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学者姓名：冯玲
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近年来,越来越多的投资者将环境、社会、治理(ESG)等因素纳入到投资决策过程中,基于ESG投资理念的投资模式逐渐盛行,但现有基于ESG投资理念的决策模型的研究忽视了社会责任投资者管理损失左尾的需求.基于此,文章综合考虑收益波动及发生小概率极端事件引致的损失,利用方差和谱风险两种迥异风险度量,构造可兼顾管理对称中心风险和非对称下偏风险的混合风险测度,以塑造更有利的期末财富概率分布.进一步地,将该混合风险测度应用于可持续投资决策中,在现实交易约束限制下,构建反映投资者社会价值观且可管理两种不同特征风险的均值-混合风险投资组合选择模型,并将其等价表述为二次约束凸规划问题以计算最优可持续投资策略及有效前沿.数值分析表明,在卖空约束下,较之基于ESG投资理念的均值-方差模型,混合风险测度模型可在不降低投资组合可持续性水平前提下改善金融财务方面表现,且投资者管理下偏风险的偏好程度与可持续投资表现成正相关关系.此外,ESG负面筛选策略降低了最优投资组合的分散化程度,导致投资风险增大,从而使得可持续投资的业绩表现欠佳.同时,反映投资者风险厌恶程度的权重参数也显著影响了可持续投资表现.因此,投资者应谨慎采取ESG负面筛选策略,并需依据自身风险厌恶程度选择恰当的权重函数,从而提高财务效益及社会效益.
Keyword ：
ESG-SR有效前沿 ESG-SR有效前沿 可持续投资 可持续投资 谱风险测度 谱风险测度 锥约束 锥约束 风险管理 风险管理
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| GB/T 7714 | 冯玲 , 林雨 , 钟群超 et al. 混合风险测度下基于ESG投资理念的投资组合选择 [J]. | 系统科学与数学 , 2024 , 44 (8) : 2236-2256 . |
| MLA | 冯玲 et al. "混合风险测度下基于ESG投资理念的投资组合选择" . | 系统科学与数学 44 . 8 (2024) : 2236-2256 . |
| APA | 冯玲 , 林雨 , 钟群超 , 吴伟平 . 混合风险测度下基于ESG投资理念的投资组合选择 . | 系统科学与数学 , 2024 , 44 (8) , 2236-2256 . |
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This research theoretically analysed how corporate value is enhanced when Chinese state-owned enterprises (SOEs) shift their focus. In our analysis of Chinese SOEs listed in A-shares from 2013 to 2019, we describe their process of returning to their primary business using the 'three supply and one industry' (3S1I) handover policy. We conducted a quasi-natural experiment to study whether refocusing on SOEs can improve their value. The research shows that the policy enhances the efficiency of SOEs, thus increasing their value. These results were particularly evident among local SOEs. Moreover, SOE employees' social responsibility performance may have a negative moderating effect on efficiency, indicating that excessive social responsibility can lead to a loss in efficiency and a reduction in SOE value. We conclude by discussing why SOEs should prioritize improving economic value and then fulfil social responsibilities to enhance social value through social purchasing and other ways. This study contributes to the literature by providing recommendations on improving the value of SOE from the perspective of 'transferring 3S1I' and refocusing.
Keyword ：
Enterprise value Enterprise value quasi-natural experiment quasi-natural experiment shift in focus shift in focus state-owned enterprises state-owned enterprises transfer of 'three supplies and one industry' transfer of 'three supplies and one industry'
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| GB/T 7714 | Feng, Ling , Zhang, Jun . Can state-owned enterprises enhance enterprise value when they shift focus to core businesses? Empirical evidence on the transfer of 'three supplies and one industry' in China [J]. | APPLIED ECONOMICS , 2023 , 56 (13) : 1595-1609 . |
| MLA | Feng, Ling et al. "Can state-owned enterprises enhance enterprise value when they shift focus to core businesses? Empirical evidence on the transfer of 'three supplies and one industry' in China" . | APPLIED ECONOMICS 56 . 13 (2023) : 1595-1609 . |
| APA | Feng, Ling , Zhang, Jun . Can state-owned enterprises enhance enterprise value when they shift focus to core businesses? Empirical evidence on the transfer of 'three supplies and one industry' in China . | APPLIED ECONOMICS , 2023 , 56 (13) , 1595-1609 . |
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在全球治理实践中,新型多边机构受制于自身资金能力和运营效率,可能无法有效地从根本上解决国际公共产品建设中的资金供给问题,还须引入更广泛的主体和更多元的资本进行投融资国际合作.当前,中国正积极推动全球治理体系改革,通过阐释投融资国际合作新内涵,明确新型多边机构可为投融资国际合作实践做出新尝试;通过探索投融资国际合作新模式,提出新型多边机构须满足发展中国家需求、强调财务可持续性、开展国际多元主体合作三点战略定位;通过创新投融资国际合作新模式,提出以重大项目为抓手、以境外合作园区为平台、以互联网投融资平台为依托的投融资国际合作新模式.以期为有效落实中国方案,推动多元投资者命运共同体的形成,做出边际贡献.
