Purpose – Assessing the value of property management services is challenging because of collinearity between property quality and the quality of property management companies. In order to overcome this challenge and isolate the impact of property management services, the purpose of this paper...

SUMMARY This paper presents an analysis of the tracking problems of multiple indices with multidimensional performance criterion consisting of mean wealth and the tracking errors. We evaluate the performance of portfolios via the vector inequalities defined by convex cones, which enable us to...

Abstract We introduce an adaptive algorithm to estimate the uncertain parameter of a stochastic optimization problem. The procedure estimates the one-step-ahead means, variances and covariances of a random process in a distribution-free and multidimensional framework when these means, variances...

Abstract The demand for an accurate financial risk management involving larger numbers of assets is strong not only in view of the financial crisis of 2007–2009. Especially dependencies among assets have not been captured adequately. While standard multivariate copulas have added some...

Purpose The purpose of this paper is to contrast three investment choices within the reach of individual investors: naive portfolios of Brazilian stocks; actively managed stock funds; and the Ibovespa index, which represents passive management as well as to offer insights on the performance of...

Purpose – The electric utility industry, unlike most other technology‐intensive industries, does not spend much money or effort on research and development. Many utilities do not possess an in‐house R&D facility, nor is there an R&D line item in their budgets. Over the last several decades...

Demonstrates complete overview of risk‐adjusted performance measurement (RAPM) and how it can be a key management tool – particularly when combined with an economic capital allocation framework. Discusses RAPM and how it would enable senior management to allocate economic capital more...

Purpose – In order to improve banks' ability to fight against risks, China's financial regulatory authorities refer to the Basel Accord, and bank capital adequacy ratio is taken as an important means of control. The purpose of this paper is to investigate the internal mechanism between capital...

Purpose – The paper seeks to introduce a method based on the Markowitz mean‐variance portfolio approach to outline a theory of future firm, its environment, and management accounting systems (MASs). The approach is based on the target to choose propositions for the theory to maximise...

The main objective of this study is the application of portfolio analysis, as an instrument of decision‐making support, to the selection of priority market segments for Portugal. The results obtained validate the use of competitiveness and attractiveness as tools for the selection and...