ساخت پرتفوی و مدیریت ریسک: تئوری در مقابل عمل Portfolio construction and risk management: theory versus practice

1. Introduction Many new methods and concepts have emerged in financial portfolio construction, risk management and performance evaluation since Markowitz’s (1952) pioneering work. The use of the variance, or standard deviation, of returns as a proxy for investment risk has been questioned, and alternative risk measures have been proposed, according to Rom and Ferguson (1994); Roman and Mitra (2009) and Araújo and Montini (2015). The use of the original sample covariance matrix to estimate the risk of an asset portfolio has also been questioned, according to Chan et al. (1999) and Santos and Tessari (2012). Not even the use of quantitative methods to optimize portfolios or to allocate resources among different asset classes has been spared from criticism (DeMiguel et al. (2009). Given the vast academic literature that proposes, explains and details numerous methods for portfolio construction and risk management and performance evaluation, the following central research question is addressed in this paper: among the major quantitative techniques for portfolio construction, risk management and performance evaluation suggested by the international and Brazilian academic literature, which ones are actually adopted by financial market practitioners? The main objective is to identify possible differences between what is taught in classrooms or discussed in academic conferences and what is involved in the day-to-day practice of asset managers and to determine whether a mismatch exists. In addition to the central research question, the present work aims to compare Brazilian data with European data to inform us about the degree of globalization of the Brazilian asset management industry. Another specific goal is to check the existence of different practices among subgroups in the industry, such as companies of foreign and Brazilian origin, and to investigate the determinants of optimization and risk budgeting. To achieve these objectives, we conduct a literature review and obtain 78 responses from a field survey with 274 asset management companies. The number of respondents is considerable, especially given the limited universe of professional asset management companies and the difficulty of extracting information from participants in a highly competitive and results-oriented segment. The field survey used an online questionnaire similar to that applied by Amenc et al. (2011) in Europe. To analyze the data, the present paper uses Pearson’s chi-square independence test, multiple regressions using ordinary least squares (OLS) and a probit model.