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Table of Content

    30 June 2010, Volume 18 Issue 3 Previous Issue    Next Issue
    Risk Premium, Uncertainty and Multi-stages of Patent Investment
    XUE Ming-gao, SU Li-li
    2010, 18 (3):  1-9. 
    Abstract ( 2473 )   PDF (2651KB) ( 974 )   Save
    In this paper,we analyze the relation among risk premium,uncertainty and multi-stages of patent investment,in order to reveal the internal mechanism of investment decision theory.Using the optimal control model,we firstly derive the analytic expression of risk premium in the situation of two-stage. Under more than two stages case,numerical solution is presented by using numerical iteration algorithm based on dynamic programming.It is shown that the risk premium has significant differences between the pre-and post patent investment completion.After completion patent investment,the risk premiumonly increases with the increasing market risk.On the other hand,before completion with the increasing market risk,the risk premium increases accordingly,but the result turns out contrary to that of increasing patent length,the number of completed stages and expected future cash flow.Our results will help to bring forth new ideas on the extant theory,and to make a scientific investment decisions.
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    A Study on the Asymmetric Effect of Information Transmission between the A and H Shares Cross-listing Stocks
    GUO Yan-feng, HUANG Deng-shi, WEI Yu, LIN Yu
    2010, 18 (3):  10-16. 
    Abstract ( 2462 )   PDF (447KB) ( 1507 )   Save
    This paper studies the asymmetric problem of information transmission about the A and Hshares cross-listing stocks.We take an empirical test by the Granger causality test and dynamic conditional correlation bivariate GARCH model with the daily closing price datum of H-share index and H-shares plate index from the January 2003 to the April 2009,considering the return and volatility as the representative variables of the flow of information.The results show that the return information is transmitted from the H-shares market to H-shares plate marketin one way,while volatility information is mainly from H-shares plate market to H-shares market.From the results,we can see that,the transmission of information is of asymmetry,and they are respectively in line with "international center" and "home bias" hypothesis.Furthermore,the conditional correlation of the two markets changes dynamically with an upward trend after introducing qualified Hongkong institutional investors.
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    Research on Multi-period Futures Dynamic Hedging Model
    CHI Guo-tai, YU Fang-ping, WANG Yu-gang
    2010, 18 (3):  17-24. 
    Abstract ( 2444 )   PDF (467KB) ( 1515 )   Save
    The hedger position's value alteration is analyzed,and using the dynamic programming method, the multi-period futures dynamic hedging optimal model is set up.At the same time,the dynamic multi-period strategy is derived.The characteristic lies on three aspects.Firstly,the model reflects the effect of hedging trade cost.This solves the problem of the existing hedging strategies ignoring the impact of trade cost,and improves the model(sprecision and accuracy.Secondly,the impact of futures margin is taken in to account.The futures margin's opportunity loss is brought into hedging strategies,which gives a true picture of futures marg in existing opportunity loss without interest return.Thus the model remedies the limitation thatexisting literatures have no regard of the futures margin's opportunity loss.Thirdly,the principle of the maximum return of the hedger is considered.The malpractice that would only consider the price risk and ignore the futures and spots portfolio's profitis solved.This guarantees the model's practicality and utility.
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    Pricing and Inventory Decisions for Substitutable Products Based on MNL Customer Choice Model
    MU Bo-Jiao, XIAO Yong-bo, CHEN Jian
    2010, 18 (3):  25-32. 
    Abstract ( 2579 )   PDF (1415KB) ( 1530 )   Save
    Motivated by the common practice that many manufactures usually sell their products through a samelarge-scale retailer,this paper studies the optimal pricing and inventory decisions for two substitutable products thatare provided by two competitive manufactures.Starting from the choice behavior of customers,an in-depth investigation of two scenarios,in which the retailer and the manufactures set the retailing prices respectively,are provided.Research shows that under the multi-nominal logit(MNL)choice model,the optimal joint pricing of the retailer should choose an equal unit profit,and the pricing game between the manufactures has a unique Nash equilibrium.Numerical experiments are conducted respectively,to evaluate the optimal pricing decisions and profitallocations,for the scenarios where the manufacturers and the retailer have/has stronger bargaining powers.Results have uncovered some interesting managerial in-sights for the selling-mode choice of relevant enterprises.
