A Risk-Return Model for Multiregion and Multiproduct Diversification of the Firm

1987 ◽  
Vol 19 (1) ◽  
pp. 81-92 ◽  
Author(s):  
D M Hanink ◽  
R G Cromley
Keyword(s):  
Strategic Planning ◽  
Product Diversification ◽  
Product Portfolio ◽  
Portfolio Risk ◽  
Risk Return ◽  
Hypothetical Data ◽  
Region Product

The purpose of this paper is to demonstrate that the integration of locational considerations into product-diversification planning has the potential of supplying gains to the firm by providing hedges against both product-portfolio and location-portfolio risk. An efficient diversification frontier for region – product strategic planning is generated from hypothetical data for purposes of illustration. Results of the analysis are in agreement with Wahlroos's theory of the diversification of the firm.

The investment attributes of Mexico REITs as a listed property investment vehicle

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Muhammad Jufri Marzuki ◽  
Graeme Newell
Keyword(s):  
Latin American ◽  
Emerging Economies ◽  
Portfolio Optimisation ◽  
Portfolio Risk ◽  
Property Market ◽  
Content Type ◽  
Risk Return ◽  
Latin American Region ◽  
The World ◽  
Asset Portfolio

PurposeMexico REITs are a significant and important REIT market, both in a regional and in emerging property market context. As one of the few emerging economies in the world with an active REIT market, Mexico REITs are specifically designed to provide an effective pathway to participate in the investment opportunities offered by the Mexico commercial property market for both domestic and international investors. Importantly, Mexico REITs provide additional property investment benefits such as a high degree of transparency, governance and liquidity. The main focus of this research is to highlight the significance of Mexico REITs and assess their performance dynamics, as well as the added-value benefits of Mexico REITs in mixed-asset investment portfolios.Design/methodology/approachUsing monthly total returns, the risk-adjusted performance and portfolio diversification potential of Mexico REITs over April 2011–December 2019 were assessed. A constrained mean-variance portfolio optimisation framework was used to develop a three-asset portfolio scenario using the historical returns, risk and correlation of Mexico REITs and the other two major financial assets.FindingsDespite being more volatile than the mainstream asset classes, Mexico REITs delivered the strongest risk-adjusted performance versus stocks and bonds over April 2011–December 2019, which was made possible by the high premium of their total return performance. Notably, Mexico REITs offered excellent diversification potential with bonds, whilst demonstrating a marginal positive correlation with the stock market. These investment attributes of Mexico REITs have brought immediate benefits towards their ability to add value to the Mexico mixed-asset portfolio fabric across a wide portfolio risk–return spectrum.Practical implicationsWhilst their initial establishment in 2004 was considered unsuccessful, the ongoing regulatory improvements have been pivotal in providing a supportive investment environment to nurture the organic growth of Mexico REITs. This now sees the Mexico REIT market as an exemplar of success for REIT establishments amongst its peers in the Latin American region, as well as for emerging economies worldwide. Mexico REITs are now an important REIT market, as the second largest emerging REIT market in the world. The empirical investigation of this research has established the investment attributes of Mexico REITs as a listed property investment vehicle. The strong risk-adjusted performance of Mexico REITs compared to stocks and bonds sees Mexico REITs contributing to the mixed-asset portfolio across the portfolio risk–return spectrum. This is particularly important as it provides insights into the broader strategic implications of Mexico REITs as an effective, transparent and tax-efficient conduit for high-quality Latin American property exposure in a liquid format.Originality/valueThis paper is the first published empirical research that elucidates the investment attributes of Mexico REITs, highlighting their significance, risk-adjusted and portfolio performance enhancement role as an emerging REIT market. The main outcome of this research enables empirically validated, more informed and practical property investment decision-making regarding the strategic role of Mexico REITs in an investment portfolio.

scholarly journals RECREATIONAL TOURISM: PRODUCT PORTFOLIO DIVERSIFICATION

2021 ◽  
Vol 138 (4) ◽  
pp. 81-90
Author(s):  
TKACHENKO Tetiana ◽  
HLADKYI Oleksandr ◽  
ZHUCHENKO Valentyna
Keyword(s):  
Product Diversification ◽  
Portfolio Diversification ◽  
Product Portfolio ◽  
Advantages And Disadvantages ◽  
Tourism Product

Theoretical fundamentals of product portfolio diversification in the frames of recrea­tional tourism were disclosed. The main attractive properties of recreationaltourism resources were substantiated. The potential advantages and disadvantages of recreation tourism product diversification were investigated. The product portfolio diversification and marketing processes in recreation tourism wereanalyzed via the example of the clinical sanatorium "Kuialnik" and the resort association "Perlyna Chornomoria" located in Odesa region of Ukraine. Keywords: recreation tourism, resort, sanatorium, product portfolio, diversification.

