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To maintain and enhance the efficiency of a property portfolio the portfolio manager should select those property investment propositions which promise the maximum improvement of portfolio return and reduction of portfolio risk. To cope with this difficult task the portfolio manager needs appropriate decision criteria. This paper discusses some of the selection criteria evolved through the developments in capital market theory in order to assess their usefulness in property asset selection procedures. The use of the ‘reward‐to‐volatility’ criterion to select appropriate property portfolio projects is explored through a worked example. The reliability of such selection procedure depends on the availability of reliable historic record of the performance of the property market and of the property portfolio together with the portfolio manager's ability to perceive expected returns in different ‘states of the world’.

Interest rate risk immunization is one of the key concerns for fixed income portfolio management. In recent years, the affluence of new risk measures has emphasized the importance of comparing them with the classic approaches. As a result, one question arises: what is the relation among classic risk measures (e.g. Macaulay duration, convexity, and dispersion) and other more recent risk measures (e.g. value‐at‐risk and conditional value‐at‐risk) as tools for the formation of an optimum investment portfolio? This article aims to discuss this issue.

To enhance objectivity, an empirical study has been conducted on the US Treasury bonds market by means of the formation of different portfolios among a selected set of bonds with different maturities and structures. In addition, information about yields from the mid‐1990s and early 2000s has been used to find the optimum portfolio compositions based on each alternative risk measure.

The main finding of the study is that there is an absence of relationships between those portfolios optimized by classic measures and those optimized by modern measures. The results show how both types of risk measures lead to quite different portfolios.

The behavior of modern risk measures has been examined, with the finding that, when VaR is used, the sensitivity of the optimal portfolio with respect to the level of confidence is too high. Finally, if CVaR is used, then the optimal portfolio is quite stable with respect to the confidence level.

This is the first paper to compare classic and modern measures of interest rate risk in fixed income portfolios. It is of value to decision makers, experts, and economic researchers.

In 2007 global mergers and acquisitions (M&A) activity totaled a record $4.38 trillion, up 21 percent from 2006. Despite current turbulence in the world financial markets, 44 percent of privately held businesses globally are planning to grow through acquisition in the next three years. Following a merger or an acquisition, a combined firm may need to streamline an inefficient product portfolio so as to increase revenues and profitability. The consequences of retaining inefficient portfolios can be more than internal competition and inadequate financial returns. This paper seeks to illustrate key processes, methods and the value of strategic marketing research and science in helping make critical decisions that reshape an inefficient portfolio of 12 pharmaceutical products, created as the result of a merger of two large, global pharmaceutical firms.

Using a case study, the paper posits that taking a customer‐centric, market‐driven view of the value of products in a portfolio almost always results in significant insight that helps streamlining. Applying relevant tools and techniques from the disciplines of strategic marketing, market research and marketing science crystallizes insight into objective criteria that can then be used to make informed and valid decisions.

Results illustrate the importance of customer‐centric, market‐driven constructs in influencing critical market outcomes, which, in turn, provide rational insight into structuring existing product portfolios. Product, customer and market drivers that drive product and portfolio performance are explicated and recommended for analysis and ongoing tracking. Results are presented in terms of altered customer behaviors, product and portfolio revenue and profitability.

The paper highlights the critical role of relying on the core elements of strategic marketing and research in solving one of the most common and important business issues of our time. Key themes are stressed through focusing on insights reiterating the role of core marketing principles such as differentiation, positioning and strategy simulations. When combined with the insights provided by comparable other business functions such as financial modeling and valuation, this can only result in smart business strategy.

The purpose of this paper is to develop a model of international capital market equilibrium where investors exhibit home‐country bias due to their desire to hedge real consumption.

This paper posits a two‐stage process of portfolio choice for the representative investor of a country. In the first step, the investor's benchmark portfolio is determined, whereas in the second step, his optimal portfolio is chosen. The latter portfolio maximizes the expected portfolio rate of return minus the risk tolerance weighted variance of tracking error. The market equilibrium implications of the portfolio optimality conditions are determine via aggregation across all investors and countries.

A revised security market line is derived that differs from the traditional security market line in terms of vertical intercept, slope, and beta coefficient. It is demonstrated that the derived model may be interpreted as a multi‐country generalization of the Chen‐Boness extension of the capital asset pricing model under uncertain inflation.

