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11 – 20 of over 10000Compiled by K.G.B. Bakewell covering the following journals published by MCB University Press: Facilities Volumes 8‐18; Journal of Property Investment & Finance Volumes 8‐18;…
Abstract
Compiled by K.G.B. Bakewell covering the following journals published by MCB University Press: Facilities Volumes 8‐18; Journal of Property Investment & Finance Volumes 8‐18; Property Management Volumes 8‐18; Structural Survey Volumes 8‐18.
Compiled by K.G.B. Bakewell covering the following journals published by MCB University Press: Facilities Volumes 8‐17; Journal of Property Investment & Finance Volumes 8‐17;…
Abstract
Compiled by K.G.B. Bakewell covering the following journals published by MCB University Press: Facilities Volumes 8‐17; Journal of Property Investment & Finance Volumes 8‐17; Property Management Volumes 8‐17; Structural Survey Volumes 8‐17.
The notion that asset diversification reduces risk is ancient and can be traced as far back as the Talmud which states, “A man should always keep his wealth in three forms…
Abstract
The notion that asset diversification reduces risk is ancient and can be traced as far back as the Talmud which states, “A man should always keep his wealth in three forms: one-third in real estate, another in merchandise, and the remainder in liquid assets” (Baba Metzia, verse 42a). Somewhat more recently, in 1738, Daniel Bernoulli observed, “it is advisable to divide goods which are exposed to some small danger into several small portions rather than to risk them all together” (1738/1954, p. 30). Arguably, however, it was not until 1935 that the future Nobel laureate J. R. Hicks offered some early direction for modern portfolio theory. Although his research was more concerned with explaining the demand for money, he points out two important considerations for modeling risk. Hicks writes, “The risk factor comes into our problem in two ways: First, as affecting the expected period of investment, and second, as affecting the expected net yield of investment” (Hicks, 1935, p. 7). Regarding Hicks' first point, both Markowitz (1952) and Roy (1952) emplace their analyses in a one-period investment horizon. Second, and even more relevant to modern portfolio theory, is Hicks' suggestion of using an expected value calculated with subjective probabilities. Hicks continues, “It is convenient to represent these probabilities to oneself, in statistical fashion, by a mean value, and some measure of dispersion” (1935, p. 8). Clearly, Hicks comes very close to articulating a mean–variance solution. Crucially, and unlike Roy or Markowitz, Hicks does not develop this line of reasoning nor does he suggest the particular use of variance or standard deviation as that measure of risk. Nonetheless, Hicks' suggestion anticipates the work of Markowitz and Roy.1
Chong-Sup Kim and Hyun-Jung Je
The purpose of this paper is to assess a country’s export returns and return volatility and to demonstrate that such an approach is a relevant method to predict a country’s export…
Abstract
Purpose
The purpose of this paper is to assess a country’s export returns and return volatility and to demonstrate that such an approach is a relevant method to predict a country’s export earnings and risks. Also to suggest important policy implications for Korea’s trade in terms of diversifying its export structure of products and destinations.
Design/methodology/approach
The modern portfolio theory by Markowitz (1959) is applied to predict a country’s export earnings and risks. The import amount of a product, which includes aspects of both price and volume, is used as a measure of returns and return volatility and, as a result, the correlation matrix between 19 product groups covering almost all the export goods is calculated. The empirical analysis to show a strong causal relationship between expected returns and the return volatility of a country’s export portfolio and its real export earnings and risks is also made.
Findings
This study demonstrates that the portfolio approach can be a useful method to predict export returns. Also suggests that Korea needs to change its portfolio of both export products and destinations in order to maintain more stable growth of its trade and reduce its vulnerability to an external shock.
Research limitations/implications
The empirical tests have many limitations because they are based on simple cross-sectional models.
Practical implications
The study shows that the modern portfolio approach to export by using prices and volume as a measure of variation in returns can predict how vulnerable a country’s export earnings is to economic shocks, and thus, provide a useful policy implication in the design of export structure and resource allocation.
Originality/value
This study provides a new idea to predict a country’s export earnings and risks by applying the export portfolio.
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Alice Monroe was an admissions officer at the Kellogg School of Management at Northwestern University. It was early January 2017 and Alice had enrolled in Northwestern's 403(b…
Abstract
Alice Monroe was an admissions officer at the Kellogg School of Management at Northwestern University. It was early January 2017 and Alice had enrolled in Northwestern's 403(b) retirement plan two months earlier. After spending a considerable amount of time examining the mutual funds available through the university's retirement plan, Alice had picked two to invest in: a large-cap equity growth fund and a mid-cap equity fund. (See the related case "Selecting Mutual Funds for Retirement Accounts (A).") Her initial allocations were 50% of her investment dollars in each fund.
Upon further reflection, however, she realized these initial allocations were somewhat simplistic. She recalled, from an investments class she had taken at college, the topic of modern portfolio theory, which held that by adding more funds to her portfolio she might be able to achieve greater diversification and thereby reduce the overall risk of her portfolio and/or achieve a higher expected return. Alice now was considering adding an intermediate-term bond fund and a real estate fund to her retirement account.
She hoped to use modern portfolio theory to prove that these new funds would indeed help her diversify her portfolio. If they did, she would also reassess her portfolio weights to determine the optimal allocation.
