我国开放式基金的风险度量模型研究

开放式基金作为一种收益共享、风险共担的集合投资工具,日益受到投资者的青睐.本文首先对开放式基金传统的风险度量方法,以及Bangia、Diebold、Schuermann&Stroughair模型、Hisata&Yamai的L-VaR模型和Shamroukh的流动性风险调整VaR模型进行了综述,指出其适用性与局限性.在此基础上,提出改进的开放式基金流动性风险度量指标,通过改进的指数化换手率来避免因换手率的差异而导致流动性风险测量的失真,构建我国开放式基金的资产流动性风险价值和条件风险价值度量模型.同时,考虑股票停牌、权重股等因素,在实证中反映我国开放式基金的流动性风险,形成基于流动性风险调整的开放式基金资产变现方法.     

Aggregation and Optimization with State‐Dependent Pricing: A Comment

A key argument in Caplin and Leahy (1997) states that the correlation between monetary shocks and output is falling in the variance of the money supply. We demonstrate that this conclusion depends on solving for the correlation in the nonstationary state of the model. In the stationary state, that correlation is initially rising.     

An Analytical Investigation of the Bullwhip Effect

The Bullwhip Effect is problematic: order variability increases as orders propagate along the supply chain. The fundamental differential delay equations for a retailer's inventory reacting to a surge in demand are solved exactly. Much of the rich and complex inventory behavior is determined by the replenishment delay. The analytical solutions agree with numerical integrations and previous control theory results. Managerially useful ordering strategies are proposed. Exact expressions are derived for the retailer's orders to the manufacturer, and the Bullwhip Effect arises naturally. The approach is quite general and applicable to a wide variety of supply chain problems.     

Competitive intelligence embeddedness: Drivers and performance consequences

The proliferation of Web-based information sources and social media draw firms' attention to these channels as sources of competitive intelligence (CI). To date, research has focused mainly on information collection techniques rather than on CI uses and its influence on firm performance. We define CI embeddedness as the extent to which management and employees incorporate CI in daily routines, so that actionable knowledge is transferred throughout the organization. A survey of 124 decision makers reveals positive impact of Web CI sources as well as alliances with information providers on CI embeddedness. Furthermore, while CI embeddedness shows no direct influence on firms’ performance, it has a mediated effect on performance through customer satisfaction.     

Grappling with the performative condition

What kind of an anthropological puzzle does the performativity of strategy constitute? Rather than considering performativity as an operational concept or situating the discussion within the limits of strategy scholarship, this short essay asks how an emphasis on the performative can be regarded as a cultural condition, that is, as a ductile though crucial quality of the way in which things are made sense of in our present cultural setup. Suggesting seemingly extraneous associations between ideals of strategic management and business education, on the one hand, and archetypes of experimental performance and political will, on the other, the essay locates the ultimate interpretive category of this performative condition in the act of decision, and offers a critique of its anthropological limits.     

Masstige model and measure for brand management

The purpose of this article is to reconceptualize the term “masstige” (Mass Prestige) marketing, develop a masstige model for brand management, and extend the use of the Masstige Mean Scale (MMS). The study was conducted based on the data from 600 individuals living in the United States, France, and India using a structured questionnaire consisting of different factors/sources of brand equity, such as mass prestige, brand knowledge, and perceived quality. On the basis of the findings, we establish that the greater the brand's Masstige Mean Index (MMI) value (“MMIV”), the higher the potential customers' top-of-mind brand awareness. Low MMIVs imply that firms have a long way to go to build their brands. We argue that MMI may allow firms to measure brand equity in different regions, within a country or in foreign countries, to derive insights into the popularity of their brands. We posit three theoretical propositions and develop two theoretical models (i) a hexagon model and (ii) a three-stage model for masstige marketing to define, reconceptualize, and explain the phenomenon.     

农产品流通体系影响农产品价格波动的机理与路径

本文采用规范化实地研究方法，运用质性分析软件对某地农产品批发市场92户嵌入式个案的访谈数据进行分析，较为清晰地阐释了农产品流通体系对农产品价格影响的内在机理及路径。来自实地调查事实证据分析表明，农产品流通体系与农产品价格波动之间具有显著的相关性；且农产品流通体系构成要素通过供求关系、经营成本、心理预期等三个控制因素可以综合影响农产品价格波动及幅度；优化农产品流通体系确实能起到抑制农产品价格过度波动的作用。这说明，短期的农产品生产调控或价格补贴措施对抑制农产品价格过度波动作用有限，建立长效的农产品流通体系内在稳定性以消解体制机制性障碍，比过度偏重生产性调节更重要。     

EOQ-based inventory management in single-machine multi-item systems

The present paper proposes an approach for including the finite capacity constraint in the EOQ model (and, in more general terms, in inventory systems) to study the context of single-machine multi-item systems. In particular, the proposed approach regulates the processing of different items by a shared resource according to a control model based on an ordering policy that combines the Economic Order Quantity with a policy based on minimum and maximum inventory levels (min–max policy). To achieve such a challenging result, the present work exploits the analogy between “switched arrival systems” (a particular class of hybrid systems) and min-max inventory systems. The development and parameterization of the abovementioned control model, therefore, refers to switched arrival systems control theory and mixed-integer linear programming. The present work also contributes to the integration of static tools (i.e., the EOQ model) and control tools, approaching these areas. The paper concludes with a real case application that illustrates the proposed approach and allows for a future research path to be drawn.     

A Social‐Cognitive Model of Pandemic Influenza H1N1 Risk Perception and Recommended Behaviors in Italy

The outbreak of the pandemic influenza H1N1 2009 (swine flu) between March and April 2009 challenged the health services around the world. Indeed, misconceptions and worries have led the public to refuse to comply with precautionary measures. Moreover, there have been limited efforts to develop models incorporating cognitive, social‐contextual, and affective factors as predictors of compliance with recommended behaviors. The aim of this study was to apply a social‐cognitive model of risk perception and individual response to pandemic influenza H1N1 in a representative sample of Italian population. A sample of 1,010 Italians of at least 18 years of age took part in a telephone survey. The survey included measures of perceived preparedness of institutions, family members and friends’ levels of worry, exposure to media campaigns (social‐contextual factors), perceived coping efficacy, likelihood of infection, perceived seriousness, personal impact, and severity of illness (cognitive evaluations), affective response and compliance with recommended behaviors. Results demonstrated that affective response fully mediated the relationship between cognitive evaluations and social‐contextual factors (with the exception of exposure to media campaigns) and compliance with recommended behaviors. Perceived coping efficacy and preparedness of institutions were not related to compliance with recommended behaviors.     

40 years of storming: a historical review of Tuckman's model of small group development

This paper presents a historical overview of the Tuckman model describing the stages of group development. Created by Bruce W. Tuckman in 1965 and revised by Tuckman and Mary Ann Conover Jensen in 1977, the model presents the well-known stages of forming, storming, norming, performing, and adjourning. This model has a unique history in that it was initially popular among HRD practitioners and later became common in academic literature as well. Its significance was a reflection of its time, responding both to the growing importance of groups in the workplace and to the lack of applicable research. This paper uses a literature review to trace the history of the model in terms of field practice and academic research.