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.     

Marketing research and revenue optimization for the cruise industry: A concise review

This paper presents a concise review of the cruise industry mainly from marketing research and revenue optimization prospects. In recent years, the cruise industry has experienced an exciting growth. However, as one of the fastest growing and most profitable categories in the entire leisure market, this industry has hardly received any research attention. Given the limited academic articles, this paper presents a concise review about this budding research topic. First of all, a discussion about global cruise industry is conducted. Then, academic studies of the cruise industry on general marketing research, revenue management, itinerary design/optimization, optimal market segmentation, demand infiltration and economic issues are reviewed. Finally, some promising directions for future research are presented.     

基于过程的质量目标设置方法

结合ISO9004组织质量对实现持续成功的指南中过程管理方法,提出基于过程的质量目标设置方法,并阐述如何基于过程确定质量目标项和设置质量目标值,解决当前质量目标管理质量目标设置有效性的问题。     

政务流程的解析、优化与重构

政务流程的优化是电子政务建设的核心与难点问题,是构建服务型政府的重要内容.文章以信息、业务与责任构建政务流程的解析模型,将结构复杂、内容多样的政务流程进行统一而直观地解析,把复杂的政务流程分解为信息流、业务流与责任链三个相对独立的子流程,并按效率、效能这两个核心的行政价值为尺度,对政务流程进行系统地优化.论文提出了由政务流程解析、优化与重构三个连续阶段构成的政务流程渐进改进的循环模型.     

基于泛长三角区域分工合作的黄山市旅游产品结构优化

文章阐述了优化旅游产品结构对黄山市参与泛长三角区域分工合作的意义,分析了长三角区域旅游产品结构现状和黄山市旅游产品结构特征及存在的问题,提出了实现基础层次观光型旅游产品高级化,大力发展休闲度假、康体娱乐等提高层次的旅游产品,积极发展商务会议、乡村旅游、生态旅游、体育旅游、修学旅游等专门层次的旅游产品,促进文化与旅游深度结合,加强与泛长三角区域互动性开发等黄山市旅游产品结构优化对策。     

基于DEA的物流产业效率测度实证研究——基于我国31个省、市、自治区2008年投入产出数据

文章运用DEA的CCR模型和“超效率”(Super-Efficiency)模型,根据我国31个省、市、自治区2008年物流产业投入产出数据,利用Deap2.1和DEA-Sotver-J.V两个软件对物流产业投入产出效率进行实证研究.结果表明:以上海为代表的15个省市、自治区物流产业投入产出这到相对有效,以北京为代表16个省、市、自治区存在投入冗余,以内蒙古为代表的欠发达地区存在投入不足,产出效率偏低.同时,在非DEA有效省、市、自治区,表现出规模效率大于纯技术效率,进而影响了相对效率,文章对此进行投影分析,并以内蒙古为例,探讨了物流产业投入产出如何实施DEA效率改进.     

服务业中基于六西格玛管理的客户中心化流程的优化

本文通过分析服务业流程特点,为服务业提供实施六西格玛管理模式与框架,优化服务业流程,为服务业实施六西格玛管理提供参考。     

提高我国高新技术产业专利产出水平的对策研究

我国高新技术产业专利申请数量虽然增长很快,但同时又存在缺乏自主创新、产出数量少、发明专利少、产出效率低、缺少研发人才等问题。提高我国高新技术产业专利产出水平,必须从战略上确立自主创新发展自己的核心技术、实施企业专利战略、提高科技投入强度和效率、保护知识产权、营造创新环境、建设创新型科技队伍。     

Trends in Agricultural Incomes: An Analysis at the Select Crop and State Levels in India

India's agricultural sector is at a crossroads, facing challenges of stagnation in crop yields, non‐remunerative prices, falling crop incomes and tardy responses from public service systems. There are reports of peasant suicides due to non‐profitability of farming. However, scant empirical evidence is available on changes in real income and wages in the Indian agricultural sector. The present study uses data from the National Accounts Statistics and Cost of Cultivation Surveys to analyse the changes in real income and discusses the underlying reasons. The study reveals that the purchasing power of farmers has remained low and has worsened over recent years. The value of crop output has increased, but a disproportionate rise in input costs has resulted in a fall in crop incomes in several states, with the agriculturally developed Punjab being an exception. Interestingly, real wage rates for agricultural labour have shown an increasing trend, indicating improvement in the welfare of labour.     

从三层博弈关系看土地征收制度改革--基于某大学城征地案例的分析

研究目的分析地方政府和被征地农民、地方政府之间以及地方政府和上级政府间在土地征收上的三层博弈关系,探讨土地征收博弈过程中农民、地方政府、上级政府间的利益关系及由此产生的行为选择以及几者能否取得多赢的可能性,为中国土地征收制度改革方向选择提供理论依据.研究方法文献资料法、图示法和演绎法.研究结果中国现行土地征收制度存在诸多弊端,使博弈主体在各自行为上非理性选择.研究结论中国土地征收制度改革应该使得地方政府违法征地得到的好处变少;地方政府依法征地得到的好处变大;违法征地引起冲突的惩罚成本于地方政府变大,于农民变少;合法征地因被征地农民抵制引发强制执行的成本于政府变少,于农民变大.