Journal of Risk and Financial Management

This study examines how banks navigate the dual strategic imperatives of securing market power and optimizing multidimensional operational efficiency—technical, scale, and allocative efficiency—within emerging and transitional banking systems. Focusing on business model diversification and financial stability, this study also accounts for the conditioning roles of governance quality, institutional complexity, credit risk, and digitalization. Using bank-level data from Association of Southeast Asian Nations (ASEAN) and Middle East and North Africa (MENA) countries, the analysis applies Partial Least Squares Structural Equation Modeling (PLS-SEM) and multi-group analysis to assess direct, mediating, and moderating relationships. The results indicate that diversification and financial stability significantly strengthen market power, while their effects on efficiency are largely negative across efficiency dimensions. Governance quality partially mediates the stability–market power relationship, whereas institutional complexity weakens this linkage. Digital transformation maturity and market digitalization condition the diversification–efficiency nexus, with effects varying across efficiency types and regions. Overall, the findings reveal a strategic trade-off between competitive positioning and operational efficiency, emphasizing the importance of governance structures and digital capabilities in shaping bank performance across heterogeneous institutional contexts.

Quantitative asset allocation remains a critical challenge in modern finance, particularly due to the inherent uncertainty of expected returns (μ) and the sensitivity of portfolio outcomes to the stability of portfolio weights. This study conducts a comparative empirical analysis of three portfolio strategies—MVO, Static RP, and Dynamic RP—using a long-only portfolio of eleven highly liquid assets, consisting of U.S. large-cap equities and gold, over the period 2015–2025. Results from historical backtesting indicate maintaining a competitive Sharpe ratio (1.418) and the lowest Maximum Drawdown (−0.2770) relative to Markowitz MVO (−0.3120) and Static RP (−0.2788). Although Markowitz delivers the numerically highest Sharpe ratio (1.655), this advantage is largely driven by in-sample optimization, with limited robustness under realistic implementation settings. In contrast, Dynamic RP demonstrates superior downside risk management, weight stability, and adaptability to changing market conditions, suggesting a more practical and resilient framework for real-world investment applications. Overall, the findings indicate that Dynamic Risk Parity provides an effective and robust alternative to traditional mean-variance optimization, offering investors a strategy that balances return potential, risk mitigation, and portfolio stability, while addressing key limitations of classical MVO approaches.

With an emphasis on the moderating effect of digitalization, this study links the relationship between corporate valuation in Southeast Asia and environmental, social, and governance (ESG) frameworks. Although the importance of ESG practices for long-term wealth creation and organizational sustainability is becoming more widely acknowledged, little scholarly attention has been dedicated to how digitalization affects the relationship between ESG and firm value in emerging markets. The influence of social engagement, environmental accountability, and governance quality on firm value metrics such as asset returns, equity return, and Tobin’s Q are assessed by utilizing a longitudinal dataset comprising 132 publicly traded companies from six Southeast Asian nations from 2017 to 2023. Panel Estimated Generalized Least Squares (EGLS) is employed to mitigate heteroskedasticity and cross-sectional dependence. The results show that digitalization has a moderating effect and that social and governance aspects greatly increase firm value. Digitalization specifically increases the influence between governance and asset returns and between social elements and Tobin’s Q, while decreasing the influence between social factors and asset returns, and between governance and Tobin’s Q. Furthermore, another finding shows that digitalization decreases the influence of social factors on return on equity. These findings point out how necessary it is to strategically incorporate technological development into ESG projects in order to optimize sustainable value creation.