This paper presents an innovative application of Roll's tracking portfolio paradigm. Another novel feature is the derivation of the international capital market equilibrium implications of such portfolio choice behaviour.

This paper seeks to address the question of consistency, regarding the allocation of real estate in the mixed‐asset portfolio.

To address the question of consistency the allocation of real estate in the mixed‐asset portfolio was calculated over different holding periods varying from five to 25 years. For each portfolio and holding period, the percentage of portfolios with real estate was computed, as was the average real estate allocation in the optimum solution. Then, the risk and return differences between the two efficient frontiers, with and without real estate, were calculated to estimate real estate's marginal impact on portfolio performance.

First, the results suggest strongly that real estate has possessed the attribute of consistency in optimised portfolios. Second, the benefits from including real estate in the mixed‐asset portfolio tend to increase as the investment horizon is extended. Third, the position of real estate changes across the efficient frontier from its return enhancing ability to its risk‐reducing facility. Finally, the results show that the gain in return from adding real estate to the mixed‐asset portfolio is typically less compared with the reduction in portfolio risk.

The results highlight a number of issues in relation to the role of direct real estate within a mixed‐asset framework. In particular, the rationale behind the inclusion of real estate in the mixed‐asset portfolio depends on the length of the holding period of the investor and their position on the efficient frontier.

The study examines the attractiveness of direct real estate in the context of mixed‐asset portfolio.

This paper develops visual aids for the understanding of two asset portfolio mathematics. Specifically, visual aids are utilized in teaching portfolio variance and correlation coefficient concepts. The presentation is simple, yet powerful, and is useful for an audience with varying levels of statistical sophistication. Consequently, the visual aids can replace or complement standard presentations of basic portfolio theory.

The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes in interest rates. Re‐balancing a portfolio on a periodic basis is necessary, but also very costly. The model presented in this paper minimizes the necessity of rebalancing a portfolio, by choosing the optimal δ‐hedge ratios when constructing the initial portfolio to be hedged against interest rate risk.

In this paper, a general model is developed to obtain the optimal δ hedge for a portfolio of m‐fixed‐income‐securities (a₁, a₂, a₃,…; a_i, … , a_m), each, a function of the market interest rate y, such that when the value of each of the individual securities changes up or down, because of changes in market rates y, the total value of the portfolio is unchanged. The delta hedge is developed under the constraint of a zero‐gamma, in order to avoid costs related to the re‐balancing of such portfolio.

An innovative model is developed that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes in interest rates.

The model minimizes the necessity of rebalancing a portfolio, by choosing the optimal δ‐hedge ratios when constructing the initial portfolio to be hedged against interest rate risk.

An innovative model has been developed that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be delta‐ and gamma‐hedged against small changes in interest rates.

The objective of this paper is to demonstrate how to use the Elton, Gruber, and Padberg [1978] model to construct optimal portfolios and to facilitate the use of this paradigm by providing an example of how the technique is used. The EGP model uses the risk‐adjusted, excess return for an asset to determine the optimal portfolio for a given risk‐free rate of return. This paper shows exactly how to calculate the optimal portfolio and provides a True Basic@ program to do so. The data used are constructed from Capital International Indexes taken from various issues of Barrons from March 1978 to December 1986.

The traditional approach and methodology can no longer cope effectively with the complexities and problems associated with large scale property investment. The level of sophistication of the analysis of property investments is still much lower than the analysis of investments in other media. There is a need to establish an analytical framework which could facilitate the management of the complex decision making and management problems associated with large property investment portfolios. The principal aim of this paper is to identify and rationalise the property portfolio problem in order to pave the way for the applications of recent developments in investment and portfolio theory. The definition of the general portfolio problem is followed by a comparison of the nature and characteristics of property portfolios and stock market security portfolios. The property portfolio problem is defined as a complex decision making problem requiring effective decision making in three stages: investment policy, selection and portfolio assembly, and finally management and portfolio rationalisation.

It is now common for finance textbooks to discuss the concepts of the CAPM, diversification benefit, and systematic risk, as measured by beta. The purpose of this paper is to clarify aspects of these concepts and make the textbooks readers aware of them. In particular, this paper seeks to: (1) clarify the notion that “diversification reduces risk,” (2) provide geometric expositions and algebraic expressions of portfolio benefits in the context of both total risk and market risk, and (3) improve the interpretation of beta.