Portfolio optimization based on GARCH-EVT-Copula forecasting models

This study uses GARCH-EVT-copula and ARMA-GARCH-EVT-copula models to perform out-of-sample forecasts and simulate one-day-ahead returns for ten stock indexes. We construct optimal portfolios based on the global minimum variance (GMV), minimum conditional value-at-risk (Min-CVaR) and certainty equivalence tangency (CET) criteria, and model the dependence structure between stock market returns by employing elliptical (Student-$t$ and Gaussian) and Archimedean (Clayton, Frank and Gumbel) copulas. We analyze the performances of 288 risk modeling portfolio strategies using out-of-sample back-testing. Our main finding is that the CET portfolio, based on ARMA-GARCH-EVT-copula forecasts, outperforms the benchmark portfolio based on historical returns. The regression analyses show that GARCH-EVT forecasting models, which use Gaussian or Student-$t$ copulas, are best at reducing the portfolio risk.     

The Effects of Search-Related and Purchase-Related Mobile App Additions on Retailers’ Shareholder Wealth: The Roles of Firm Size,Product Category,and Customer Segment

Mobile channel additions have been shown to increase consumer-brand relationships, brand satisfaction towards and overall purchasing from a retailer, but what is less apparent is whether shareholders are fully rewarded for retailers’ mobile channel additions. Results from an event study on 115 announcements relating to mobile app additions of publicly traded U.S. retail firms between 2009 and 2016 indicate that the stock market responds generally positively to mobile app additions, but specifically to the two mobile app addition types. Stock market responses to search-related and purchase-related app additions are moderated by firm size, product category, and target customer age. For announcements of search-related apps, the market responds more positively to product retailers than to service retailers, and to small firms than large ones. For announcements of purchase-related apps, the market responds less positively to firms that target younger customers than firms who do not especially target them.     

The Relationship Between Consumer-Brand Identification and Brand Extension

The present research aims at examining the role of consumer-brand identification (CBI) in attitude toward brand extension regarding the congruency between the values of consumers and brands. In this way, the benefits of CBI to consumers and brand managers are outlined. This research has been conducted through designing a survey and collecting data through a questionnaire. For data mining and investigating the model, the SEM approach is implemented. According to the findings, high levels of CBI lead to positive attitudes toward the brand extension, and that value congruity positively impacts this relationship. The results outline that CBI impacts fit and tie in separate ways, so that CBI effect on fit is more substantial. Furthermore, according to the results, in comparison to the role of tie, the role of fit is more significant in predicting attitudes toward brand extension. The sample from university students is appropriate for testing theory, but limits generalizing the results of the research. In addition, this research has studied one product category and is limited in this perspective. The findings have remarkable recommendations for implementing brand extension as they emphasize the role of perceived fit. Moreover, by reexamining CBI in a less known market, the research has outlined its positive outcomes for firms. This research has used perceived tie in a brand extension context and, similar to perceived fit, has implemented it as another factor to predict attitude toward brand extension. In addition, this research is unique, as it has investigated CBI in a new context.     

基于运行规划的能源综合服务系统能效管理研究

以浙江电网企业转型现代能源综合服务的具体战略与发展规划为研究背景，针对能源综合服务系统的运行规划目标，开展基于运行规划的能源综合服务系统能效管理研究。从系统工程的视角出发，以能源流为纽带，基于多尺度能源系统建模方法，构建了能源综合服务系统模型，并结合系统综合能效，采用粒子群优化算法来优化系统各设备单元的运行策略，以实现基于运行规划的最优能效管理。通过能源综合服务系统模型计算表明，大规模清洁能源和可再生能源的接入，可以明显提高系统综合能效；随着区域用户总冷量和/或总热量需求占总电力需求的比值增大，系统最优综合能效逐渐增大；与使用内燃机、燃气轮机及汽轮机为原动机的热电联产系统相比，使用燃料电池为原动机的热电联产系统可以使能源综合服务系统综合能效更优。     

基于双重约束的区域耕地整理适宜性评价研究

[目的]科学合理的适宜性评价是确保耕地整理能够有效开展的前提条件,同时对于我国的耕地保护与粮食安全保障也具有极为重要的意义。[方法]该研究首先选取可以反映区域耕地整理适宜性的指标因子,然后参考胡学东提出的约束条件评价模型,引入区域生态安全和社会经济双重约束,对研究区域在双重约束下的耕地整理适宜性进行评价,并通过K-Means聚类法将研究区域的耕地整理适宜性分区进行合理划分。[结果]生态安全约束和社会经济约束对区域耕地整理适宜性水平具有重大影响,高生态安全约束与高社会经济约束会降低耕地整理的适宜性,低生态安全约束与低社会经济约束会提高耕地整理的适宜性。[结论]引入生态安全约束和社会经济约束后,可以在一定程度上反映山地区域在社会经济与生态安全双重约束状态下的耕地整理适宜性情况,耕地整理适宜性评价结果更加符合当地实际情况,约束条件评价模型可以更加合理准确地对处于约束条件下的耕地整理适宜性进行评价,是对耕地整理适宜性评价方法的丰富与完善。     

