Daniel Pereira Alves de Abreu and Robert Aldo Iquiapaza
The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical…
Abstract
Purpose
The aim of the study was to analyze the performance of Black-Litterman (BL) portfolios using a views estimation procedure that simulates investor forecasts based on technical analysis.
Design/methodology/approach
Ibovespa, S&P500, Bitcoin and interbank deposit rate (IDR) indexes were respectively considered proxies for the national, international, cryptocurrency and fixed income stock markets. Forecasts were made out of the sample aiming at incorporating them in the BL model, using several portfolio weighting methods from June 13, 2013 to August 30, 2022.
Findings
The Sharpe, Treynor and Omega ratios point out that the proposed model, considering only variable return assets, generates portfolios with performances superior to their traditionally calculated counterparts, with emphasis on the risk parity portfolio. Nonetheless, the inclusion of the IDR leads to performance losses, especially in scenarios with lower risk tolerance. And finally, given the impact of turnover, the naive portfolio was also detected as a viable alternative.
Practical implications
The results obtained can contribute to improve investors practices, specifically by validating both the performance improvement – when including foreign assets and cryptocurrencies –, and the application of the BL model for asset pricing.
Originality/value
The main contributions of the study are: performance analysis incorporating cryptocurrencies and international assets in an uncertain recent period; the use of a methodology to compute the views simulating the behavior of managers using technical analysis; and comparing the performance of portfolio management strategies based on the BL model, taking into account different levels of risk and uncertainty.
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Keywords
Barbara de Lima Voss, David Bernard Carter and Bruno Meirelles Salotti
We present a critical literature review debating Brazilian research on social and environmental accounting (SEA). The aim of this study is to understand the role of politics in…
Abstract
We present a critical literature review debating Brazilian research on social and environmental accounting (SEA). The aim of this study is to understand the role of politics in the construction of hegemonies in SEA research in Brazil. In particular, we examine the role of hegemony in relation to the co-option of SEA literature and sustainability in the Brazilian context by the logic of development for economic growth in emerging economies. The methodological approach adopts a post-structural perspective that reflects Laclau and Mouffe’s discourse theory. The study employs a hermeneutical, rhetorical approach to understand and classify 352 Brazilian research articles on SEA. We employ Brown and Fraser’s (2006) categorizations of SEA literature to help in our analysis: the business case, the stakeholder–accountability approach, and the critical case. We argue that the business case is prominent in Brazilian studies. Second-stage analysis suggests that the major themes under discussion include measurement, consulting, and descriptive approach. We argue that these themes illustrate the degree of influence of the hegemonic politics relevant to emerging economics, as these themes predominantly concern economic growth and a capitalist context. This paper discusses trends and practices in the Brazilian literature on SEA and argues that the focus means that SEA avoids critical debates of the role of capitalist logics in an emerging economy concerning sustainability. We urge the Brazilian academy to understand the implications of its reifying agenda and engage, counter-hegemonically, in a social and political agenda beyond the hegemonic support of a particular set of capitalist interests.
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Marcos Roque da Rosa, Sara Moggi, Clodis Boscarioli and Kátya Regina de Freitas Zara
This study aims to examine how Brazilian universities have implemented the sustainable development goals (SDGs) in institutional practices, curriculum and teaching, management and…
Abstract
Purpose
This study aims to examine how Brazilian universities have implemented the sustainable development goals (SDGs) in institutional practices, curriculum and teaching, management and community outreach programs.
Design/methodology/approach
This study is based on content analysis of the data sets of Brazilian higher education courses and their link to SDGs. A literature review has also been developed to integrate the knowledge of sustainability practices in Brazilian universities. Dashboards will be used to present the related findings.
Findings
Brazilian universities’ practices have concentrated their efforts on SDGs, which include responsible consumption and production, sustainable cities and communities and quality education. The literature emphasizes energy efficiency, reflecting its prominence as a subject of study among universities.
Originality/value
This research highlights the innovative use of data analysis techniques to present the findings. It also provides examples of environmental, social and governance (ESG) practices, frameworks and tools that can help sustainability management in this sector.