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    Pollution Abatement Technology Investment Decision Models for Monopoly Firms Based on Pollution Discharge Reduction and Transaction Cost
    SUN Wei, SHANG Lei, LIANG Ji-hua
    2010, 18 (3):  33-37. 
    Abstract ( 2302 )   PDF (347KB) ( 1205 )   Save
    Introducing the parameters of pollution discharge reduction and transaction costrate,the pollution abatement technology investment decision models for monopoly firms with and without transaction cost are given,based on real option theory respectively.The stimulating results show that the amounts of reduction are negatively related to firms'optimal investment thresholds,and positively related to firms'investment value,while transaction costs reduce firms'timing of investments and investment value,and hurt firms'incentives to invest and trade.
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    Pricing and Delivery Lead Time Joint Decisions in Decentralized Supply Chain with Retailers’ Competition
    SHEN Cheng-lin, Qing Zhi-qiong, ZHANG Xin-xin
    2010, 18 (3):  38-44. 
    Abstract ( 2618 )   PDF (421KB) ( 1795 )   Save
    A decentralized supply chain consisting of a supplier and two competitive retailers is investigated in this paper.A joint pricing and delivery lead time decision model facing price and lead time sensitivity demands is established,and then optimal decisions policies for pricing and planned lead time are given. Next,decision efficiency of the decentralized supply chain is examined using the performance of the corre sponding centralized system as a benchmark.Finally,numerical examples are used to analyze impacts of price sensitivity,lead time sensitivity,and channel competition sensitivity on the decision efficiency of the supply chain system.The results show that,the competition between downstream channels contributes not only to improve the decision efficiency of the decentralized system,but to shorten the planned delivery lead time,so that the competence of the whole supply chain in the market will be correspondingly upgrade.
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    Research on Market Risk Sharing Mechanism of Two-Stage Application Service Supply Chain under Demand Uncertainty
    DAN Bin, TANG Guo-feng, SONG Han, ZHANG Xu-mei
    2010, 18 (3):  45-52. 
    Abstract ( 2536 )   PDF (1046KB) ( 1399 )   Save
    A Stackelberg game model is developed for studying the market risk,caused by demand uncertainty and service competition in the two stage application service supply chain,which is composed of the Application Service Provider(ASP)and Independent Soft ware Vendor(ISV).The two different kinds of risk sharing mechanisms,ASP taking the risk or ISV taking the risk,are studied.The research result shows that,ASP will order the maximal amount of the allocated service demand when the ISV takes the risk.and a soft ware license sales plan is provided by ISV when the ASP takes the risk.At that time,ISV will incent ASP to order more soft ware license quantity by improving the soft ware quality and service level of upgrading the soft ware.Through the numerical analysis,the risk sharing mechanism of the ASP taking the risk is better than the mechanism of the ISV taking the risk from the perspective of the performance of application service supply chain.
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    Optimization on Integrated Production-Location-Routing Problem Based on Lagrange Relaxation Algorithm
    CAI Hong-wen, ZHANG Dian-ye
    2010, 18 (3):  53-57. 
    Abstract ( 2394 )   PDF (238KB) ( 2167 )   Save
    In this paper,a complex large scale system integrated production lotsizing,distribution center location and vehicle routing problem is researched,and the relevant mathematic model is established.In order to underst and and solve the problem,we decompose the system into relatively independent production lotsizing subsystem,distribution center subsystem and location routing subsystem,by lagrange relaxation algorithm.A coordination mechanism based on subgradient optimization algorithm is presented, and the system is led to globally o ptimized goal.Finally,an example for this problem is given.
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    Customer Churn Prediction Model Fusing Multiple Classifier Based on Cost Sensitivity Study Using Ant Colony Optimization
    LUO Bin, SHAO Pei-ji, LUO Jin-yao, LIU Du-yu, XIA Guo-en
    2010, 18 (3):  58-67. 
