A New Multicriteria Risk Mapping Approach Based on a Multiattribute Frontier Concept

Invasive species risk maps provide broad guidance on where to allocate resources for pest monitoring and regulation, but they often present individual risk components (such as climatic suitability, host abundance, or introduction potential) as independent entities. These independent risk components are integrated using various multicriteria analysis techniques that typically require prior knowledge of the risk components’ importance. Such information is often nonexistent for many invasive pests. This study proposes a new approach for building integrated risk maps using the principle of a multiattribute efficient frontier and analyzing the partial order of elements of a risk map as distributed in multidimensional criteria space. The integrated risks are estimated as subsequent multiattribute frontiers in dimensions of individual risk criteria. We demonstrate the approach with the example of Agrilus biguttatus Fabricius, a high‐risk pest that may threaten North American oak forests in the near future. Drawing on U.S. and Canadian data, we compare the performance of the multiattribute ranking against a multicriteria linear weighted averaging technique in the presence of uncertainties, using the concept of robustness from info‐gap decision theory. The results show major geographic hotspots where the consideration of tradeoffs between multiple risk components changes integrated risk rankings. Both methods delineate similar geographical regions of high and low risks. Overall, aggregation based on a delineation of multiattribute efficient frontiers can be a useful tool to prioritize risks for anticipated invasive pests, which usually have an extremely poor prior knowledge base.     

The moderating effects of home region orientation on R&D investment and international SME performance: Lessons from Korea

Drawing from the resource-based view, we investigate how firm and country combinations affect international SME performance. Using a sample of 2676 international Korean SMEs, we explore the relationships among SME R&D investment, home region orientation and financial performance. Results show that R&D investment has a horizontally inverted S-shaped relationship with performance reflecting cost leadership, stuck in the middle, and differentiation strategies. We also find that a home region orientation moderates the relationship between R&D investment and performance. Home region orientation positively moderates the relationship when R&D investment reflects cost leadership or differentiation but negatively moderates a stuck in the middle strategy.     

最优保险投资决策

2005年初我国对保险公司直接进入资本市场进行投资开始放开.如何选择最佳的投资策略就成为目前保险公司所面临的难题,而传统的投资模型的诸多不足使得它在实际应用中有很大局限性.讨论的模型克服了传统模型的不足.在该模型中,索赔是一个复合Poisson过程,保险公司可选择与投资期内的安全要求相一致的投资比例.应用最优控制原理求解模型得到了最优投资策略以及有效边界的解析形式,并讨论了承保收益和承保风险对投资策略与有效边界的影响.     

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。     

基金发行潮与管理公司绩效

区别于传统以基金作为独立个体的研究,本文以基金的母体——基金家族作为研究对象,重点考察以下问题:为何基金家族纷纷发行新基金?基金家族的迅速繁衍是否损害了其投资绩效?文章从理论上探讨了基金家族热衷于发行新基金的原因。并运用随机前沿分析(SFA)方法,以测算基金家族投资绩效为切入点,重点检验了新基金发行对家族业绩的影响。发现基金家族总体业绩偏低,新基金发行在短期能提高家族业绩,在长期会损害家族业绩。为此,文章进一步探讨了新基金发行对家族业绩的门槛效应。发现要有效促进基金家族业绩,单个基金家族半年内新发行基金数不能超过3只,其旗下基金总数不能超过11只。根据研究成果,文章提出了相关政策建议。     

考虑交易成本的投资组合效率估计方法

投资组合绩效评价是学术界研究的热点问题。本文在经典的经济学框架下,基于真实前沿面,给出了投资组合效率的明确定义。由于实际投资环境的影响,投资组合优化模型非常复杂,难以获得真实前沿面的解析解,这给投资组合效率的应用带来了很大的困难。本文基于投资组合理论,在投资组合模型所对应的前沿面为凹函数的情况下,采用基于数据的投资组合DEA评价模型构造前沿面来逼近真实的前沿面,从而估计一般情形下投资组合的效率。在此基础上研究了考虑交易成本的投资组合效率评价问题,并用实例说明了本文方法的合理性与可行性。     

概率准则下的投资决策与有效边界间的关系

本文在证券收益率服从正态分布的前提下,对于允许卖空与不允许卖空这两种情况,分别讨论了概率准则下的投资决策与有效边界间的关系,并举例予以了说明。     

等式约束的一种降维运算的信赖域方法

本文给出了解决等式约束问题的一种信赖域算法。算法用Byrd和Omojokun方法计算试探步,但在计算试探步时采取了降维的方法。在不要求约束条件的梯度是列满秩的条件下证明了算法的全局收敛性。     

Models for measuring and benchmarking olympics achievements

As demonstrated in several recent studies, data envelopment analysis (DEA) is a useful tool for evaluating and comparing the performance of nations competing in the Olympic Games. Assurance regions (ARs) have been used to further refine the DEA results. These AR DEA models assume that ARs apply uniformly across all nations. Such models can have shortcomings in the sense that different nations may impose different ARs, as nations may value gold, silver, and bronze medals differently. This paper extends previous DEA studies by incorporating multiple sets of nation-specific ARs into the DEA. By doing so, we establish fair models for measuring and benchmarking the performance of nations at six summer Olympic Games.     

机会约束下的含有资本结构因子和交易成本的均值-VaR投资组合模型

本文在均值-方差模型和机会约束模型的基础上,提出了在允许卖空时的一类机会约束下含有资本结构因子和交易成本的均值-VaR证券投资组合模型,以期望收益率与置信水平为导向,在假设收益率服从正态分布的条件下,建立了其数学模型,并讨论了最优解的存在性和唯一性,以及最优解的解析表达式。