دانلود رایگان مقاله انگلیسی ساخت نمونه کارها و مدیریت ریسک: تئوری در مقابل عمل - امرالد 2017

Abstract

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.

5. Final remarks

This paper aims to identify a possible mismatch between the theory found in academic research and the practices of investment managers in Brazil. For this purpose, a bibliographical and field survey was carried out with 78 respondents to a questionnaire posted online, out of a total of 274 asset management companies. This study may be considered a pioneering work in portfolio construction, risk management and performance evaluation in Brazil. The results of the tests performed indicate that practice departs from theory in the country: of the eight hypotheses tested, we rejected seven hypotheses and partially rejected one hypothesis. One possible explanation is that few Brazilian academic studies consider transaction costs such as brokerage fees, bid-ask spreads and liquidity when studying the benefits of quantitative portfolio optimization. Santos and Tessari (2012) and Caldeira et al. (2013), for example, considered three types of rebalancing, daily, weekly and monthly, which would generate very high turnover and cost.