基于M-Copula-GJR-VaR模型的黄金市场最优套期保值比率研究

基于VaR的风险测度方法既侧重收益的负向波动风险,又可通过置信水平的设定满足有不同风险偏好的投资者的需求.以具有金融和商品双重属性的黄金为实证对象,充分考虑现货和期货市场的非对称性、两者之间的协整关系以及非线性相关的特征,以风险最小化为原则,建立M-Copula-GJR-VaR动态套期保值比率估计模型.采用中国市场现货价格和期货价格数据,对比分析M-Copula-GJR-VaR模型与CCC-GARCH-VaR模型、DCC-GARCH-VaR模型、Clayton Copula-GJR-VaR模型和Gumbel Copula-GJR-VaR模型的套期保值比率和套期保值效果.研究结果表明,经过4年多的发展,套期保值效率处于0.672～0.704之间的中国黄金期货市场还不成熟,套期保值功能的发挥有待提高;采用M-Copula-GJR-VaR模型估计的套期保值比率最优且套期保值效果最好,应用该模型进行黄金市场套期保值操作,可达到以相对较少的套期保值成本较大程度地规避现货市场价格风险的目的.     

Using vulnerability performance indicators to attain food supply chain robustness

High effectiveness and leanness of modern supply chains (SCs) increase their vulnerability, i.e. susceptibility to disturbances reflected in non-robust SC performances. Both the SC management literature and SC professionals indicate the need for the development of SC vulnerability assessment tools. In this article, a new method for vulnerability assessment, the VULA method, is presented. The VULA method helps to identify how much a company would underperform on a specific Key Performance Indicator in the case of a disturbance, how often this would happen and how long it would last. It ultimately informs the decision about whether process redesign is appropriate and what kind of redesign strategies should be used in order to increase the SC's robustness. The applicability of the VULA method is demonstrated in the context of a meat SC using discrete-event simulation to conduct the performance analysis.     

An integrated modelling approach for raw material management in a steel mill

An integrated modelling approach combining optimisation models with simulation is proposed for coordinated raw material management at steel works throughout the whole supply chain management process. The integrated model is composed of three components: ship scheduling, yard operation simulation and material blending models. The ship scheduling model determines which brands, how much and when they should be arrived, and the problem is modelled as mixed integer linear programming. The simulation model is used to simulate the whole processes from ships’ arrivals to the retrieval of the materials through the berthing and unloading the raw materials. Finally, the raw material blending model is developed for determining the brand and quantity of raw materials to be used. The proposed integrated modelling approach for raw material management has been successfully implemented and applied at steelwork to provide shipping schedules and predict future inventory levels at stock yards. By coordinating all the activities throughout the entire raw material supply chain management process, this article proposes an integrated approach to the problem and suggests a guideline by the appropriate simplification. The quantitative nature of the optimisation model and simulation facilitates an assessment of the risk factors in the supply chain, leading to an evaluation of a wide variety of scenarios and the development of multiple contingency plans. Further research is expected to supplement the ship scheduling models with heuristics for the idiosyncratic constraints of maritime transportation.     

基于资源共享与子系统交互的两阶段DEA评价方法——兼对我国“一流大学”科研绩效的评价

由于复杂的竞争环境,共享资源下的交互系统组织形式变得越来越普遍,因此有必要开发一种新的方法来衡量这些系统与子系统的效率。针对复杂系统的绩效评价问题,本文提出资源共享与子系统交互的两阶段DEA评价方法予以应对。该方法在测定系统总效率的基础上,运用Stackelberg博弈方法构建模型求解出唯一的子系统(阶段)效率。最后,将该方法应用于我国40所“一流大学”科研系统绩效评价中,评价结果反映出一定的科研系统特征,并验证了该方法的有效性。     

信息过载影响消费者决策研究的知识图谱分析

以CNKI数据库中收录的553篇相关论文为研究对象,本文使用CiteSpace可视化分析工具绘制关键词图谱。结果显示:国内对信息过载和消费者决策研究以应对策略为主,分为以消费者为中心的策略、以信息处理为中心的策略和以技术为中心的策略。     

Caregivers’ Mental Illness and Adolescent Delinquency Among African Americans in Chicago’s Southside: Exploring Potential Protective Factors

Child and Adolescent Social Work Journal - The aim of the present study is to identify protective factors that buffer the effect of caregiver mental illness on adolescent delinquency. Specifically,...     

江苏板块上市公司资本结构与公司业绩的实证研究

近年来很多学者对我国上市公司资本结构与公司业绩之间的关系进行了实证检验,得到正相关和负相关两种对立的结果.本文以江苏省59家上市公司为研究样本,建立面板数据模型,运用Eviews 软件对其资本结构与公司业绩的相关性进行检验,得出负相关的结论,在对检验结果分析的基础上提出优化资本结构的建议.     

中国高校信息化现状研究——基于江苏高校的实证分析

对我国高校信息化的研究,目前大都还停留在定性讨论阶段,基于第一手数据、系统、深入的定量研究还比较缺乏。对江苏省60所高校的调查表明,教育部直属高校、省部属重点高校、省属普通高校和市属高校之间的信息化水平存在明显差别。省部属重点高校的信息化水平高于教育部直属高校,同时教育部直属高校高于其他高校。就高校信息化发展阶段而言,我国高校信息化已从信息基础设施建设阶段过渡到了高校管理、科研管理与教学管理等应用系统的管理整合阶段。     

论我国涉外案件专属管辖范围之合理确定——以比较研究为视角

一国法院行使的涉外案件专属管辖权是该国国家主权在司法领域的突出体现,合理确定专属管辖范围既能有效地保护本国公共秩序,又能避免或者减少国际民商事诉讼管辖权冲突的发生.必要性原则和国际协调原则是合理确定涉外案件专属管辖范围应坚持的两项基本原则.我国现行立法对涉外案件专属管辖范围的规定既存在着过度扩展的问题,也存在着专属管辖规定不够全面的问题,需要借鉴国际上通行做法作出适当调整,使其趋于合理.