scholarly journals Emergence of Commodity Derivatives as Defensive Instrument in Portfolio Risk Hedging: A Case of Indian Commodity Markets

2017 ◽  
Vol 12 (1) ◽  
pp. 202-234 ◽  
Author(s):  
Shelly Singhal
Keyword(s):  
Efficient Frontier ◽  
Commodity Markets ◽  
Portfolio Risk ◽  
Daily Growth ◽  
Risk Hedging ◽  
Risk Return ◽  
Daily Data ◽  
Relative Standard ◽  
Commodity Derivatives ◽  
Diversification Benefit

AbstractThis paper empirically examines whether commodity derivatives can be used as an alternative investment asset in India where commodity markets are at emerging state and provides the same diversification benefit as they provide in developed commodity markets. In India only commodity futures are prevalent so various commodity indices representing various sectors has been used in the study. Diversification aspect of commodity derivatives has been tested initially by using correlation analysis. Compounded Daily Growth rate and Relative Standard deviation has been used as a measure of calculating risk and return of daily data of SENSEX, BOND and four Commodity Indices (MCX Comdex, MCX AGRI, MCX Metal, MCX Energy). Markowitz Efficient Frontier theory has been used to calculate portfolio risk return and Sharpe risk adjusted ratio has been used to evaluate the various portfolios. Optimal portfolio has been obtained for the combination of equity, bond and commodity and overall results of the study indicate that an investor who is risk averse will prefer to invest in combination of SENSEX, BOND & MCX Energy whereas an investor who gets utility by taking more risk for more returns will prefer to invest in combination of SENSEX, BOND & MCX Metal. Investor having inclination towards moderate risk return would tend to invest in MCX AGRI along with SENSEX and BOND.

Can Asset Allocation Limits Determine Portfolio Risk-Return Profiles in DC Pension Schemes?

2018 ◽  
Author(s):  
Tomás Gutierrez ◽  
Bernardo Pagnoncelli ◽  
Davi Valladão ◽  
Arturo Cifuentes
Keyword(s):  
Asset Allocation ◽  
Portfolio Risk ◽  
Risk Return ◽  
Pension Schemes

scholarly journals Macro Asset Allocation with Social Impact Investments

2019 ◽  
Vol 11 (11) ◽  
pp. 3140 ◽  
Author(s):  
Massimo Biasin ◽  
Roy Cerqueti ◽  
Emanuela Giacomini ◽  
Nicoletta Marinelli ◽  
Anna Grazia Quaranta ◽  
...  
Keyword(s):  
Risk Aversion ◽  
Asset Allocation ◽  
Social Impact ◽  
Large Fraction ◽  
Stock Index ◽  
Portfolio Risk ◽  
Risk Return ◽  
Mean Variance ◽  
Different Levels ◽  
Unique Dataset

Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portfolio risk-return performance. We build portfolios with three different methodologies (naïve, Markowitz mean-variance optimization, GARCH-copula model), and we study the performance in terms of returns, Sharpe ratio, utility, and forecast premium based on a constant relative risk aversion function for investors with different levels of risk aversion. Consistent with the idea that social impact investment can improve portfolio risk-return performance, the results of our macro asset allocation analysis show the importance of a large fraction of investor portfolios’ stake committed to social impact investments.

scholarly journals Decomposition of Natural Catastrophe Risks: Insurability Using Parametric CAT Bonds

Risks ◽  
2021 ◽  
Vol 9 (12) ◽  
pp. 215
Author(s):  
Morteza Tavanaie Marvi ◽  
Daniël Linders
Keyword(s):  
Decomposition Method ◽  
Natural Hazard ◽  
Residential Buildings ◽  
Systematic Risk ◽  
Flood Hazards ◽  
Portfolio Risk ◽  
Risk Return ◽  
Cat Bonds ◽  
Premium Calculation ◽  
Highly Correlated

Nat Cat risks are not insurable by traditional insurance mainly because of producing highly correlated losses. The source of such correlation among buildings of a region subject to a natural hazard is discussed. A decomposition method is proposed to split Nat Cat risk into idiosyncratic (and hence insurable) risk and systematic risk (carrying the correlated part). It is explained that the systematic risk can be transferred to capital markets using a set of parametric CAT bonds. Premium calculation is presented for insuring the decomposed risk. Portfolio risk-return trade-off measures for investing on the parametric CAT bond are derived. Multi-regional and multi-hazard parametric CAT bonds are introduced to reduce the risk of the investment. The methodology is applied on a region with about 3000 residential buildings subject to flood hazards.

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