Re-Focusing the Business School Agenda

This commentary agrees with Starkey and Madan (2001) that business schools must incorporate Mode 2 production methods if they are to be significant knowledge producers in the future. We reinforce their specific suggestions about how that might be accomplished by focusing on learning from early Mode 2 attempts, promoting practitioner research, seeking business co-sponsorship and sheltering some Mode 1 practices and values, including longitudinal reflective research and information storage. We also argue, however, that business schools must go beyond such tasks, difficult and expensive though they are. The way business and business schools currently operate, and are being encouraged to operate, does not address the broader issues of human relevance that concern James March (1998) and others. The gap here is a risk for business and society, and appears to require new, Mode 3, methods of knowledge production.     

Building Reputations: The Role of Alliances in the European Business School Scene

How should businesses best choose foreign partners as they seek to internationalise? We use reputation theory to examine this question. Building reputation is a key aim on the European Business School scene, and this article starts by using more than 2,000 articles written by European academics in top quality journals to update the LRP research reputation rankings of European Schools. We then look at the way international research collaboration takes place, and find that alliances between schools are far from random. It seems that academics from US and European schools are strongly attracted to form alliances with one another, and the choice process appears to be consistent with reputation theory that suggests US schools seek out the most reputable foreign partners. Moreover, the “charmed circle” of high-reputation partners appears to be defined on a country-to-country basis rather than from a whole-Europe perspective. The lessons for managers in internationalising industries are that international alliance choice must include a reputation perspective, with great care being paid to the exact nature of the foreign partner's achievements.     

投资组合协方差矩阵的性质与最优组合的选择

投资组合协方差矩阵的正定性向来被研究人员所默认,从而对于非正定的情形研究不多。本文对协方差矩阵的性质进行了研究,证明了协方差矩阵正定的充分条件,同时深入地分析了非正定条件下的最优组合的选择问题。并指出 :当协方差矩阵非正定时,要么存在套利机会,要么存在有效子集 (即有多余的证券存在 )。     

重庆工商大学管理学院

重庆工商大学是位于西部的一所具有鲜明财经特色的多科性大学,学校有5个学院归属于管理类学科,包括管理学院、商务策划学院、会计学院、旅游与国土资源管理学院、社会发展与公共管理学院。管理学院是学校的龙头学院之一,现有教职员工60人,其中教授14人、副教授22人。教师中博士研究生导师、硕士研究生导师共计24人,具有博士学位的教师16人。学院拥有重庆市学术技术带头人2名,重庆市及学校优秀中青年骨干教师7名。     

基于DEA的上市公司业务转型有效性分析与实例研究

自20世纪90年代后期来,随着新经济浪潮的不断掀起和竞争的不断加剧,我国上市公司业务转型现象日渐增多.本文引入DEA方法,以青岛双星为例,从个案视角对上市公司实施业务转型的有效性进行了评价和分析.     

有效市场投资组合的识别与确定

Sharp、Lintner和Mossin发现的资本资产定价模型(CAPM)是一个一般均衡模型,不仅使人们提高了对市场行为的了解,而且还提供了实践上的便利,同时也为评估风险调整中的业绩提供了一种实用的方法。因此CAPM为投资组合分析的多方面的应用提供了一种原始的基础。然而,在1977年RichardRoll对CAPM的检验提出了尖锐的批评,批评的关键之一就是有效市场投资组合是否能得到识别。本文运用自己独创的一种几何方法解决了这个长达二十余年的国际性难题。本文首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将资本市场线(CML)也用投资组合的权重向量表示出来,再由CML的定义就求出这个有效市场投资组合了。     

Problematizing ‘Relevance’ in the Business School: The Case of Leadership Studies

In recent years, the discourse of ‘relevance’ has risen to prominence in the university‐based business school. At the heart of this discourse is the suggestion that management researchers should align their research practices more closely with the needs of practitioners in external organizations. One important but under‐researched strand of this debate focuses on the way in which ‘relevance’ is pursued by business scholars via forms of practitioner engagement such as management consulting, corporate presentations, executive education and personal coaching. Drawing on extensive semi‐structured interviews, this paper explores the motivations, rewards and tensions experienced by leadership scholars in the process of engaging with practitioners. This study suggests that the pursuit of ‘relevance’ may come into conflict with norms of scholarly conduct, which in turn gives rise to a series of trade‐offs and compromises. Ultimately, the authors argue that the prevailing discourse of relevance provides an alibi for scholars to orient themselves towards practitioners in ways that contravene their academic identity and research ethos (whether post‐positivist, interpretivist or critical).     

