|
Journal of Economic Development |
Vol. 24(4)
, October 2017, Page 29-45
|
|
The theory and application of spectral risk measures in Vietnam |
|
Ho Hong Hai & Nguyen Thi Hoa |
DOI: 10.24311/jabes/2017.24.4.2
Abstract
This paper aims to provide a new risk measure for portfolio management in Vietnam by incorporating investor’s risk aversion into current risk measures such as value at risk (VaR) and expected shortfall (ES). This measure shares several desirable characteristics with the coherent risk measures, as illustrated in Artzner et al. (1997). In Vietnam, our study makes the first attempt to utilize distortion theory, instead of utility theory, to facilitate the adoption of risk aversion level in the popular risk measures. We find that spectral risk measure is more flexible and effective to different groups of risk-adverse investors, compared to the more monotonic and conventional VaR and ES measures
Keywords
Risk Measure; Investment Portfolio; Value-At-Risk; Expected Shortfall; Spectral Risk Measures; Distortion Theory.
|
Download
|
|
Innovation of the firm: How to create performance from capability
2020, Journal of Asian Business and Economic Studies
More
Abstract
Based on the competitive advantage theory and resource-based theory of the
firm, this paper examines the impact of innovation capacity on innovation
performance of the tourism industry. Innovation capability is defined as the
firm's ability to reconfigure and develop their resources and organizational
capabilities to innovate. Innovation capability is measured by four
components: sensing capability (SC), combination capability (CC),
networking capability (NC), and learning capability (LC). Innovation
performance is achievement or success of innovation made by a firm in
accordance with the target, described by the three components: internal
performance (IP), commercial performance (CP), and social performance
(SP). The results of Multiple Regression Analysis (MRA) applied to a sample
of 242 directors and CEOs of travel agents in a list of Ho Chi Minh City
Tourism Association (HTA) and Ho Chi Minh City Department of Tourism
show that three (SC, CC, NC) among four components (SC, CC, NC, LC) of
innovation capabilities have effects on innovation performance. However, the
application of fuzzy set theory in the fuzzy-set qualitative comparative
analysis indicates that learning capability does not have any impact on firms’
innovation performance. A combination of learning capability and
networking capability, nevertheless, creates sufficient conditions for
innovation performance.
Download
|