    Abstract ( 2744 )   PDF (562KB) ( 1518 )   Save
    According to the complexity of customer churn prediction in Telecom,integrating the characters,such as the excellent indicative of the self-organizing neural network(SOM)when discretizing continuous at tributes,the outstanding capability of rough set theory(RS)when reducing the attributes,and the feature of the ant colony optimization(ACO)when searching atrandom globally,based on the technique of model integration and the theory of cost sensitivity study,a new customer churn model is proposed,i.e.fusing multiple classifiers based on cost sensitivity study using ant colony optimization(ACO). When constructing the model,there are four steps:(1)Discretizing the continuous at tributes unsupervis edly using SOM;(2)Reducing the discrete attributes according to the importance of the attributes using RS;(3)Building four sub classifiers on the reduced attributes sets using four completely different classification techniques including NaiveBayes,Logistic Regression,Multilayer Perceptron and Decision Tree,respectively;(4)Fusing the sub classifiers,that based on cost sensitive theory,and integrated four models linearly,which weight sobtained through the ant colony optimization(ACO).Applying the model to customer churn research in a telecom munication enterprise,the experiment results suggest that the fusing technique is feasible and very efficient.
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    Research on Cost-recovery Policy for Grid-connected PV Project Based on the Real Option
    ZHONG Yu, LIU Ming-wu, MA Yong-kai
    2010, 18 (3):  68-74. 
    Abstract ( 2348 )   PDF (2306KB) ( 1344 )   Save
    To speed up the grid-connected solar power generation marke-to riented operation and to cultivate strategic new industry,the Government will compensate the grid-connected PV project based on the total project investment.By the real option theory,this paper researches the investment and the cos-trecovery policy in the grid-connected photo voltaic power generation projects under the uncertainty of the cost and the on-grid price.First,the bestinvest ment timing for the power generation enterprises and the effect of the cost-recovery policy on investment strategy are derived.Second,the accessibility of the bestinv estment opportunities is discussed,and a necessary condition for the successful implementation of the cost-recovery policy is also obtained.Finally,we get the cost-recovery ratio under the expected waiting time for investing,and furthermore,conclude the cost-recovery policy for the government.
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    The Evidential Reasoning Based Balanced Scorecard and Its Application to the Performance Assessment
    SUN Chao-ping, YANG Shan-lin, FU Chao
    2010, 18 (3):  75-82. 
    Abstract ( 2553 )   PDF (389KB) ( 1418 )   Save
    It is difficult to deal with various uncer tainties when traditional balanced scorecard(BSC)is used to assess per for mance Aiming at it,this paper proposes an evidential reasoning based BSC. Amulti-hier-archical distributed assessment model with multiple sets of assessment rades is constructed. The assessments on different frames are unified using the rule based transformation technique. All uncer tain assessments on the indicators of multiple levels are combined by using an analytical algorithm. Based on the resulting assessment,the utility or maximal grade criteria are developed to assess the performance. To demonstrate its validity and rationality,the evidential reasoning based BSC is applied to the performance as sessment of the sensors department in Jianghang Aircraft Equipment Co,Ltd.
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    Time Series Prediction Based on Variable Structure RBF Neural Networks
    ZHANG Dong-qing, MA Hong-wei, NING Xuan-xi
    2010, 18 (3):  83-89. 
    Abstract ( 2349 )   PDF (544KB) ( 1987 )   Save
    Suitable architecture is critical for a neural network to model time series and it determines forecast performance.So far,most methods assume that the architecture will keep fixed once it has been trained.However,many time series are nonlinear and their structures often change,which requires that the architecture of network should vary with time.Therefore,a variable structure radial basis function (RBF)neural network is proposed in this paper.Furthermore,sequential Monte Carlo(SMC)method is applied for time series on line prediction in the variable structure RBF network model.At last,the data of CRU global steel price index are analyzed,and experimental results indicate that the variable structure RBFnet work proposed is effective.
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    Research on the Ranking of Multiple Decision Object for Attribute Value within Interval Numbers
    LIU Jian, LIU Si-feng
    2010, 18 (3):  90-94. 
