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CN 34-1054/N

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2023 Vol. 53, No. 2

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2023-2 Contents
2023, 53(2): 1-2.
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2023-2 Abstract
2023, 53(2): 1-2.
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Mathematics
Variable selection in high-dimensional extremile regression via the quasi elastic net
Yimin Xiong, Zhi Zheng, Weiping Zhang
2023, 53(2): 1. doi: 10.52396/JUSTC-2022-0099
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Extremile regression proposed in recent years not only retains the advantage of quantile regression that can fully show the information of sample data by setting different quantiles, but also has its own superiority compared with quantile regression and expectile regression, due to its explicit expression and conservativeness in estimating. Here, we propose a linear extremile regression model and introduce a variable selection method using a penalty called a quasi elastic net (QEN) to solve high-dimensional problems. Moreover, we propose an EM algorithm and establish corresponding theoretical properties under some mild conditions. In numerical studies, we compare the QEN penalty with the $L_{0}$ , $L_{1}$ , $L_{2}$ and elastic net penalties, and the results show that the proposed method is effective and has certain advantages in analysis.
Second-order stochastic dominance with respect to the rank-dependent utility model
Qinyu Wu
2023, 53(2): 2. doi: 10.52396/JUSTC-2022-0097
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A generalized family of partial orders is studied, which is semiparametrized by a utility function $ f $ and a distortion function $ g $ , namely, $ (f,g) $ -utility and distorted stochastic dominance ( $ (f,g) $ -UDSD). Such a family is especially suitable for representing a decision maker’s preferences in terms of risk aversion. We characterize the monotonicity of the partial order in the rank-dependent utility model, and the isotonic classes of rank-dependent utility with $ (f,g) $ -UDSD are also established. Inspired by the concept of the congruent utility class, we introduce the definition of the congruent distortion class. The characterization of the congruent utility class or distortion class of $ (f,g) $ -utility and distorted stochastic dominance is investigated. Based on the main results in this paper, we unify some related results in the existing literature. As an application, we propose a general approach to develop a continuum between first-order stochastic dominance and second-order stochastic dominance based on the partial order.
Management
Entrepreneurial motivation and well-being: A moderated mediation model of entrepreneurial commitment and perceived progress
Qingxiong Weng, Shuqian Wang
2023, 53(2): 3. doi: 10.52396/JUSTC-2022-0064
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According to self-regulation theory, we explored the relationship between entrepreneurial motivation and entrepreneurial well-being. We developed a moderated mediation model of entrepreneurial commitment linking entrepreneurial motivation and entrepreneurial well-being. Using a sample of 209 entrepreneurs in different industries, we found that entrepreneurial motivation was positively related to entrepreneurial well-being and that this relationship was mediated by entrepreneurial commitment. We further found that the effect of entrepreneurial motivation on entrepreneurial commitment was contingent on the perceived entrepreneurial process. Finally, theoretical and practical implications were discussed for entrepreneurs to take appropriate self-management measures.
Supply chain contagion of perk consumption: Who is more likely to be corrupted?
Yulu Zheng, Liang Wan, Zengtian Zhang, Chengyuan Wang
2023, 53(2): 4. doi: 10.52396/JUSTC-2022-0031
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The contagion of interfirm behaviours along the supply chain has become a significant issue for both supply chain management and the internal governance of firms within the supply chain. By means of panel data of 1893 mated supply chain pairs collected from Chinese listed firms, we examine the supply chain contagion effect of corruption-related perk consumption by investigating whether firms’ perk consumption is influenced by their supply chain peers. We find a unilateral contagion effect of corrupt perk consumption along the supply chain, i.e., only from suppliers to customers. We suggest that suppliers exert this unilateral contagion effect by influencing customers’ managerial culture and the close business relationship between them. In addition, the unilateral contagion effect would be weakened when customers have a high level of employee salary.
Entry or not? Manufacturers’ product sharing strategy when facing competition
Xiaolong Guo, Ning Zhang, Jingjing Yang, Chenchen Yang
2023, 53(2): 5. doi: 10.52396/JUSTC-2022-0110
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Traditional manufacturers can take part in the sharing economy by renting products to consumers through sharing platforms. We develop an analytical framework consisting of two manufacturers and a sharing platform to study the effect of product sharing on competing manufacturers’ entry and pricing strategies. On the one hand, when the high-quality manufacturer works with the sharing platform, if the perceived quality of renting the high-quality product is larger than that of purchasing the low-quality product, it shows that the high-quality manufacturer will benefit and should enter the sharing market when the rental price is moderate. However, if the perceived quality of renting a high-quality product is smaller than that of purchasing a low-quality product, both manufacturers will always suffer losses; thus, the high-quality manufacturer should not provide sharing. Consequently, when the high-quality manufacturer chooses to share, the quality advantage should be maintained. On the other hand, when the low-quality manufacturer works with the sharing platform, it also finds that the low-quality manufacturer will always be better off from a moderate rental price. This implies that the low-quality OEM has more interest in offering product sharing if the perceived quality of renting high-quality product is smaller than that of purchasing low-quality product.
Optimal investment in equity and VIX derivatives
Xiangzhen Yan, Yunfan Zhu, Zhenyu Cui, Shuguang Zhang
2023, 53(2): 6. doi: 10.52396/JUSTC-2022-0095
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We solve in closed-form the optimal investment strategies in equity and VIX derivatives in a stochastic volatility model with jumps. Our framework includes both complete market and incomplete market cases, when diffusive risk, volatility risk and jump risk are present. VIX derivatives allow for direct exposure to volatility risk compared to equity derivatives. Based on the closed-form formulas, we explicitly determine the portfolio improvements brought by the inclusion of the VIX derivatives and establish that it is theoretically positive. This justifies the economic intuition and observed demand for VIX derivatives in a portfolio management setting. Numerical examples illustrate the results.

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