Copenhagen Business School

About: Copenhagen Business School is a education organization based out in Copenhagen, Hovedstaden, Denmark. It is known for research contribution in the topics: Corporate governance & Entrepreneurship. The organization has 2194 authors who have published 9649 publications receiving 341898 citations.

Dynamic asset allocation and fixed income management

Abstract: This paper provides the solution to an intertemporal investment problem. The investor has power utility and can invest in stocks and bonds in a complete market setting where the Vasicek term structure model applies. The paper demonstrates that the zero-coupon bond with maturity at the investment horizon is the appropriate instrument for hedging changes in the opportunity set. Implementation issues are discussed and it is shown how the intertemporal investment problem can be recast as a series of mean-variance problems in terms of drift and volatility of the wealth forward price. An application based on a quasi-dynamic programming approach is considered.

A Review of Green Supply Chain Management: From Bibliometric Analysis to a Conceptual Framework and Future Research Directions

Abstract: This study reviews the green supply chain management (GSCM) literature and proposes a comprehensive view of the structural associations amongst the GSCM factors, viz. drivers, practice indicators and performance measures. The HistCite software was used to perform bibliometric citation meta-analysis on a sample of 1523 articles, obtained from the ISI Web of Science database. Influential journals, institutions, and trending articles in the GSCM research are revealed. Co-citation analysis coupled with content analysis of the 39 most cited articles identified six underlying research streams, namely (a) conceptual development and sense-making, (b) GSCM impact on performance, (c) integration of green and sustainable operations in the supply chain, (d) green supplier development, (e) GSCM implementation drivers, and (f) review and future research directions. This further led to proposing a comprehensive conceptual framework with logically grouped factors, and directing relationships among the groups. Finally, future research directions claimed by the trending articles in the field were aligned with the findings of the key papers, and an approach to perform non-myopic GSCM research in the future is suggested.

How Relevant is Volatility Forecasting for Financial Risk Management

Abstract: It depends. If volatility fluctuates in a forecastable way, then volatility forecasts are useful for risk management; hence the interest in volatility forecastability in the risk management literature. Volatility forecastability, however, varies with horizon, and different horizons are relevant in different applications. Existing assessments are plagued by the fact that they are joint assessments of volatility forecastability and an assumed model, and the results vary not only with the horizon, but also with the model. To address this problem, we develop a model-free procedure for measuring volatility forecastability across horizons. Perhaps surprisingly, we find that volatility forecastability decays quickly with horizon. Volatility forecastability, although clearly of relevance for risk management at the very short horizons relevant for, say, trading desk management, may not be important for risk management more generally.

The impacts of port infrastructure and logistics performance on economic growth: the mediating role of seaborne trade

Abstract: Considering 91 countries with seaports, this study conducted an empirical inquiry into the broader economic contribution of seaborne trade, from a port infrastructure quality and logistics performance perspective. Investment in quality improvement of port infrastructure and its contribution to economy are often questioned by politicians, investors and general public. A structural equation model (SEM) is used to provide empirical evidence of significant economic impacts of port infrastructure quality and logistics performance. Furthermore, analysis of a multi-group SEM is performed by dividing countries into developed and developing economy groups. The results reveal that it is vital for developing countries to continuously improve the quality of port infrastructure as it contributes to better logistics performance, leading to higher seaborne trade, yielding higher economic growth. However, this association weakens as the developing countries become richer.