    Abstract ( 2408 )   PDF (1766KB) ( 1390 )   Save
    The essence of multi-attribute decision making is the use of existing decision-making information through a certain way and preferred options to sort.In order to solve the multi-attribute decision making problems that use property value for the interval numbers,in this paper,first of all,we put forward the definition of dominance relation for decision making objects.Then,we figure out the equivalence relations which exist between the value of advantage relationship for decision making object and the sum of two attribute values.Finally,we analyze the multi-attribute decision instances by using attribute values as the interval number.We use the probabilistic dominance relation to sort and select the decision-making objects.
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    A New Approach for Priorities Trapezoidal Fuzzy Number Reciprocal Judgement Matrix
    WU Jian
    2010, 18 (3):  95-100. 
    Abstract ( 2513 )   PDF (311KB) ( 1374 )   Save
    This paper deals with the decision problem where the preference information is given as the form of trapezoidal fuzzy number reciprocal judgement matrix.Firstly,by utilizing the continuous interval argument OWA(COWA)operator,we introduce the expected value function concept of trapezoidal fuzzy number for ranking order,which is adjusted according to decision-maker's optimistic degree and more reasonable.Secondly,the trapezoidal fuzzy number complementary judgment matrixis transformed into the expected value complementary judgment matrix for deriving the priorities of alternatives.Then,the method to make sensitivity analysis for the results by decision-maker's optimistic degree is proposed.Finally,a numerical example is given to show the feasibility and effectiveness of the developed method.
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    The Weights Determination of Extended PROMETHEE Ⅱ Method Based on Interval Numbers
    LI Wei-xiang, ZHANG Guang-ming, LI Bang-yi
    2010, 18 (3):  101-106. 
    Abstract ( 2417 )   PDF (275KB) ( 1960 )   Save
    This article introduces a new distance measure for interval numbers,and extends the PROMETHEE Ⅱ method that can deal directly with the eigen space expressed as interval numbers. On the basis of the analysis of the relationship between the weighted vector and the final priority order,a principle of the weights dete mination of extended PROMETHEE Ⅱ method based on interval numbers for decision attribute is proposed. Through case study,this method,feasible and effective,has high value in popularization and application.
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    Multi-criteria Decision-making Approach Based on the Interval Grey Uncertain Linguistic
    WANG Jian-qiang, WU Jian-wen
    2010, 18 (3):  107-111. 
    Abstract ( 2491 )   PDF (2135KB) ( 1286 )   Save
    In this paper,interval grey uncertain linguistic,as well as its operation principles and distance formula,is defined.As an extended continuous interval argument OWA(C-OWA)operator,interval grey uncertain linguistic ordered weighted C-OWA(IGULOWC-OWA)operator is presented,and its characteristics are discussed.As for the multi-criteria decision making problems,in which the criteria weights are completely known and the criteria values of alternatives are in the form of interval grey uncertain linguistic,a multi-criteria decision approach based on the IGULOWC-OWA operator is proposed.In the method, the criteria values of alternatives are converted into uncertain linguistics.Then,the collective values of alernatives can be obtained by using the aggregation operator.Finally,an example is given to illustrate the feasibility and validity of the developed method.
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    Study on the Selectope Based on Dissatisfactory Degree and Its Application in Profit Allocation of Enterprises
    LI Tong, ZHANG Qiang
    2010, 18 (3):  112-116. 
    Abstract ( 2275 )   PDF (248KB) ( 1287 )   Save
    Allocation of the profit of the enterprise alliance is a key issue.In accordance with the dissatis factory degree of the enterprise alliance,which is symboled by the excess value in Cooperative games,we select the comparatively fair solution from Selectope,the solution setin Cooperative games.This solution has the advantage of existence and uniqueness.We have quantitatively studied the stability of the cooperation and propose the scheme with the consideration of the stability.
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    The Analysis of Tie-sale in Two-sided Markets
    ZHANG Kai, LI Xiang-yang
    2010, 18 (3):  117-124. 