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The purpose of this paper is first to give an in-depth discussion of the criticism of socially responsible investment's (SRI) alleged incompatibility with the concept of rational…
Abstract
Purpose
The purpose of this paper is first to give an in-depth discussion of the criticism of socially responsible investment's (SRI) alleged incompatibility with the concept of rational investment constituting an inferiority to conventional investment so as to disprove unwarranted arguments and identify potential for improvement of SRI. The second objective is to propose a framework that places SRI and conventional investment on the same level of rationality.
Methodology
The discussion is based on a literature study. The framework uses a previously published multidimensional optimization approach and embeds it into a new, integrated methodology for investment decisions in the presence of SRI objectives. The framework is empirically evaluated using historic stock market data.
Findings
The main findings show that SRI is not necessarily less rational than conventional investment; it can be implemented in an equally stringent and clearly defined methodology. The empirical results prove that investors can pursue SRI objectives without sacrificing performance.
Research limitations
Focus is on the German stock market; in the future, research will be expanded to cover international markets.
Practical implications
The results may contribute to enhance the SRI methodology.
Social implications
Investors may be encouraged to consider SRI, strengthening the concept of sustainability.
Originality/value
In the literature, the question of SRI’s compatibility with rational investment has often been cited but seldom scrutinized. An in-depth analysis combined with a framework to exploit of the learnings has yet been missing.
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Yunus Doğaç Arık and Melik Ertuğrul
Beginning from the onset of the Covid-19 pandemic, crypto assets have intensely been in the spotlight and have attracted significant investor attention. By being the first…
Abstract
Beginning from the onset of the Covid-19 pandemic, crypto assets have intensely been in the spotlight and have attracted significant investor attention. By being the first blockchain product, Bitcoin is the first crypto asset and still dominates the entire crypto market capitalization. In this study, we shed light on whether this energy-hungry crypto asset is an effective tool for portfolio volatility reduction from the perspective of the Modern Portfolio Theory. Based on a two-year period from April 2019 to April 2021, which includes the extreme impacts (crash and rally) of the pandemic on markets, we conclude that Bitcoin is not a beneficial instrument for volatility reduction if short-selling is not allowed. After removing this restriction, Bitcoin has very small negative investment weights in minimum variance portfolios. In other words, short-selling Bitcoin slightly reduces portfolio volatility.
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This article contrasts the traditional and the modern approaches to the valuation of securities. The new ideas are straightforward and the models simply describe the way in which…
Abstract
This article contrasts the traditional and the modern approaches to the valuation of securities. The new ideas are straightforward and the models simply describe the way in which many professional investors go about the business of maximising their wealth. The article is divided into two sections. The first focuses on modern portfolio theory to demonstrate the fundamental investment tradeoff between risk and return. The second presents a pragmatic approach to security valuation for investors who no longer believe in earnings multipliers.
In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of…
Abstract
In the last four years, since Volume I of this Bibliography first appeared, there has been an explosion of literature in all the main functional areas of business. This wealth of material poses problems for the researcher in management studies — and, of course, for the librarian: uncovering what has been written in any one area is not an easy task. This volume aims to help the librarian and the researcher overcome some of the immediate problems of identification of material. It is an annotated bibliography of management, drawing on the wide variety of literature produced by MCB University Press. Over the last four years, MCB University Press has produced an extensive range of books and serial publications covering most of the established and many of the developing areas of management. This volume, in conjunction with Volume I, provides a guide to all the material published so far.
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Property is a key investment asset class that offers considerable benefits in a mixed-asset portfolio. Previous studies have concluded that property allocation should be within…
Abstract
Purpose
Property is a key investment asset class that offers considerable benefits in a mixed-asset portfolio. Previous studies have concluded that property allocation should be within the 10-30 per cent range. However, there seems to be wide variation in theory and practice. Historical Australian superannuation data shows that the level of allocation to property asset class in institutional portfolios has remained constant in recent decades, restricted at 10 per cent or lower. This is seen by many in the property profession as a subjective measure and needs further investigation. The purpose of this paper is to compare the performance of the AU$431 billion industry superannuation funds’ strategic balanced portfolio against ten different passive and active investment strategies.
Design/methodology/approach
The analysis used 20 years (1995-2015) of quarterly data covering seven benchmark asset classes, namely: Australian equities, international equities, Australian fixed income, international fixed income, property, cash and alternatives. The 11 different asset allocation models are constructed within the modern portfolio theory framework utilising Australian ten-year bonds as the risk free rate. The Sharpe ratio is used as the key risk-adjusted return performance measure.
Findings
The ten different asset allocation models perform as well as the industry fund strategic approach. The empirical results show that there is scope to increase the property allocation level from its current 10-23 per cent. Upon excluding unconstrained strategies, the recommended allocation to property for industry funds is 19 per cent (12 per cent direct and 7 per cent listed). This high allocation is backed by improved risk-adjusted return performance.
Research limitations/implications
The constrained optimal, tactical and dynamic models are limited to asset weight, no short selling and turnover parameters. Other institutional constraints that can be added to the portfolio optimisation problem include transaction costs, taxation, liquidity and tracking error constraints.
Practical implications
The 11 different asset allocation models developed to evaluate the property allocation component in industry superannuation funds portfolio will attract fund managers to explore alternative strategies (passive and active) where risk-adjusted returns can be improved, compared to the common strategic approach with increased allocation to property assets.
Originality/value
The research presents a unique perspective of investigating the optimal allocation to property assets within the context of active investment strategies, such as tactical and dynamic models, whereas previous studies have focused mainly on passive investment strategies. The investigation of these models effectively contributes to the transfer of broader finance and investment market theories and practice to the property discipline.
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