Keyword ：
全球治理 全球治理 国际金融 国际金融 投融资国际合作 投融资国际合作 新内涵 新内涵 新型多边机构 新型多边机构 新模式 新模式
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| GB/T 7714 | 冯玲 , 黄煜 . 全球治理视角下投融资国际合作新模式的探索 ——以亚投行和新开发银行为例 [J]. | 金融理论与实践 , 2023 , (1) : 110-118 . |
| MLA | 冯玲 et al. "全球治理视角下投融资国际合作新模式的探索 ——以亚投行和新开发银行为例" . | 金融理论与实践 1 (2023) : 110-118 . |
| APA | 冯玲 , 黄煜 . 全球治理视角下投融资国际合作新模式的探索 ——以亚投行和新开发银行为例 . | 金融理论与实践 , 2023 , (1) , 110-118 . |
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As China's economy enters the stage of high-quality development, the sustainability of development becomes increasingly important. Therefore, this study takes air quality index as the explanatory variable, the level of shadow banking as the explained variable, and environmental regulation as the intermediary variable to empirically study whether environmental regulation caused by air pollution will affect the shadow banking of non-financial enterprises. The findings suggest that air pollution is likely to strengthen environmental regulation, thereby reducing the level of shadow banking, as air pollution strengthens environmental regulation, leading to the reduction of implicit government guarantees, while enterprises tend to abandon or minimize reliance on these guarantees and reduce leverage. The mechanism test shows that the ESG performance of non-financial firms weakens the process by which air pollution reduces the degree of shadow banking of non-financial firms, while the short-sightedness of management enhances this process. Heterogeneity analysis shows that this process is more significant under the effect of market-driven environmental regulation and in private enterprises and enterprises in regions with large industrial scale. Therefore, the policy implication is that government should continue to strengthen environmental law enforcement in future supervision, as this can not only reduce pollution levels but also reduce systemic financial risks. Enterprises should also increase their sense of social responsibility.
Keyword ：
Air pollution Air pollution Environmental regulation Environmental regulation ESG performance ESG performance Implicit government guarantees Implicit government guarantees Positive externalities Positive externalities Shadow banking Shadow banking
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| GB/T 7714 | Feng, Ling , Zhang, Jun , He, Yong . Does environmental regulation caused by air pollution reduce shadow banking for non-financial companies? Based on the exit perspective of implicit government guarantee [J]. | ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH , 2023 , 30 (53) : 113962-113977 . |
| MLA | Feng, Ling et al. "Does environmental regulation caused by air pollution reduce shadow banking for non-financial companies? Based on the exit perspective of implicit government guarantee" . | ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH 30 . 53 (2023) : 113962-113977 . |
| APA | Feng, Ling , Zhang, Jun , He, Yong . Does environmental regulation caused by air pollution reduce shadow banking for non-financial companies? Based on the exit perspective of implicit government guarantee . | ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH , 2023 , 30 (53) , 113962-113977 . |
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For a long time, the correlation between random sources has never been considered in carbon futures pricing, which virtually exists. We document the presence of high correlation between variations in convenience yields of carbon futures with different maturities, whose essence is correlation between random sources. Correlation of random sources arises from the long coverage of convenience yield of carbon emission spot and the complementarity in expiration between carbon futures with different maturities. Since if random sources are correlated will significantly affect the dynamics of convenience yield and finally affect futures prices, we introduce quantum field method to account for the impact of this correlation on futures prices, and proposes the correlation between random sources extended HJM convenience yield model (CRS-HJM-CYM). Empirical results indicate CRS-HJM-CYM performs better than traditional model owing to the role of correlation, which means the correlation between random sources is a pivotal factor in carbon futures pricing.
