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Notice: Academic reports of “The 2017 Annual Academic Forum of Economics and Management — Presentation Series (8)”

Sourse:   Date:2017-06-01

(1) Title: An Improvement of Copula Opinion Pooling Method: ARMA-GARCH Vine Copula Approach 

Speaker: PhD. Ji Hao

Time: 15:00-15:40, June 02, 2017 

Venue: Meeting Room C304, The Building of Economics, Management and Landscape Architecture 

Abstract: Black and Litterman (1991,1992) proposed a path-breaking technique for portfolio construction, which combines the market prior information with the information from the investors to construct the portfolio.  However, the essential but unreasonable assumptions, that the prior and investors’ views should be normally distributed, also are held in this model. Meucci(2005, 2006) presented the copula-opinion pooling method that allows investors to use arbitrary distributions for both the prior and the views in order to make the Black-Litterman model more flexible in the complex asset allocation context.  Unfortunately, in this approach the heteroscedasticity and the autocorrelation were not been considered. Moreover the multivariate t-copula which has been suggested for modelling the co-dependence among the returns is not flexible enough to describe dependence structure.  In order to overcome the drawbacks mentioned above, in this paper we propose a novel approach, ARMA-GARCH Vine Copula approach (AGVC approach). The ARMA-GARCH model is used for each univariate returns series to remove the heteroscedasticity and autocorrelation, meanwhile the vine copula is used to capture the dependence structure among assets returns.  Finally, it provides a portfolio optimization procedure for an one-day forecast horizon on the basis of previous analysis. 

(2) Title: Model and Application of Green Industry Evaluation based on Fuzzy Control  

Speaker: Wang Hui (A PhD Candidate)

Time: 15:40-16:20, June 02, 2017 

Venue: Meeting Room C304, The Building of Economics, Management and Landscape Architecture 

Abstract: The economy is in a state of rapid development, with people having an increasingly good life, yet the living environment is becoming worse. For sustainable development of the economy and the environment, low-carbon green industry has become the better choice. Proper evaluation of the green industry by analyzing the advantages and disadvantages of green industries will provide a reference for regions’ green industrial plan. There are few studies available for the evaluation of the green industry, and most of these are based on screening indexes, which are limited and not comprehensive, and lack quality indicators. In this paper, the fuzzy comprehensive evaluation model and the fuzzy control model are combined to make a new model, which uses qualitative variables for evaluation index and evaluate the green industry from different angles. This will help to provide better flexibility and maneuverability. 

Welcome the related professional teachers or graduate students to take part in the forum. 

College of Economics and Management
June 01, 2017