【作者】 岳明；

【导师】 李敏强；

【作者基本信息】 天津大学 ， 管理科学与工程， 2008， 博士

【摘要】 酒业是我国的传统产业，在国民经济发展中具有举足轻重的地位和作用。对于酒类企业，市场和利润是决定其生存和发展的根本。本文利用秩相关系数和随机森林法分析各种酒类产量及影响因素之间的相关性，并基于ARMA-GARCH模型和规则集成算法预测了天津津酒集团的利润，最后提出津酒集团未来发展战略。根据全国各省市历年白酒、啤酒、葡萄酒的产量与各省市人口及城镇居民人均可支配收入数据，计算以上数据两两之间的Spearman和Kendall秩相关系数，结果表明啤酒、葡萄酒、人口和收入都影响着白酒产量。因此将白酒产量当作因变量，其它4个指标当作自变量，首次利用随机森林法拟合它们之间的函数关系，然后基于此拟合函数计算其它指标对于白酒产量的影响程度，并做出了偏相关图形。通过津酒集团1986年1月到2006年12月20年每月的利润数据，首先根据数据的平稳性和ARCH效应检验结果，首次确定利润一阶差分均值采用线性ARMA模型，方差采用广义条件异方差GARCH模型。再通过检验残差的独立性，最后确定出ARMA(1,14)-GARCH(1,1)模型，极大似然估计参数，从而预测出津酒集团未来利润。按照津酒集团利润数据和相同时段1986年1月到2006年12月每月产量、收入和税金。把利润当成因变量，产量、收入和税金当做自变量，首次利用规则集成法拟合它们之间的函数关系。采用GARCH模型预测自变量――产量、收入和税金未来对应数值，将预测出的自变量数值再代入拟合函数，从而预测未来利润。并用2007年1至6月的利润值进行检验，结果表明规则集成法预测误差更小。通过全国和天津白酒行业现状、市场特征和发展趋势的分析，根据本文研究的啤酒、葡萄酒及白酒产量的影响程度和白酒利润预测结果，指出天津津酒集团面临机遇、挑战和发展瓶颈，提出津酒集团发展目标、思路和战略规划：从构建三大平台、提升六大能力、整合公司治理结构与集团化管理模式等方面的实施方案，从而为津酒集团的战略腾飞指明方向。更多还原

【Abstract】 Liquor product is traditional industry in China. It plays an important role in na-tional economic development. Market and profit are the base for its surviving and devel-oping. The dependence between liquor output and their influential factors was analyzedby rank correlation coeffcient and Random Forest. The profit of Tianjin Jinjiu Groupwas predicted by ARMA-GARCH and Rule Ensemble. Lastly the future developmentstrategy of Jinjiu Group was suggested.The yearly population, the disposable personal income and the output of alcohol,peer, wine of China different provinces were organized. The Spearman and Kendallrank correlation coeffcients were calculated for each two of them. The result showedthat peer, wine, population and income all have in?uence on alcohol. Therefore, alcoholoutput was considered as dependent variable and the other four indicators as dependencevariables. Their function was fitted by Random Forest and the in?uence strength wasmake out. Partial dependence was plotted.Based on monthly profit of Jinjiu Group from January, 1986 to December, 2006,stationary and ARCH tests manifested that mean of one lag di?erence can be modeledby linear ARMA and variance by GARCH. ARMA(1,14)-GARCH(1,1) was determinedby testing the independence of the residuals. Parameters were estimated by maximumlikelihood function, then future profit was demonstrated.Monthly output, income and tax of the same time of profit in Jinjiu Group wereprepared. Taking profit as output variable and the other three as input variable, theirfunction was fitted by Rule Ensemble. Input variable was predicted by GARCH. Profitwas predicted by substituting predicted input variable to fitted function. Testing resultdemonstrated that Rule Ensemble is superior to GARCH by real profit from January,2007 to June, 2007.Present condition, market character and developing trend of alcohol industry inChina and Tianjin were analyzed. Based on influence strength between alcohol andbeer and wine and predicted profit, the chance, challenge and diffculty of Jinjiu Groupwere explained. Its developing objects, idea and plan were suggested from constructingthree platforms, increasing six kinds of ability, integrating administrate structure andgrouping management mode. All were very useful for Jinjiu Group’s expanding.更多还原