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Since 2008, the German open-ended real estate fund (GOEREF) industry has experienced a critical phase of suspensions of redemption of fund shares, announced fund terminations and, eventually, introduction of a new regulation. With assets under the management of over 80 billion, GOEREFs are the dominant indirect real estate investment vehicle in Germany. Thus, it is extremely important to study the effects of this crisis on the risk and return characteristics of the respective funds. The paper aims to discuss these issues.

Both net asset values (NAVs) and potential secondary market prices of the shares of funds with suspended redemptions are used. The resulting total return patterns are analysed on an index basis for fund groups that best represent the most important investor groups for GOEREFs.

Groups that comprised a higher number of funds with suspended redemptions were considerably worse off and less attractive in an asset allocation context than the others given the often much lower secondary market prices. However, changes in return and risk must also be considered in terms of NAVs. The fund group comprising co-operative savings banks' funds was virtually unaffected by the liquidity crisis and continued to deliver stable and non-volatile returns, while the other fund groups exhibited a clear shift in their respective return profiles.

This study analyses fund groups that reflect the most important investor groups by using both types of important prices in a comprehensive industry sample. It, thus, provides valuable insights into the changing profiles of the funds and groups and their favourability from an asset allocation perspective.

This study seeks to examine the effectiveness of controlling the currency risk for international diversified mixed‐asset portfolios via two different hedge instruments, currency forwards and currency options. So far, currency forward has been the most common hedge tool, which will be compared here with currency options to control the foreign currency exposure risk. In this regard, several hedging strategies are evaluated and compared with one another.

Owing to the highly skewed return distributions of options, the application of the traditional mean‐variance framework for portfolio optimization is doubtful. To account for this problem, a mean lower partial moment model is employed. An in‐the‐sample as well as an out‐of‐the sample context is used. With in‐sample analyses, a block bootstrap test has been used to statistically test the existence of any significant performance improvement. Following that, to investigate the consistency of the results, the out‐of‐sample evaluation has been checked. In addition, currency trends are also taken into account to test the time‐trend dependence of currency movements and, therefore, the relative potential gains of risk‐controlling strategies.

Results show that European put‐in‐the‐money options have the potential to substitute the optimally forward‐hedged portfolios. Considering the composition of the portfolio in using in‐the‐money options and forwards shows that using any of these hedge tools brings a much more diversified selection of stock and bond markets than no hedging strategy. The optimal option weights imply that a put‐in‐the‐money option strategy is more active than at‐the‐money or out‐of‐the‐money put options, which implies the dependency of put strategies on the level of strike price. A very interesting point is that, just by dedicating a very small part of the investment in options, the same amount of currency risk exposure can be hedged as when one uses the optimal forward hedging. In the out‐of‐sample study, the optimally forward‐hedged strategy generally presents a much better performance than any types of put policies.

The research shows the risk and return implications of different currency hedging strategies. The finding could be of interest for asset managers of internationally diversified portfolios.

Considering the findings in the out‐of‐sample perspective, the optimally forward‐hedged minimum risk portfolio dominates all other strategies, while, in the depreciation of the local currency, this, together with the forward‐hedged tangency portfolio selection, would characterize the dominant portfolio strategies.

The purpose of this paper is to investigate the asymptotic distribution of the extreme daily stock returns in African stock markets over the period 1996‐2007 and examine the implications for downside risk measurement.

Extreme value theory methods are used to model adequately the extreme minimum daily returns in a number of African emerging stock markets.

The empirical results indicate that the generalised logistic distribution best fitted the empirical data over the period of study.

Using the generalised extreme value and normal distributions for risk assessment could lead to an underestimation of the likelihood of extreme share price declines which could potentially lead to inadequate protection against catastrophic losses.

To the best of the author's knowledge, this is the first study to examine the lower tail distribution of daily returns for African emerging stock markets.

This study aims to develop a comprehensive insolvency model tailored to Islamic banks, ensuring alignment with Shariah principles throughout pre-insolvency, bankruptcy and post-bankruptcy stages.

The research adopts a qualitative research method, using a desktop research approach. Primary sources and secondary sources are examined to gather information and draw conclusions.

This study presents a comprehensive insolvency model designed for Islamic banks, rooted in Shariah principles. The model covers pre-insolvency, bankruptcy (taflis) and post-bankruptcy stages, incorporating key Shariah parameters to ensure adherence to Islamic finance principles. It addresses challenges such as adapting to dynamic financial landscapes and varying interpretations of Shariah principles. Notably, the model recognizes the separate legal personality of Islamic banks and emphasizes transparency, fairness and compliance with religious obligations. In the post-bankruptcy stage, directors are urged to voluntarily settle remaining debts, aligning with ethical and Shariah-compliant standards.

The study contributes to the stability and growth of Shariah-compliant financial systems by extending insolvency principles to Islamic banks, providing a foundation for future research and policymaking specific to this context.

Economic growth, without distributional measures and policies, engenders inequality and concentration. National income may be distributed either through the establishment of a proper welfare system, or by the encouragement of and incentive for economic activities and policies with built‐in distributional factors. The prerequisites for sustainable income distribution are fair distribution of assets, investments and power. The main outcome of the growth‐based developing theories and activities are concentration of production, people and financial and political power. These concentrations are the sources of many problems of both developing and industrialised countries. Although there have been countless studies about development, few have made an attempt to investigate the social and economic interactions of small business with sustainable development. Small business’ contributions to the process of development, in terms of distribution of economic and non‐economic resources, are substantial. This article will explore the economic and political distributional power of small business and their roles in the process of socio‐economic development.

