This paper firstly introduced the two stage supply chain consisting of single agricultural product producer and fund restraint retailer.Then,it analyzed the influence of bank interest rate on order quantity,wholesale ...This paper firstly introduced the two stage supply chain consisting of single agricultural product producer and fund restraint retailer.Then,it analyzed the influence of bank interest rate on order quantity,wholesale price and expected profit of retailer and producer on the condition of retailer taking external loan strategy.Studies have shown that when the bank interest rate is in(0,0.9),the order quantity of agricultural products is a decreasing function of bank interest rate; when the bank interest rate is in(0,1),wholesale price of agricultural products decreases with increase in the bank interest rate; when the bank interest rate is in(0,0.6),the expected profit of retailer is a decreasing function of bank interest rate; when the bank interest rate is in(0,1),the expected profit of producer decreases with increase in the bank interest rate.Finally,through simulation calculation examples,it verified suitability of the conclusion,in the hope of providing reference and application value for management of supply chain.展开更多
In order to build a low-risk Fund of Funds(FOF), from the perspective of correlation, the principal component factor is used to improve the traditional risk parity model. Principal component analysis is used to decomp...In order to build a low-risk Fund of Funds(FOF), from the perspective of correlation, the principal component factor is used to improve the traditional risk parity model. Principal component analysis is used to decompose the underlying assets and generate unrelated principal component factors,and then the authors can construct a principal component risk parity portfolio. The proposed empirical results based on China’s mutual fund market show that the performance of principal component risk parity portfolio(PCRPP) is better than that of equal weight portfolio(EWP) and traditional risk parity portfolio(RPP). That is to say, not only the PCRPP in this paper has much lower risk than EWP and RPP, but also slightly better than EWP and RPP in terms of average return. Moreover, the study of dividing the underlying assets shows that the PCRPP in this paper is not sensitive to the underlying assets. The PCRPP in this paper is better than EWP and RPP for both the better performing funds and the worse performing funds. In addition, the empirical results on dynamic portfolio adjustments show that it is not appropriate to adjust asset allocation too frequently when the expected rate of return is calculated using the arithmetic mean.展开更多
基金Supported by Key Project of National Natural Science Foundation(70932005)Project of National Natural Science Foundation(71102055,71372140)Young Scholar Project of Sichuan Provincial Education Department(13ZB0035,14ZA0304)
文摘This paper firstly introduced the two stage supply chain consisting of single agricultural product producer and fund restraint retailer.Then,it analyzed the influence of bank interest rate on order quantity,wholesale price and expected profit of retailer and producer on the condition of retailer taking external loan strategy.Studies have shown that when the bank interest rate is in(0,0.9),the order quantity of agricultural products is a decreasing function of bank interest rate; when the bank interest rate is in(0,1),wholesale price of agricultural products decreases with increase in the bank interest rate; when the bank interest rate is in(0,0.6),the expected profit of retailer is a decreasing function of bank interest rate; when the bank interest rate is in(0,1),the expected profit of producer decreases with increase in the bank interest rate.Finally,through simulation calculation examples,it verified suitability of the conclusion,in the hope of providing reference and application value for management of supply chain.
基金supported by the Chinese National Science Foundation under Grant Nos. U1811462,71771116the Ministry of EducationLate-stage Subsidy Project for Philosophical and Social Sciences Research Foundation under Grant No. 18JHQ058。
文摘In order to build a low-risk Fund of Funds(FOF), from the perspective of correlation, the principal component factor is used to improve the traditional risk parity model. Principal component analysis is used to decompose the underlying assets and generate unrelated principal component factors,and then the authors can construct a principal component risk parity portfolio. The proposed empirical results based on China’s mutual fund market show that the performance of principal component risk parity portfolio(PCRPP) is better than that of equal weight portfolio(EWP) and traditional risk parity portfolio(RPP). That is to say, not only the PCRPP in this paper has much lower risk than EWP and RPP, but also slightly better than EWP and RPP in terms of average return. Moreover, the study of dividing the underlying assets shows that the PCRPP in this paper is not sensitive to the underlying assets. The PCRPP in this paper is better than EWP and RPP for both the better performing funds and the worse performing funds. In addition, the empirical results on dynamic portfolio adjustments show that it is not appropriate to adjust asset allocation too frequently when the expected rate of return is calculated using the arithmetic mean.
