基于AHP的中原经济区城市竞争力研究

文章以层次分析法为基础,求得中原经济区各城市竞争力影响因素的权重值,然后以2010年各城市的数据进行加权求和得到各城市的竞争力得分并进行了分析与等级划分。最后运用主成分分析法对层次分析法的结果进行了检验,在检验通过的基础上对中原经济区城市的发展提出了一些政策建议。     

THE EFFECT OF PROJECT RISK ON CAPITAL RATIONING UNDER UNCERTAINTY

The purpose of this paper is to investigate the effect of project risk on capital rationing with uncertain budgetary constraints. We reflect project risk by the standard deviation of cash flows. The problem is formulated in a stochastic linear programming with simple recourse (SLPSR) framework. In a sample problem, we vary the level of project risk and allow the probability distribution for the right-hand side constraints to be either symmetric or left skewed. We demonstrate that SLPSR yields superior solutions to an equivalent deterministic formulation and that risk aside, the borrowing rate is an important factor in determining the optimal solution vector. Moreover, we show that low project risk can compensate for higher borrowing costs and that the presence or absence of probability distribution asymmetry may not be an important issue.     

基于IFAHP的房地产企业投资风险评价

房地产企业投资是一个高风险行业,为避免投资失误,提高决策水平,进行房地产企业投资风险评价具有一定的理论和实践意义。针对房地产企业投资风险的复杂性和不确定性,在借鉴近期国内有关房地产企业投资风险相关研究和分析基础上,利用问卷调查法对投资风险因素进行了识别,构建了风险评价指标体系,并采用改进模糊层次分析法对风险指标体系进行了评价分析,从理论上找出影响房地产企业投资的关键风险因素,为房地产企业投资风险评价提供了较为合理的参考依据,使投资决策更为科学。     

投资项目的风险分析

初步探讨投资项目风险的含义及主要分类方法,对几个决策失误的典型项目进行简要分析,提出要强化项目风险意识,科学、公正、谨慎决策,投资体制改革的核心问题是投资者自负盈亏。     

DIVERSIFICATION AS REAL OPTIONS AND THE IMPLICATIONS ON FIRM-SPECIFIC RISK AND PERFORMANCE

The management literature posits that firms can create value through diversification. In contrast, the established finance literature concludes that diversified firms destroy value.

This paper suggests a way to reconcile these two warring camps by articulating a new theory of the way in which diversification can add value not by increasing performance, but by reducing risk in ways mat investors cannot replicate.

Specifically, diversification, understood dynamically, provides a way for companies competing in especially turbulent industries to hedge the competitive risk attendant to “convergence” phenomena. That is, in industries where the optimal operating scope of a firm is in question because the promise of convergence cannot be exploited using market-mediating mechanisms, firms will “over diversify” as a hedge against uncertain future reconfigurations of industry boundaries.

In other words, these firms diversify as a way to create “real options” on future integration. These options create a form of “strategy insurance” that investors can not recreate with a portfolio of focused firms: investments in two separate, focused firms do not create an option on a single firm that encompasses the activities of those two companies. As uncertainty spawned of convergence begins to fade, strategically-hedged firms will re-focus their operations by exercising or abandoning their options on integration in a manner appropriate to the demands of their newly-defined marketplaces.

Option-creating diversification has potentially profound implications on operating performance and risk profile. Most significantly, options-based diversification is asserted to cause the operating performance of such firms to fall as they diversify and increase as they focus, in keeping with the observations of the finance literature. Yet the firms will have created value for shareholders by compensating for significant strategic risks that investors cannot otherwise hedge.     

The risk‐return paradox for strategic management: disentangling true and spurious effects

The concept of risk is central to strategy research and practice. Yet, the expected positive association between risk and return, familiar from financial markets, is elusive. Measuring risk as the variance of a series of accounting‐based returns, Bowman obtained the puzzling result of a negative association between risk and mean return. This finding, known as the Bowman paradox, has spawned a remarkable number of publications, and various explanations have been suggested. The present study contributes to this literature by showing that skewness of individual firm' return distributions has a considerable spurious effect on the empirically estimated mean‐variance relationship. I devise a method to disentangle true and spurious effects, illustrate it using simulations, and apply it to empirical data. It turns out that the size of the spurious effect is such that, on average, it explains the larger part of the observed negative relationship. My results might thus help to reconcile mean‐variance approaches to risk‐return analysis with other, ex‐ante, approaches. In concluding, I show that the analysis of skewness is linked to all three streams of literature devoted to explaining the Bowman paradox. Copyright © 2008 John Wiley & Sons, Ltd.     

