effect of LMX on the correlation between UPB and performance evaluation. Research limitations/implications The primary contribution of this research is building a cross-level model for the effect of UPB on followers’ performance evaluation scored by the supervisor and thereby extending the nomological networks of both UPB and performance evaluation literature. Another contribution the study makes to the literature is that it provides a new perspective to understand how UPB relates to followers’ performance evaluation. Originality/value This is the first study about how and when UPB predicts followers’ performance evaluation rated by the supervisor.

Societal institutions and control system characteristics: empirical evidence from the UAE

2015 ◽  
Vol 6 (2) ◽  
pp. 268-291 ◽  
Author(s):  
Mayada Abd El-Aziz Youssef ◽  
Essam Moustafa
Keyword(s):  
Performance Evaluation ◽  
Empirical Evidence ◽  
Business Environment ◽  
Management Control ◽  
Survey Method ◽  
Content Type ◽  
The Government ◽  
Business Entities ◽  
And Performance ◽  
And Control

Purpose – This paper aims to explore the existence of two sets of factors societal institutions and management control systems’ (MCS) characteristics in the UAE business entities. Subsequently, this paper empirically examines the bilateral and the multivariate associations between the two sets. The societal institutions include six factors categorised in three main groups: cultural conventions, state structures and policies and skill development and control. The MCS characteristics consist of four factors which are: reliance on formal rules, control over the behaviour of employees, involvement of subordinates in target setting and performance evaluation and scope of information used in performance evaluation. Design/methodology/approach – Whitley’s model (1999) is adopted in the UAE business environment and the analyses are performed at the organisational level. Qualified accounting officials and managers are surveyed. The Kruskal-Wallis test, Spearman’s partial correlation and multiple regression are used for data analyses. Findings – Findings reveal the characteristics of the UAE societal institutions and the MCS in UAE organisations. They also reveal significant associations among four of the societal institution factors and most of the MCS characteristics. The results highlight the role played by the government structures and policies group in influencing the MCS characteristics in the UAE organisations. However, these results do not entirely agree with Whitley’s model. Research limitations/implications – The results of this study are restricted by the typical constraints associated with the survey method. The obtained results have implications for researchers and managers in facilitating the understanding of the relations among the various societal institutions and the MCS characteristics. Originality/value – This research, to the best of the authors’ knowledge, provides significant new empirical evidence into the relation between societal institutions and MCS characteristics in a non-Western economy.

Fabrication and performance evaluation of two multi-layer passive micromixers

Sensor Review ◽  
2018 ◽  
Vol 38 (3) ◽  
pp. 321-325 ◽  
Author(s):  
Xueye Chen ◽  
Jienan Shen ◽  
Zengliang Hu
Keyword(s):  
Reynolds Number ◽  
Performance Evaluation ◽  
Design Methodology ◽  
Experimental Results ◽  
Microfluidic Chips ◽  
Mixing Index ◽  
Number Range ◽  
Content Type ◽  
Chaotic Convection ◽  
And Performance

PurposeThe purpose of this study is to provide a micromixer for achieving effective mixing of two liquids. The mixing of two liquids is difficult to achieve in microfluidic chips because they cannot form turbulence at small dimensions and velocities.Design/methodology/approachIn this paper, four kinds of passive micromixers based on splitting–recombination and chaotic convection are compared. First, a better E-shape mixing unit based on the previous F-shape mixing unit has been designed. Then, the E-shape mixing units are further combined to form three micromixers (i.e. E-mixer, SESM and FESM).FindingsFinally, the mixing experimental results show that the mixing indexes of E-mixer, SESM and FESM are more than those of F-mixer when the Reynolds number range is from 0.5 to 100. And at Re = 15, the lowest mixing index of E-mixer is 71%, which is the highest of the four micromixers.Originality/valueAt Re = 80, the highest mixing index of F-mixer and E-mixer is 92 and 94 per cent, respectively, and then it begins to decrease. But the mixing index of SESM and FESM remains close to 100 per cent.

scholarly journals University Endowment Committees, Modern Portfolio Theory and Performance

2020 ◽  
Vol 13 (9) ◽  
pp. 198
Author(s):  
Mimi Lord
Keyword(s):  
Decision Making ◽  
Decision Process ◽  
Portfolio Theory ◽  
Portfolio Diversification ◽  
Decision Making Process ◽  
Modern Portfolio Theory ◽  
Asset Classes ◽  
Decision Making Framework ◽  
And Performance

University endowments with broad portfolio diversification have been correlated with performance, but committees’ decision-making process has received relatively little attention. This study is unique in postulating that the committee’s learning commitment and open-mindedness are significant contributors to a decision process that is based on the principles of Modern Portfolio Theory (or, simply, Portfolio Theory). The use of Portfolio Theory as a decision-making framework leads to greater portfolio diversification, which, in turn, leads to higher risk-adjusted returns. This study also demonstrates that greater committee expertise across multiple asset classes contributes to more diversified portfolios.

Exploratory study on risk management of state-owned construction enterprises in China

2016 ◽  
Vol 23 (5) ◽  
pp. 674-691
Author(s):  
Lamei Hu ◽  
Honghua Wu
Keyword(s):  
Risk Management ◽  
Performance Management ◽  
Empirical Method ◽  
Content Type ◽  
Factors Affecting ◽  
Construction Enterprises ◽  
Risk Appetite ◽  
Language Frequency ◽  
Private And Public ◽  
And Performance

Purpose There is a relatively low risk management (RM) level and maturity in China’s state-owned construction enterprises (CSCEs). The purpose of this paper is to find the main factors impacting RM in practice to promote rapid, sound and sustained development in CSCEs. Design/methodology/approach There are a few state-owned CSCEs in China. Most enterprises know little about RM. Because of the limited number of RM departments in these enterprises, 200 questionnaires were sent to the enterprises to investigate the RM strategies employed by them. The research is quantitative and used a questionnaire survey to determine the important factors influencing RM practice. The collected data were analyzed with the Statistical Package for the Social Sciences to identify the most important factors affecting RM as well as the extent of influence of these factors, in order to facilitate further research. Findings The survey revealed the top eight factors (i.e. leaders’ support, personnel’s responsibility, comprehensiveness of identification, costs and benefits, risk appetite, understanding of language, frequency of training and performance management) that highly impact RM in CSCEs and the extent to which these factors impact RM. The data reveal that the average RM level is low. Some methods have been recommended to improve RM. Research limitations/implications The research lays the foundation for further RM development in CSCEs. The low RM level in CSCEs should encourage researchers to find better ways to improve RM. Some factors in the research will function as valuable guides for China’s private and public-private partnership enterprises. Practical implications A quantitative analysis methodology for RM has been developed for CSCEs that can reflect their RM level. In addition, the degree of impact of key factors on RM has been shown. The results can act as a reference to improve RM quantitatively, making the RM system more explicit in dealing with risks more accurately and instructively. Originality/value Structural RM research is utilized to evaluate RM in CSCEs by following an empirical method. With the continuous improvement in RM, CSCEs can cooperate well with construction enterprises of other countries for infrastructure projects and gain more benefits.

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