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    How to hedge extreme risk of natural gas in multivariate semiparametric value-at-risk portfolio?
    (Technická Univerzita v Liberci, ) Živkov, Dejan; Kuzman, Boris; Subić, Jonel; Ekonomická fakulta
    The COVID-19 pandemic and the war in Ukraine have caused huge price changes in the natural gas market. This paper tries to minimise the extreme risk of natural gas, making two sixasset portfolios, where gas is combined with five developed and emerging European stock indices. We observe extreme risk from the aspect of classical parametric Value-at-Risk measure, but we also propose a new approach and optimise portfolios with semiparametric VaR as a target. Estimating the equicorrelation of the two portfolios, we determine that the emerging indices portfolio has a much lower level of integration, which is good for portfolio construction. Additionally, we divide the full sample into the pre-crisis and crisis periods to assess how portfolios look in the two intrinsically different subsamples. According to the results, both portfolios with the developed and emerging stock indices minimise extreme risk very well, but the latter portfolio is better. In the pre-crisis period, this advantage amounts to around 6% in the min-VaR portfolio and 3.5% in the min-mVaR portfolio. However, in the crisis period, the third and fourth moments come to the fore, meaning that hedging results increase significantly in favour of the emerging indices portfolios. In other words, the min-VaR and min-mVaR results of the emerging indices portfolio are better in amounts of more than 14% and 17%, respectively, vis-à-vis portfolios with the developed stock indices. We recommend using the semiparametric VaR metric because it is far more accurate and unbiased compared to the classical VaR since it considers all the key features of portfolio distribution.
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    Applying an integrated data-driven weighting system – CoCoSo approach for financial performance evaluation of Fortune 500 companies
    (Technická Univerzita v Liberci, ) Ersoy, Nazli; Ekonomická fakulta
    Financial performance evaluation provides information about a firm’s liquidity position, profitability, capital structure and asset utilization. Financial performance evaluation is considered as a multi-criteria decision making (MCDM) problem, as it is a multidimensional concept that is realized by bringing together multiple indicators. This study is aimed to evaluate the financial performance of the Fortune 500 companies by using the integrated data-driven weighting system (IDDWS) – combined compromise solution (CoCoSo) approach. The criteria weights were calculated with the IDDWS and the companies were ranked by the CoCoSo method. In the last stage, a three-stage sensitivity analysis was performed to test the robustness of the model. In the first stage, 15 scenarios were defined by changing the criteria weights. In the second stage, the rankings of the CoCoSo method were compared with the other MCDM methods [range of value (ROV), proximity indexed value (PIV), complex proportional assessment (COPRAS), Biswas and Saha’s method]. In the third stage, a sensitivity analysis was conducted under five different scenarios based on different δ parameters. It was determined that the rankings obtained as a result of the sensitivity analysis show small deviations and except for a few companies, the ranking of most companies remained the same. The results show that the proposed model is suitable for measuring financial performance and Alphabet performs best. The suitability of the proposed model for measuring financial performance was tested for the first time. It is thought that the comparative use of many MCDM methods through a comprehensive sensitivity analysis will contribute to the literature.
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    Multilateral development banks – Strategic actors in the new economy?
    (Technická Univerzita v Liberci, ) Niţescu, Dan Costin; Murgu, Valentin; Manolache, Simona Beatrice; Ekonomická fakulta
    The paper addresses the role of multilateral development banks in the new economic paradigm, built in the context of multiple crises with global impact. Multilateral development banks, in their capacity as promoters of governments’ policies are “invited/expected” to play a key role in the new geopolitical architecture, holding a competitive advantage in the provision of finance, which is linked to the design and implementation of structural reforms and programs of strengthening institutions controlled by governments. The paper aims to represent a signal regarding the strategic component and the synergies that multilateral development banks can determine. It highlights the tools that multilateral development banks have for selecting, monitoring and supporting programs and projects with regional and global impact. The paper describes the state of knowledge and reviews the specialised literature in the field of multilateral development banks, describes intervention channels and financing products of multilateral development banks, and discusses their impact on a European and regional level. The concluding remarks address the strategic role of multilateral development banks, their contribution to sustainable development goals and outline directions for future research.
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    The competitive advantage of enterprises from the customer perspective
    (Technická Univerzita v Liberci, ) Maráková, Vanda; Wolak-Tuzimek, Anna; Lament, Marzanna; Dzúriková, Lenka; Ekonomická fakulta
    The ability to achieve and maintain a competitive advantage in the long term is one of the most valuable abilities of a company in the modern economy. Companies strive to achieve a competitive advantage in order to be recognised by customers, which is expected to lead to increased revenues and profits. It is important to choose factors serving to achieve a competitive advantage. More desirable are factors that are difficult to copy by competitors and adapted to the opinions and needs of consumers. The aim of the article is to identify the sources of competitive advantage of enterprises in the opinion of consumers from Slovakia and Poland. The article analyses the literature on the subject and uses the methods of descriptive statistics and exploratory factor analysis (EFA). The analysis of the results is based on surveys conducted on a group of consumers from Slovakia and Poland using statistical software. A questionnaire assesses the importance of competitive factors utilised by companies. The obtained results confirm that quality is an important source of competitive advantage and country is a variable differentiating the selection of sources of competitive advantage. The research contributes to the ongoing scientific discussion, more specifically taking into account the consumer focus. To summarise, gaining a competitive advantage is a complex task influenced by a number of factors. To a large extent, they are related to the capacity for innovation, to the resources possessed, including human capital, and to the ability to respond to market needs and the use of marketing tools. The research contributes to the development of theories in the field of enterprise competitiveness, and its results can serve as recommendations for enterprise managers to identify the key sources of enterprises’ competitive advantage.
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    Discovering the mindsets of the luxury recycling phenomenon
    (Technická Univerzita v Liberci, ) Todri, Ardita; Papajorgji, Petraq; Ekonomická fakulta
    This study focuses on two main luxury items recycling issues. First, understanding customers’ attitudes toward recycling luxury items via e-business and second, discovering e-platforms configurations used. This study considers as input parameters consumers’ age and gender. Thus, an online survey implementing a mind genomics experiment was delivered to 4,320 international consumers regardless of whether they have experienced or not recycling luxury items via e-commerce channels. Only 3,624 consumers participated in the study, indicating one of four reasons they recycle luxury items via e-commerce channels. These reasons are: to renew their wardrobe often, follow fashion without paying an exorbitant price, profit from selling clothes & accessories they do not use anymore, and be part of the luxury recycling business without significant investments. In addition, this study established as the main pillars of luxury recycling items via e-commerce channels the following aspects: the use of e-commerce to recycle luxury clothes & accessories; the configuration used in luxury recycling e-commerce sites; the sector benefiting the most from the luxury recycling business; the luxury recycling business approach more beneficial. The selection of the study pillars and the reasons for recycling help to achieve the main goal of the study, being understanding what fascinates consumers about luxury recycling. It unveils that configurations such as outlets and individual sales are preferred in the luxury items recycling business. Further, recommendations are provided to consolidate ethical luxury items recycling business, such as the development of more user-friendly technological e-commerce platforms, and decreasing intermediation charges.