Risk Management and Portfolio Construction in a Commodity Futures Program

2007 ◽  
Author(s):  
Joseph Eagleeye ◽  
Hilary Till
Keyword(s):  
Risk Management ◽  
Commodity Futures ◽  
Portfolio Construction

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.

Introduction to the special issue on portfolio construction and risk management

2007 ◽  
Vol 7 (4) ◽  
pp. 357-358
Author(s):  
M. A. H. Dempster ◽  
Gautam Mitra ◽  
Georg Ch. Pflug
Keyword(s):  
Risk Management ◽  
Portfolio Construction ◽  
Special Issue
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