基于信息更新的动态资产组合选择

本文研究了不完全信息下风险资产收益前两阶矩的参数不确定性对动态资产组合选择的影响。首先,在连续时间下假设资产价格服从随机扩散过程,引入参数不确定性,运用随机控制方法推导出风险资产最优选择的封闭解,给出定性分析。其次,在离散时间下用一阶自回归模型描述风险资产收益动态,基于贝叶斯分析框架,以上证综合指数不同区间段的两个样本做实证研究。结果表明,当投资者的风险规避程度大于(小于)对数效用时,参数不确定性将导致负(正)的投资期效应;当投资者在估计过程中运用较多的历史数据、或者风险规避程度增加时,参数不确定性的影响将减弱;参数不确定性下的资产组合选择可解释风险溢价之迷。研究说明了在动态资产组合选择过程中应考虑参数不确定性问题。     

效用函数意义下投资组合有效选择问题的研究

我们知道,每个投资者在进行投资过程中,都有自己对收益与风险的偏好程度,即投资活动要遵循一个关于收益与风险的效用函数。按照古典经济学的分析,这个效用函数称为无差异曲线 (IDC),它是用均值 -方差来表现风险 -回报率相互替换的大小和形式的。每个投资者都拥有一条无差异曲线来表示他对于预期回报率和标准差的偏好。那么投资者如何确定他的一条无差异曲线,使他的最佳资产组合位于这条无差异曲线上 ?本文运用自己独创的一种几何方法解决了这个难题。本文首先把Markowitz模型的有效前沿用投资组合的权重向量表示出来,然后将无差异曲线也用抽资组合的权重向量表示出来,再由资产组合的有效选择原则就求出这个无差异曲线了。     

Entrepreneurship and Small Business Management: Can We Afford to Neglect Them in the Twenty-first Century Business School?

This article reviews the case for business schools becoming more seriously involved in teaching and research in the field of entrepreneurship and small business. It begins by reviewing some of the global pressures that underpin the need for management schools to devote more serious attention to these phenomena. It then argues the central case for a clear conceptual stance to be taken on the relationship between small business and entrepreneurship as a basis for core programme and pedagogical design. It finally reviews the key issues of change that will confront business schools wishing to move into this area under the three headings of: involvement with the community; teaching and research; and organization design.     

基于时变相关系数的动态投资组合策略

在金融市场中个股收益率之间具有高度相关性,这种相关性的强弱程度随时间变化而改变.采用基于高频数据的已实现协方差刻画个股收益率间的相关性时变特征,真实反映投资组合中个股收益率间的相关情况,通过GARCH模型把投资组合的各期收益率的方差有效地连接起来,建立收益率方差之间的递推关系,从中分离出持续方差,构建总持续方差,进而把总持续方差作为二次规划模型的目标函数建立在控制风险扩散意义下的动态投资组合模型,求得该模型的解析解.实证结果表明,时变相关系数的引入将投资组合收益率在负半轴的波动幅度控制在较小的范围,说明基于时变相关系数建立的动态投资组合模型对控制风险的扩散具有实践意义.     

The Effect of Competition on R&D Portfolio Investments

Although project portfolio management has been an active research area over the past 50 years, budget allocation models that consider competition are sparse. Faced with the competition, firms contemplating budget allocation for their project portfolio cannot limit their attention to the returns from their projects' target markets, as is the case for monopoly firms, but must also anticipate the competitive effects on these returns. Assuming firms allocate their budgets between projects offering incremental innovation targeting a mature market and projects offering radical innovation targeting an emerging market, we show that while the monopoly firm bases its budget allocation decision solely on the marginal returns of the markets, competing firms—as they take into account their counterparts' investment decisions—need to also consider the projects' average returns from their respective markets. This drives competing firms into incrementalism: faced with competition, firms invest larger portions of their budgets into projects targeting mature markets. This effect is amplified as the number of competing firms increases and firms allocate an even greater share of their budget into projects targeting a mature market. We further demonstrate the effects that changes to firms' individual budgets, as well as to market characteristics, have on firms' budget allocation decision.     

多期风险资产组合的有效前沿

本文讨论了多期投资组合的有效前沿的若干性质,通过对多期与单期的投资组合有效前沿的比较说明了长期投资中风险的特点.文章还以外汇资产为例,给出了一个实际计算的结果.     