    Abstract ( 2306 )   PDF (393KB) ( 2117 )   Save
    Tie-in sale is one of the most common promotion strategies of two sided platforms in real world. Separating buyers into two groups i.e.tying preference buyers and tying indifference buyers,the paper analyzes different tying preference that influences equilibrium pricing and relative social welfare,when two sided plat forms implement tying strategy as one of promotion strategies.The results show that tying has ambiguous effect on buyerentry equilibrium price and sellerentry equilibrium,which are set by two sided platforms in monopoly case and competition case.The price of tying productis set as single markets in both cases.In monopoly case,tying can increase the number of buyers and sellers,and the profit of platform.The platform which has less cost of tying product will get much more buyers,sellers and profitin competition case.The sumutility of buyers and sellers and social welfare will increase,when the number of tying preference buyers increases in both cases.
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    An Analysis of Link Externalities and Network Formation in Oligopolies with Vertical Differentiation
    JIANG Chuan-hai, LI Ye, LI Yong
    2010, 18 (3):  125-131. 
    Abstract ( 2286 )   PDF (2327KB) ( 924 )   Save
    Competing firms often form links with their rivals,which can affect the way they compete in the product market.In this paper,we develop a model of a two-stage game to examine the incentives of the competing firms to form links and the resulting network structures of the link formation.In the first stage of the game,the firms with vertical product differentiation decide whether to form links with their rivals. After observing the network structure in the second stage,the firms compete in prices.Our analysis shows that,the equilibrium network structure is determined by the link effect,link costs,and consumers preferences.The equilibrium network structure is either a star network,in which one firm is directly linked to all other firms that are not linked to each other,or an empty network in which no link is formed.We also show thatas com pared with the socially optimal network,there are less links in the equilibrium network due to a lack of individual incentives in link formation.Public policy should be designed to encourage firms to form links.
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    Equilibrium Analysis of Bidder Collusion Based on the Second-price Pre-auction Knockout
    WANG Hong, CHEN Hong-min, GU Qiao-ming
    2010, 18 (3):  132-140. 
    Abstract ( 2666 )   PDF (1032KB) ( 1428 )   Save
    This paper assumes that the collusive bidders take advantage of the second-price pre-auction knockout collusive mechanism,and solves the collusion equilibrium under the first price main auction.We not only consider the auctioneers strategic response to collusion,but also consider the strategic responses between collusive bidders and non-collusive bidders.The main result shows that,compared to competitive biddings without collusions,the bidding of non-cartel members will become more aggressive to counteract disadvantage from cartel members.Furthermore,setting a reasonable reserve price by the auctioneer has significant effect on bidder collusion.
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    Equilibrium in Duopoly Game with Double Endogenous Choices
    YANG Xiao-hua, XIA Huo-song, LUO Yun-feng
    2010, 18 (3):  141-147. 
    Abstract ( 2307 )   PDF (412KB) ( 1026 )   Save
    This paper studies the equilibrium outcomes of a duopoly game under double endogenous choices,i.e.both the strategic variables(price or quantity)and the move-timing(first-mover or second mover)are chosen endogenously.It is showed that,whether the strategic variables are chosen before or after endogenous timing,the equilibrium out comes are identical.The equilibrium outcomes are quantity competitions with three kinds of move orders,i.e.one simultaneous-move game and two sequential-move games with both leader-follower configurations.
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    Contract Stability and Optimization of “Company & Farmer” Mode Bosed on Game Model
    TU Guo-ping, LENG Bi-bin
    2010, 18 (3):  148-157. 
    Abstract ( 2475 )   PDF (2394KB) ( 1161 )   Save
    In order to explore optimization mode and counterm easures for solving breaking contract problem of "Company&Farmer",the established static game model reveals that the basic reason of the breaking contract problem of "Company&Farmer" is market risk,and the price fluctuation interval of static "Company&Farmer" is obtained.The established contract stability model reveales that the distribution mechanism of "benefit sharing",the reduction of the transaction cost of "Company&Farmer",the strengthening restraint mechanism and the establishment of reputation mechanism are all helpful for stability and development of "Company&Farmer".Simultaneously,futures and options are introduced to optimize "Company&Farmer",and the "Company&Farmer&futures" optimization mode can solve breaking contract risk of company,but not solve breaking contractrisk of farmer;and the "Company&Farmer&options" optimization mode rest rains breaking contract behavior of farmer radically,which can avoid risk of company,lock the company's future profit,and stabilize the source of goods of agricultural product,and also solves the problem of the risk and contract breaking behavior of company.