Optimal Sharing of Interest‐Rate Risk in Mortgage Contracts: The Effects of Potential Prepayment and Default

Much of the literature on the economics of mortgage markets has studied the fixed vs. adjustable‐rate mortgage choice made by individual borrowers. However, to decide if the outcome of such a choice is efficient or approximately so, it is necessary to explore the question of optimal risk‐sharing in mortgage contracts. But because only a small literature has studied this question, more research is clearly warranted. The present article helps fill this gap by developing a simplified version of Arvan and Brueckner's model, using it to characterize optimal contracts in the absence of mortgage termination, and then exploring how termination via prepayment or default affects optimal risk‐sharing. The broad conclusion of the analysis is that potential mortgage termination makes higher risk exposure for borrowers optimal.     

A multiple ant colony optimization algorithm for the capacitated location routing problem

The success of a logistics system may depend on the decisions of the depot locations and vehicle routings. The location routing problem (LRP) simultaneously tackles both location and routing decisions to minimize the total system cost. In this paper a multiple ant colony optimization algorithm (MACO) is developed to solve the LRP with capacity constraints (CLRP) on depots and routes. We decompose the CLRP into facility location problem (FLP) and multiple depot vehicle routing problem (MDVRP), where the latter one is treated as a sub problem within the first problem. The MACO algorithm applies a hierarchical ant colony structure that is designed to optimize different subproblems: location selection, customer assignment, and vehicle routing problem, in which the last two are the decisions for the MDVRP. Cooperation between colonies is performed by exchanging information through pheromone updating between the location selection and customer assignment. The proposed algorithm is evaluated on four different sets of benchmark instances and compared with other algorithms from the literature. The computational results indicate that MACO is competitive with other well-known algorithms, being able to obtain numerous new best solutions.     

Risk measures in strategic management research: auld lang syne?

Risk is an integral component of strategic management decisions and often appears as an element of empirical studies reported in the strategic management literature. Recent methodological research in the financial economics and management science literatures has, however, raised serious questions about the strategic management literature’s two most widely used measures of firm and business‐level risk: beta (or its derivatives) from the Capital Asset Pricing Model and simple variance (or its variants). This research reviews risk studies published in leading management journals in the past 15 years and summarizes the recent methodological findings in the adjacent literatures. We discuss the implications of these findings for our understanding of risk in strategic management and assess alternative measures of risk and conclude with a discussion of directions for future strategy research. Copyright © 1999 John Wiley & Sons, Ltd.     

Multi-product newsvendor problem with value-at-risk considerations

We consider the single period stochastic inventory (newsvendor) problem with downside risk constraints. The aim in the classical newsvendor problem is maximizing the expected profit. This formulation does not take into account the risk of earning less than a desired target profit or losing more than an acceptable level due to the randomness of demand. We utilize Value at Risk (VaR) as the risk measure in a newsvendor framework and investigate the multi-product newsvendor problem under a VaR constraint. To this end, we first derive the exact distribution function for the two-product newsvendor problem and develop an approximation method for the profit distribution of the N-product case (N>2). A mathematical programming approach is used to determine the solution of the newsvendor problem with a VaR constraint. This approach allows us to handle a wide range of cases including the correlated demand case that yields new results and insights. The accuracy of the approximation method and the effects of the system parameters on the solution are investigated numerically.     

Home Equity Conversion Instruments with Fixed Term to Maturity: Alternatives to End of Term Pay-Off

Standard reverse annuity mortgages obligate the lender to take on the risk that an elderly homeowner will desire to remain in a residence after the RAM has reached maturity. In this case, the best the lender can hope for is that the property will have appreciated sufficiently that the loan can be carried at interest only. There is a possibility for lender loss but not gain over contracted return.
Alternatives to the standard RAM are explored in this paper with most attention devoted to shared appreciation and shared equity RAMs. These alternative instruments appear to solve the problem of maturity risk.     

Ant colony optimization for the single model U-type assembly line balancing problem

An assembly line is a production line in which units move continuously through a sequence of stations. The assembly line balancing problem is defined as the allocation of tasks to an ordered sequence of stations subject to precedence constraints with the objective of optimizing a performance measure. In this paper, we propose ant colony algorithms to solve the single-model U-type assembly line balancing problem. We conduct an extensive experimental study in which the performance of the proposed algorithm is compared against best known algorithms reported in the literature. The results indicate that the proposed algorithms display very competitive performance against them.     

Risk sharing in procurement

We introduce bilateral risk aversion into the mixed adverse selection - moral hazard model of Laffont and Tirole (1986). The presence of exogenous risk interacts with the adverse selection problem in interesting ways. In particular, we show that it is never optimal to present the firm with a fixed price contract, that the efficient firm typically bears more risk than the inefficient firm, and that an increase in exogenous risk may bring about a decrease in expected cost of the project. As a by-product, we also establish that the famous ‘no-distortion-on-the top’ result in adverse selection models relies on risk neutrality of the agent.     