The purpose of this paper is to show that existing theories, principally Dunning’s OLI model, Mathews LLL model and Rugman’s version of internalization theory are unable to explain the rise of emerging market multinationals (EMNEs). The reason is that they over-emphasize the strategic importance of intangibles and ignore that of complementary local assets. Taking complementary local assets into account makes it possible to understand why EMNEs are able to finance their intangible-buying sprees and, often with the help of their governments, to swap market access for technology.

This is a conceptual paper based on the bundling model (JIBS 2009) and backed by the case histories of four EMNEs.

The author shows that EMNEs have much better prospects vis-à-vis established MNEs than generally thought in Western Europe and the USA and that they will become serious competitors.

This is, as far as the author knows, the first explanation of why EMNEs have the bargaining power and the resources necessary to swap or buy technology from established MNEs.

The purpose of this paper is to develop a more robust methodology for asset allocation for the property investment market which takes into account inherent valuation and data issues.

The methodology applied is that of a bootstrap, borrowed from Carlstein, and is applied to an investment universe consisting of UK equities, gilts and property. The bootstrap selectively re‐samples the return time series by maintaining the economic cycle. The resulting return series is then used in the standard mean‐variance optimisation (MVO) on an unconstrained basis. Finally, a “sanity” test is applied on the correlation matrix to ensure that spurious instances do not skew the results.

The bootstrapped optimisation provides a range within which the portfolio weights can be manoeuvred instead of a static point under the standard MVO. It provides a more robust methodology for asset allocation and without giving any undue significance to one year of extreme result.

The current analysis is based on unconstrained portfolio optimisation, with a very limited investment universe. Additionally, by conforming with the MVO methodology, normality of asset returns is implicitly assumed, which is clearly not the case in the data used. Future work will also focus on an all‐property portfolio.

The proposed methodology will prove to be useful for making asset allocation decisions, particularly in turbulent financial markets.

The paper focuses solely on bootstrapping with the IPD UK annual index and is particularly significant after one year of extremely poor performance of UK property. The results will be of use to fund managers and portfolio analysts.

Following a seven year period in which there were two general elections, three Companies Bills and various amendments, together with much debate, the Companies Act 1980 finally received the Royal Assent on 1 May 1980. One of the principal reasons for this Act is that it forms the first stage towards the harmonisation of UK company law with that of other member countries of the European Economic Community. In addition to the implementation of the EEC Second Directive on Company Law (Parts I, II and III of the Act), the Act also contains some other quite significant and important changes in UK company law dealing with the conduct of directors (Part IV of the Act) and insider dealing (Part V of the Act). (See Box A).

The purpose of this paper is to propose the parametric bootstrap method for valuation of over-the-counter derivative (OTCD) initial margin (IM) in the financial market with low outstanding notional amounts. That is, an aggregate outstanding gross notional amount of OTC derivative instruments not exceeding R20bn.

The OTCD market is assumed to have a Gaussian probability distribution with the mean and standard deviation parameters. The bootstrap value at risk model is applied as a risk measure that generates bootstrap initial margins (BIM).

The proposed parametric bootstrap method is in favour of the BIM amounts for the simulated and real data sets. These BIM amounts are reasonably exceeding the IM amounts whenever the significance level increases.

This paper only assumed that the OTCD returns only come from a normal probability distribution.

The OTCD IM requirement in respect to transactions done by counterparties may affect the entire financial market participants under uncleared OTCD, while reducing systemic risk. Thus, reducing spillover effects by ensuring that collateral (IM) is available to offset losses caused by the default of a OTCDs counterparty.

This paper contributes to the literature by presenting a valuation of IM for the financial market with low outstanding notional amounts by using the parametric bootstrap method.

One important study in the portfolio investment is the study of the optimal asset allocations. Markowitz is the pioneer of modern portfolio theory that analyses the performance of portfolio based on the mean (reward) and variance (risk). Motivated by the Markowitz's mean variance model, the purpose of this paper is to propose a new portfolio optimization model that takes into consideration both processes of purification and screening, which are key to constructing a Shariah-compliant portfolio. In practice, this paper introduces a stochastic purification variable and a probabilistic screening constraint into a portfolio model.

First, the authors study the stochastic nature of purification variable and apply it to both investment and dividend purification. Second, recognizing that the importance of on-going screening could adversely affect the portfolio strategy, the authors impose probabilistic constraints to control the risk of compliance change. They evaluate the proposed model by formulating the screening constraints at both asset and portfolio levels, together with three different financial screening divisors that are broadly used by the international Shariah boards. The authors also conduct an extensive empirical study using a sample of Shariah-compliant public companies listed on the Indonesia Stock Exchange.

Based on the empirical example presented in this paper, the authors found that the purification variable in the proposed model is closer to the practice in the Sharia capital market in terms of the nature of the non-constant data, and this variable reduces the total income of portfolio which has not been captured in the previous literature. The authors also have successfully derived the portfolio screening constraint to mitigate the risk of the asset change to be non-compliant in the future.

Based on the authors’ knowledge, this is the first paper that proposed the stochastic purification and the dynamic of screening processes into the Shariah portfolio model. This paper also examines the impact of non-short-selling, purification and screening policies to the performance of Shariah portfolio.