基金投资组合的事前与事后分析

根据2000年12月31日的沪、深证券市场的基金公告,利用Markowitz有效边界理论,在不允许卖空的市场条件下,对沪、深证券市场中的6个基金的主要股票投资决策分别进行了事前分析与事后分析,进而对基金主要股票投资组合决策的优劣及其在证券市场上的运行业绩进行了评价.     

基于行业组合的贷款总体风险优化决策模型

应用资本资产定价模型中的单因子模型表达贷款收益和风险函数,以不同行业贷款组合后的总体风险最小化为目标,运用非线性规划方法建立了基于组合贷款总体风险优化的行业贷款分配模型。通过负相关行业的风险对冲,避免了选择单个或少数行业进行贷款所导致的、当该行业不景气时的系统性风险对贷款质量的影响,降低了贷款组合的系统性风险。从组合贷款总风险中分离出系统风险和非系统风险,并通过实例验证行业组合可以降低系统性风险,显示通过行业组合可以部分地抵消由于行业自身所产生的系统性风险。     

Product Portfolio Strategies: The Case of Multifunction Products

Motivated by the proliferation of multifunction products, we investigate product portfolio decisions of a single firm by analyzing the impact of three major factors. First, because multifunction products provide complete or partial functionalities of single‐function products, we incorporate substitution or cannibalization effects between the potential products. Second, we explicitly model the variable costs of manufacturing the single‐function and multifunction products. Third, we examine the firm's pricing decisions because of their impact on the degree of cannibalization between the multifunction product and one or more single‐function products. Using an economic model, we first characterize the firm's optimal product portfolio (through a quantity‐based decision), which in turn determines the market equilibrium prices for each product in its portfolio. Some of the unique insights stemming from our analysis are: (a) the optimal product portfolio choice is driven primarily by maximum profit margins for the single‐function products weighted by the demand substitution effects; and (b) from a product design perspective, the complete functionality of the base single‐function product is always included in the optimal product offering, but this is not necessarily the case with the complete functionality of the nonbase single‐function product.     

存在风险容差约束的模糊投资规划研究

在模糊不确定环境下,利用证券价格为梯形模糊数的模糊AR时间序列预测证券价格,描述市场运动趋势,将半绝对偏差风险约束调整为模糊松弛约束,在均值-半绝对偏差框架下,构建出目标函数服从梯形模糊数的可能性分布,风险约束为模糊松弛约束的模糊投资规划,并求得了有效性前沿。采用上证50的15只指标股进行实证检验,表明:规划可以给投资者带来较高的投资满意度水平;规划考虑了市场趋势,具有决策的针对性;风险的容差水平体现了投资者自身评定程度,在不同的市场行情下,风险容差水平具有不同的作用;规划比均值-半绝对偏差模型具有更高的有效性前沿,更加具有投资的针对性。     

奈特不确定性下的资产及其组合的惰性区间

不确定性是证券市场的基本特征之一,是资产定价和投资者交易行为等研究的主要内容。标准期望效用理论认为投资者具有唯一的资产执行价格,当市场价格高于执行价格时,投资者出售资产;反之,则会购进。然而,源于不确定性的存在,资产的均衡价格或交易价格并非某一确定值而是某一区间;在此区间内,投资者无交易行为,我们称之为资产的惰性区间。本文假定投资者是不确定性规避型,基于可行域上的容度,引入测度奈特不确定性程度的等级参数,研究奈特不确定性下的资产及其组合的惰性区间。基于容度期望效用模型,利用容度代替概率测度表征投资者预期效用,提出奈特不确定性下投资者决策行为的偏好表达式;基于对偶测度构建资产交易的惰性区间,分析奈特不确定性程度与惰性区间的关系;最后,基于Black-Scholes期权定价模型,选择存续期为2008年10月-2011年8月的江铜认购权证和长虹认购权证为研究对象,以其单资产及不同比例资产组合的日收益数据为样本予以实证。结果表明：随着奈特不确定性程度的不断增强（减弱）,资产及其组合的惰性区间不断扩大（缩小）,市场流动性随之下降（上升）;随着奈特不确定性程度的增强,高价格、高波动率的资产及其组合的惰性区间变化更为明显;在适度的奈特不确定性程度范围内,高波动率的资产及其组合的交易相对活跃。研究解释了证券市场上的“非市场参与”之谜和“特质波动率”之谜,说明了证券市场上的“有限市场参与”特征,为资产定价与市场流动性关系的研究提供了参考。     

投资组合风险价值蒙特卡罗模拟的程序设计

本文在投资组合风险价值公式的基础上,给出了其投资组合风险价值的蒙特卡罗模拟步骤,设计了求解投资组合风险价值的计算程序,提高了其计算效率.