Distortion risk measures in random environments: construction and axiomatic characterization

The risk of a financial position shines through by means of the fluctuation of its market price. The factors affecting the price of a financial position include not only market internal factors, but also other various market external factors. The latter can be understood as sorts of environments to which financial positions have to expose. Motivated by this observation, this paper aims to design a novel axiomatic approach to risk measures in random environments. We construct a new distortion-type risk measure, which can appropriately evaluate the risk of financial positions in the presence of environments. After having studied its fundamental properties, we also axiomatically characterize it. Furthermore, its coherence and dual representation are investigated. The new class of risk measures in random environments is large enough, for example, it not only can recover some known risk measures such as the common weighted value at risk and range value at risk, but also can induce other new specific risk measures such as risk measures in the presence of background risk. Examples are given to illustrate the new framework of risk measures. This paper gives some theoretical results about risk measures in random environments, helping one to have an insight look at the potential impact of environments on risk measures of positions.Comment: 47 pages, no figure

HOW ORGANIZATIONAL CULTURE SHAPES COMPETITIVE STRATEGIES: A COMPARATIVE CASE STUDY OF TWO E-COMMERCE FIRMS IN CHINA

Many well-established multinational firms have been attracted to China by its tremendous market size and fast growing economy. While many have succeeded and enjoyed significant returns on their investments, some have failed and suffered significant financial losses. In the e-commerce market, failures seem to be more frequent than successes. In this study, we attempt to find some answers as to why e-commerce market is especially tough for foreign firms by using a comparative case study in which the epic battle of two giants in Chinese C2C market during 2004-2006 is analyzed. We argue that other things being equal, the local firms have an embedded competitive advantage if the management can transform a better understanding of the national culture into an organizational culture of innovativeness and market responsiveness. Such organizational culture, according to the resourced based view, could have significant impact on the competitive strategies and eventually determine the market performance of the firm

Risk measurement of joint risk of portfolios: a liquidity shortfall aspect

This paper presents a novel axiomatic framework of measuring the joint risk of a portfolio consisting of several financial positions. From the liquidity shortfall aspect, we construct a distortion-type risk measure to measure the joint risk of portfolios, which we referred to as multivariate distortion joint risk measure, representing the liquidity shortfall caused by the joint risk of portfolios. After its fundamental properties have been studied, we axiomatically characterize it by proposing a novel set of axioms. Furthermore, based on the representations for multivariate distortion joint risk measures, we also propose a new class of vector-valued multivariate distortion joint risk measures, as well as with sensible financial interpretation. Their fundamental properties are also investigated. It turns out that this new class is large enough, as it can not only induce new vector-valued multivariate risk measures, but also recover some popular vector-valued multivariate risk measures known in the literature with alternative financial interpretation. Examples are given to illustrate the proposed multivariate distortion joint risk measures. This paper mainly gives some theoretical results, helping one to have an insight look at the measurement of joint risk of portfolios.Comment: 45 pages, 0 figur

Issues in representing domain-specific concerns in model-driven engineering

The integration of domain-specific concepts in a model-driven engineering (MDE) approach raises a number of interesting research questions. There are two possibilities to represent these concepts. The first one focuses on models that contain domain-specific concepts only, i.e. domain-specific modelling languages (DSML). The second one advocates the integration of domain-specific concepts in general-purpose models, using what we will refer to in this paper as domain-specific modelling annotation languages (DSMAL). In this position paper, we argue that each approach is particularly suited for specific activities and specific actors, and show how they can be developed and used together. We also highlight the challenges created by the use of two representations, such as the evaluation of models OCL constraints and the synchronisation between the two representations. As an illustration, we present rbacUML, our approach for integrating role-based access control (RBAC) concepts into an MDE approach

Artificial-Noise-Aided Secure Transmission with Directional Modulation based on Random Frequency Diverse Arrays

In this paper, a random frequency diverse array based directional modulation with artificial noise (RFDA-DMAN) scheme is proposed to enhance physical layer security of wireless communications. Specifically, we first design the RFDADM- AN scheme by randomly allocating frequencies to transmitantennas, thereby achieving two-dimensionally (i.e., angle and range) secure transmissions, and outperforming the state-of-theart one-dimensional (i.e., angle) phase array (PA) based DM scheme. Then we derive the closed-form expression of a lower bound on the ergodic secrecy capacity (ESC) of our RFDA-DMAN scheme. Based on the theoretical lower bound derived, we further optimize the transmission power allocation between the useful signal and artificial noise (AN) in order to improve the ESC. Simulation results show that 1) our RFDA-DM-AN scheme achieves a higher secrecy capacity than that of the PA based DM scheme, 2) the lower bound derived is shown to approach the ESC as the number of transmit antennas N increases and precisely matches the ESC when N is sufficiently large, and 3) the proposed optimum power allocation achieves the highest ESC of all power allocations schemes in the RFDA-DM-AN