Risk aversion and auction design: Theoretical and empirical evidence

Auctions are inherently risky: bidders face uncertainty about their prospects of winning and payments, while sellers are unsure about revenue and chances of a successful sale. Auction rules influence the allocation of risk among agents and the behavior of risk-averse bidders, leading to a breakdown of payoff and revenue equivalence and a heightened significance of auction design decisions by sellers. In this paper, we review the literature on risk aversion in auctions, with an emphasis on what can be learned about auction design from theoretical modeling and empirical studies. We survey theoretical results relating to the behavior of risk-averse agents in auctions, the comparison of standard auction formats in the presence of risk aversion and implications for auction design. We discuss standard and more recent approaches to identifying risk preferences in empirical studies and evidence for the significance of risk aversion in auction applications. Finally, we identify areas where existing evidence is relatively scant and ask what questions empirical research might ask given the theory and where further theoretical research may be beneficial given existing empirical results.     

碳中和视角下我国商业银行财务风险的优化对策

我国2060年碳中和目标的提出对我国商业银行来说既是新的机遇,也是新的挑战.在此环境下商业银行财务风险的控制就显得尤为重要.因此文章首先通过回顾相关文献,研究了当前学界关于碳中和事业目标下我国商业银行财务风险控制的研究进展,其次通过分析四大国有商业银行财务现状和绿色金融发展情况,指出其中存在的问题;最后在碳中和宏观视角...     

A binary solution method for the multi-product newsboy problem with budget constraint

Multi-product newsboy problem (MPNP) with budget constraint is a classical inventory control/management problem. However, solution methods for MPNP under general demand distributions are limited in the current literature. In this paper, by analyzing properties of the optimal solution to the MPNP with a budget constraint, we develop a solution algorithm for the constrained MPNP. The proposed algorithm is binary in nature, and is applicable to general types of demand distribution functions, discrete as well as continuous. For continuous demand distribution function, our approach can obtain the optimal or near optimal solution to the constrained MPNP with polynomial computation complexity of the o(n) order. On the other hand, for discrete demand distribution functions, it can effectively provide good approximate solution. Numerical experiments are presented to show the performance of our method.     

Product Market Volatility and the Adjustment of Earnings to Risk

This investigation of compensating wage differentials uses an instrument for the risk of unemployment, namely, the industry-specific shipment volatility, to address some empirical anomalies found in the literature. I find that risk premiums for the risk of unemployment range from 8.5 to 19 percent when the covariance between shipment volatility and total manufacturing employment is taken into account. Covariance risk requires positive premiums that range from 1.4 to 14 percent depending on the specification.     

Modular risk management: an applied example

A major problem for managers is to effectively manage the high risks inherent in moving a new product from idea to market introduction. An example is presented in which a company effectively manages the process of developing a new product by effectively managing risk. The process is characterized by a modular approach to risk and timely review points built into each risk management module. Explicit recognition is made of the major uncertainties at the end of each module and specific actions taken to reduce these uncertainties and therefore reduce risk.     

Post-Failure Success: Sensemaking in Problem Representation Reformulation

Failure is an inevitable feature of innovation, and management research promulgates the importance of learning from it. Key to excelling at an innovation-based strategy is understanding the processes that can turn failures into successes. However, post-failure success remains elusive. Although failure signals that the innovation journey is off course, shifting trajectory is difficult, because it may require revising assumptions and reformulating the project’s problem representation. Using comparative case studies, this study set out to understand how problem representations are reformulated. Employing case method and comparing data versus theory iteratively, the important role of sensemaking and of leadership behaviors in driving post-failure success became salient. Findings show that problem representations post-failure require a process of problem formulation characterized by sensemaking and that innovative solutions are enabled by the reformulation of problem representations that spring from prospective sensemaking. Furthermore, this article identifies leadership change behavior as the linchpin driving a problem formulation process characterized by prospective sensemaking that catalyzes innovative solutions and explains why some projects thrive post-failure and others do not. This article provides empirical support to the theoretical work of the literature on problem formulation, while extending the learning-from-failure literature by emphasizing and demonstrating the process driving post-failure success. The major implication of our study is that different leadership behaviors may foster different types of sensemaking (retrospective or prospective), and that, in turn, the type of sensemaking matters for how a problem is reformulated. Ultimately, this article concludes that in the context of project failure, problem reformulation that springs from prospective sensemaking enables innovative solutions post-failure.     

Reverse Mortgages and Borrower Maintenance Risk

This paper develops a theoretical model of the problem of maintenance risk in reverse mortgages (RMs) and home equity conversion instruments generally. By maintenance risk, we refer to the incentive homeowners will have to reduce maintenance expenditures as their equity in the house falls during the term of the RM. The underlying reason for this tendency is the limited liability feature of RMs, given that a borrower's obligation to the lender at. maturity is limited to the value of the house.
The results of the model show that lenders will respond to this problem either by limiting the amount of RM loans to guarantee that maintenance risk is not a threat, or by charging an interest rate premium to cover the expected cost of default. Unfortunately, there do not exist data to test the importance of maintenance risk as a possible limitation on the extent of the RM market.