Keyword ：
Carbon futures pricing Carbon futures pricing Convenience yield Convenience yield Correlation between random sources Correlation between random sources Quantum field theory Quantum field theory
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| GB/T 7714 | Feng, Ling , Wang, Jieyu . Random sources correlations and carbon futures pricing [J]. | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS , 2023 , 86 . |
| MLA | Feng, Ling et al. "Random sources correlations and carbon futures pricing" . | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS 86 (2023) . |
| APA | Feng, Ling , Wang, Jieyu . Random sources correlations and carbon futures pricing . | INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS , 2023 , 86 . |
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为揭示近年来供应链金融的研究现状和进展,采用文献计量分析和内容分析相结合的方法,沿时间轴梳理近十年与考虑融资服务的供应链金融密切相关的80余篇文献。根据融资服务模式将供应链金融划分为考虑外部融资的供应链金融、考虑内部融资的供应链金融和考虑不同融资模式的供应链金融三类,进一步从供应链金融结构、协调合同、模型和决策变量的角度阐述文献的研究特点。将相关文献的被引用次数和期刊排名考虑在内,从文献分布情况对考虑融资服务的供应链金融文献进行较为全面的统计分析。本研究旨在通过对不同类别的文献进行详细的分析评述,为相关领域未来的研究方向提出建设性的建议。
Keyword ：
供应链金融 供应链金融 内部融资 内部融资 外部融资 外部融资 融资服务模式 融资服务模式 贸易信贷 贸易信贷
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| GB/T 7714 | 刘仕强 , 王雅娜 , 冯玲 . 供应链金融的文献分类与综述——基于融资服务视角 [J]. | 北京邮电大学学报(社会科学版) , 2022 , 24 (01) : 59-74 . |
| MLA | 刘仕强 et al. "供应链金融的文献分类与综述——基于融资服务视角" . | 北京邮电大学学报(社会科学版) 24 . 01 (2022) : 59-74 . |
| APA | 刘仕强 , 王雅娜 , 冯玲 . 供应链金融的文献分类与综述——基于融资服务视角 . | 北京邮电大学学报(社会科学版) , 2022 , 24 (01) , 59-74 . |
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Abstract ：
投资者对金融资产的供求往往随着市场波动而不断变化,并随时进行下达和取消订单等交易行为,故而市场的流动性在本质上是随机波动的.因此,本文研究了当市场深度随机变化时,限价指令簿市场中多资产的最优执行问题,并采用动态规划的方法给出了最优执行策略及最小执行成本的解析表达式.结果表明,最优执行策略是关于位移和剩余头寸的线性函数,而最优执行成本则是关于初始资产购买量的非线性函数.数值算例显示,当投资者忽略市场深度的随机波动特征及资产价格的相互交叉影响时,将会导致支付较大的交易成本,从而降低投资的福利水平.
Keyword ：
价格相关影响 价格相关影响 动态规划 动态规划 最优执行问题 最优执行问题 限价指令簿 限价指令簿 随机流动性 随机流动性
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| GB/T 7714 | 冯玲 , 林雨 , 吴伟平 et al. 随机市场深度下多资产的最优执行问题 [J]. | 系统工程理论与实践 , 2022 , 42 (07) : 1811-1825 . |
| MLA | 冯玲 et al. "随机市场深度下多资产的最优执行问题" . | 系统工程理论与实践 42 . 07 (2022) : 1811-1825 . |
| APA | 冯玲 , 林雨 , 吴伟平 , 王曈瑶 . 随机市场深度下多资产的最优执行问题 . | 系统工程理论与实践 , 2022 , 42 (07) , 1811-1825 . |
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We develop a model on bank risk and implicit government guarantees. This model concerns the willingness and capacity of implicit government guarantees. Using the Option Pricing Theory, we derive a mathematical formulation of maximizing the bank's net present value (NPV) with implicit government guarantees. Unlike previous work, both the loan portfolio and the bank's NPV are regarded as a combination of options underlying the risky project. We conduct comparative static analyses and numerical examples to examine how implicit government guarantees and capital control affect bank risk and its asset scale. The main insight of our analysis is that implicit government guarantees have some unintended consequences: (a) Inefficient and excessive risk taking (including bank's asset and overall risk); (b) Inefficient investment if there is no binding capacity constraint. We show that it is mainly due to the bank's excessive reliance on contingent assets. In addition, we demonstrate the ineffectiveness of capital constraint on risk control under certain circumstances. Therefore, we suggest that the gradual withdrawal of implicit government guarantees should be accompanied by multiple combinations of regulatory measures and proper institutional reform to avoid risk surges.