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    Nash Implementation with Cost of Signal
    LIU Chang-chen, XIAO Jiang-wen, LUO Yun-feng
    2010, 18 (3):  158-164. 
    Abstract ( 2346 )   PDF (319KB) ( 930 )   Save
    The paper discusses the impact of cost of signal on the implementability of social choice rule. The result of the paper shows that,in environment with moral constraint,monotonicity is nolonger a necessary condition for Nash implementation.In environment with moral constraint,when the number of agents is no less than 3,any social choice rule that satisfies unanimity is Nashim plementable,and when the number of agents is 2,any social choice rule that satisfies unanimity and intersection is Nashimplem entable.According to the results of this paper,the number of social choice rules which are implementable may be larger than we have thought.In environment with moral constraint,some social choice rules which do not satisfy monot onicity but unanimity,such as Pareto rule and Borda rule,are also Nash implementable.
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    The Dynamic Incentive and Monitor Mechanism of Government in Public-Private Partnership Projects
    XU Fei, SONG Bo
    2010, 18 (3):  167-173. 
    Abstract ( 2982 )   PDF (386KB) ( 1968 )   Save
    Considering the three major factors in the construction of PPP infrastructure projects,i.e.the optimal effort level of private sector,the supervision of public sector and the expected profit of relational contract,from the dynamic point of view,we apply the principal-agent theory to design a two-stage cooperation incentive contract between public and private sectors based on Holmstrom and Tirole incentive model.By analyzing the optimal effort level and supervision of the incentive factor in each stage,we conclude the effect of the relevant factor s and the dynamic interaction of two stages.We advance the contin gentincentive mechanism by comparing the external supervision and intrinsic incentive,so as to provide some guidance to the design of effective incentive contract between public and private sectors in PPP projects.
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    Study on Model of Dividend Payout Policy Based on Senior Manager’s Overconfidence in the Listed Company
    CHEN Qi-an, FANG Cai-xia, XIAO Ying-hong
    2010, 18 (3):  174-184. 
    Abstract ( 2453 )   PDF (474KB) ( 2015 )   Save
    On the basis of the current related research results,under the hypotheses condition that senior managers of listed companies are overconfident,this paper sets up an appropriate mathematical model to study the effect mechanism of the senior manager's over confident psychological preference on the dividend payout policy and the external financing decision of firm theoretically. The results show that,when the senior manager of listed company is optimistic about the future business environment,the cash dividend and debt financing amount of listed company would increase in his/her overconfidence;and when senior manager of listed company is pessimistic about the future business environment,the cash dividend and debt financing amount of listed company would decrease in his/her overconfidence. The cash dividend and debt financing amount of listed company would decrease in the company's stock price and the interest rate of debt financing fund;and the equity financing amount of listed company would increase in the company's stock price and the interest rate of debt financing fund.This paper reasonably expands and deepens the related research results obtained by Deshmukh,Goe and Howe theoretically.
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    Control Rights, Cash Flow Rights and Corporate Value: Based on the Perspective of Enterprise Life Cycle
    CAO Yu, CHEN Xiao-hong, WAN Guang-yu
    2010, 18 (3):  185-192. 
    Abstract ( 2554 )   PDF (2310KB) ( 1933 )   Save
    The paper presents an empirical study based on a database of 752 listed companies from 2005 to 2008 in China.With the method of cash flow portfolio to classify the phases of enter prises.life cycle,this paper investig ates the ultimate controllers.control rights,cash flow rights,the deviation of these two rights and their influence on corporate value.The results show that control rights of ultimate controller have a negative effect on corporate value.However,cash flow rights also have a negative effect,which is different for conclusions of western scholars.This is mainly because of our unique ownership structure,the shares held by major shareholders which are non-tradable shares,which result that high cash flow rights can not play a role in the incentive.The difference of two rights has a negative effect on corporate value in growing stage and maturity stage,while the decline stage is opposite.Comparing with non-state-owned companies,the state-owned companies have a better effect on the corporate value,while the opposite is true in recession.
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