A review of empirical research on interorganizational relations in tourism

During the last few decades, a growing body of literature has been produced on various aspects of interorganizational relations (IOR) in tourism. This paper provides a review of that literature. The findings are based on a review of 269 empirical papers published in 37 tourism journals between 1989 and the first quarter of 2017. The review identifies six main research themes relating to relationship formation, structure and activities, governance, maintenance, outcomes, and evolution. Based on the insights from this review, an organizing framework for research on IOR in tourism is developed and four opportunities for advancing research on IOR in tourism are proposed relating to the pursuit of causal inference, supply networks as a unit of analysis, quantifying outcomes of IOR in tourism, and addressing marginalized topics.     

The relationship between national culture and the use of professional services: Evidence from two cross-country studies

Each year, clients spend large sums on professional services, such as accounting services, legal services and consulting services. While research has found significant cross-country differences in organizations’ spending on professional services, we do not know why they occur. Inspired by the organizational buying behavior literature, this paper investigates the influence of national culture on the use of professional services, particularly management consulting services. As the use of professional services involves considerable uncertainties—particularly for the buyer—it can be assumed to be influenced by cultural differences regarding the level of Uncertainty Avoidance, Individualism and Masculinity. By drawing on two independent cross-country studies, we show that organizations in high uncertainty avoidance and individualistic cultures use professional services less than organizations in low uncertainty avoidance and collectivist cultures. We found no relationship between Hofstede's dimension of Masculinity and the use of professional services. The findings contribute to the theorizing on how the cultural context influences organizational buying behavior and the purchasing of professional services.     

耕地流转与规模经营改善了农业环境吗？ ——基于耕地利用行为对农业环境效率的影响检验

研究目的:基于2007—2016年26省农业生产数据,测算"面源污染"和"碳排放"两类非期望产出下的农业环境效率,构建"耕地流转—利用规模—利用方式与利用强度—农业环境效率"的传导路径并进行计量检验。研究方法:超效率SBM模型,中介效应模型。研究结果:(1)耕地流转并未显著提高农业环境效率,但耕地利用规模对农业环境效率的影响呈倒U型;(2)耕地流转有助于扩大耕地利用规模,进而在样本中对农业环境效率呈现负向影响。与此同时,耕地流转对农业环境效率也存在正向的直接效应,正负效应基本抵消;(3)耕地利用规模主要通过改变化肥和机械投入强度进而负向影响农业环境效率。研究结论:农业环境效率受耕地流转、利用规模、利用方式和强度等多重因素影响,呈现明显的传导路径,因此,为了提高农业环境效率,在积极推行土地流转和规模化经营政策时,要注意结合地区农业生产力和地理环境,避免盲目扩大经营规模,同时鼓励规模经营主体引进农业绿色环保技术,注重农业生产资料的合理利用。     

区域耕地生态价值补偿量化研究——以新疆为例

[目的]在耕地保护形势日趋严峻的情形下,开展耕地生态价值补偿量化研究对了解耕地外部性价值的大小及深化耕地生态价值的量化方法和思路具有重要意义。[方法]文章以新疆为例,从14个地州市的耕地生态服务价值出发,将生态超载指数作为耕地生态服务价值与生态足迹在各地州市转移的测度,同时综合考虑各地州市的经济发展状况,通过构建市域生态价值补偿量化模型分别测算各地州市耕地生态价值补偿量。[结果](1)2015年新疆耕地生态服务价值整体上有盈余输出,全疆共可获得生态补偿费103.31亿元;(2)2015年新疆南北疆耕地生态服务价值比为1:1.7,生态足迹总量比为1:2.2,生态超载指数北亏南盈,表明南北疆耕地生态足迹和耕地生态服务价值间呈"空间异位"格局;(3)新疆北疆乌鲁木齐市、克拉玛依市、吐鲁番市及哈密市共需支付耕地生态补偿费55.67亿元,北疆(乌鲁木齐市、克拉玛依市、吐鲁番市及哈密市外)和南疆地区分别可获得生态补偿费为96.59亿元和62.39亿元。[结论]该文可为新疆各地州市构建耕地生态价值补偿路径提供新思路,也可为以耕地生态价值量确定耕地保护指标和构建耕地生态补偿机制提供参考。     

The role of brand personality,self-congruity,and sensory experience in elucidating sky lounge users’ behavior

This study attempted to develop an integrated model linking brand personality, self-image congruity, hedonic and utilitarian values, and behavioral intentions in the sky lounge context. Our results indicated that brand personality was significantly related to self-image congruity, which in turn influenced hedonic and utilitarian values. While hedonic value significantly affected intentions to revisit and recommend, utilitarian value significantly influenced intention to recommend. Moreover, self-image congruity and values played a significant mediating role. Furthermore, the links from hedonic value to intentions to revisit and recommend, and from utilitarian value to intention to revisit were significantly moderated by sensory experience.