Keyword ：
bank risk bank risk Implicit government guarantees Implicit government guarantees loan portfolios loan portfolios
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| GB/T 7714 | Feng, Ling , Liu, Yingying , Fang, Jie . Implicit government guarantees and bank risk [J]. | ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA , 2022 , 36 (1) : 1015-1039 . |
| MLA | Feng, Ling et al. "Implicit government guarantees and bank risk" . | ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA 36 . 1 (2022) : 1015-1039 . |
| APA | Feng, Ling , Liu, Yingying , Fang, Jie . Implicit government guarantees and bank risk . | ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA , 2022 , 36 (1) , 1015-1039 . |
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The supply and demand of financial assets for investors, who can place and cancel limit orders at any time, often changes continuously with market fluctuations. And it causes the randomness of market liquidity. This paper studies the optimal portfolio execution problem with the stochastic market depth in the limit order book (LOB) market. We develop successfully the analytical optimal execution strategy and minimum execution cost for such a problem by using the dynamic programming method. The revealed results show that the obtained optimal execution strategy is a linear function with respect to the displacement and remaining position. Moreover, the optimal execution cost is a non-linear function of the initial asset quantity. The numerical examples show that the investor would pay higher transaction costs and reduce the level of investment welfare when they ignore the random fluctuation characteristics of market depth and the cross-effect between asset prices. © 2022 Systems Engineering Society of China. All rights reserved.
Keyword ：
Commerce Commerce Costs Costs Dynamic programming Dynamic programming Functions Functions Investments Investments Stochastic systems Stochastic systems
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| GB/T 7714 | Feng, Ling , Lin, Yu , Wu, Weiping et al. The optimal portfolio execution problem with the stochastic market depth [J]. | System Engineering Theory and Practice , 2022 , 42 (7) : 1811-1825 . |
| MLA | Feng, Ling et al. "The optimal portfolio execution problem with the stochastic market depth" . | System Engineering Theory and Practice 42 . 7 (2022) : 1811-1825 . |
| APA | Feng, Ling , Lin, Yu , Wu, Weiping , Wang, Tongyao . The optimal portfolio execution problem with the stochastic market depth . | System Engineering Theory and Practice , 2022 , 42 (7) , 1811-1825 . |
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Purpose In order to improve the current level of agricultural informatization and the large deviation of economic growth. Combining the cost input of the green ecological environment and the level of economic growth, the relationship model between the level of agricultural informatization and economic growth is established in the green ecological environment. Design/methodology/approach The authors establish an evaluation index system for the level of agricultural informatization and calculate the total index of agricultural informatization under the index system. Combining the cost input of the green ecological environment and the level of economic growth, the authors establish the relationship model between the level of agricultural informatization and economic growth in the green ecological environment. Findings The research results show that the regression coefficient of determination including agricultural informatization elements from 2014 to 2018 is 5.105466, indicating that the model fits well. The sum of the variables is greater than 1, indicating that the mutual influence of agricultural informatization factors is also obvious. The condition of the hypothesis test in this study is significant (5%), which shows the positive relationship between the elastic coefficient of agricultural informatization and the elements of informatization. The results show that the continuous advancement of the informatization process can effectively promote agricultural economic growth. Originality/value The condition of the hypothesis test in this study is significant (5%), which shows the positive relationship between the elastic coefficient of agricultural informatization and the elements of informatization. The continuous advancement of the informatization process can effectively promote agricultural economic growth.
Keyword ：
Agricultural informatization Agricultural informatization Economic growth Economic growth Elasticity coefficient Elasticity coefficient Green ecological environment Green ecological environment Relationship model Relationship model
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| GB/T 7714 | Feng, Ling , Huang, Yu . Research on modeling the relationship between agricultural informatization level and economic growth in green ecological environment [J]. | KYBERNETES , 2022 , 52 (2) : 659-668 . |
| MLA | Feng, Ling et al. "Research on modeling the relationship between agricultural informatization level and economic growth in green ecological environment" . | KYBERNETES 52 . 2 (2022) : 659-668 . |
| APA | Feng, Ling , Huang, Yu . Research on modeling the relationship between agricultural informatization level and economic growth in green ecological environment . | KYBERNETES , 2022 , 52 (2) , 659-668 . |
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