Table of Content

20 August 2014, Volume 22 Issue 8 Previous Issue    Next Issue

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Sensitivity and Convexity of VaR (CVaR) and Their Kernel Estimator HUANG Jin-bo, LI Zhong-fei, ZHOU Xian-bo 2014, 22 (8):  1-9.  Abstract ( 2418 )   PDF (2137KB) ( 2601 )   Save Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) are two mainly popular risk measurement tools presently. How these risk measure indicators can be estimated accurately is the primary and central problem in the risk management practice. Nonparametric kernel estimation method has received broad attention recently because it can process dependent structure problem very easy and its model is flexible. In this paper, the kernel estimator of VaR and CVaR is investigated and firstly some properties of kernel estimator of VaR and CVaR are discussed. Then the investment portfolio's VaR and CVaR are definited and the analytical expression is derived for the first and second derivatives of the VaR and CVaR, which are used to analyze the sensitivity and convexity of VaR and CVaR. Finally, the kernel estimation method is used to estimate the sensitivity and convexity of VaR and CVaR. References | Related Articles | Metrics

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Investment Preference and the Idiosyncratic Volatility Puzzle——Evidence from China Stock Market LIU Wei-qi, XING Hong-wei, ZHANG Xin-dong 2014, 22 (8):  10-20.  Abstract ( 2799 )   PDF (892KB) ( 3672 )   Save There is evidence that investors have a preference for stocks with large price variation rather than stocks with flat price variation. Whether such an investment preference causes the idiosyncratic volatility puzzle? In this paper, the existence of the idiosyncratic volatility puzzle in China stock market is firstly examined. Then, portfolio analyses and Fama-MacBeth cross-sectional regression analyses both show that, the range of prices can explain to some extent, but not fully explain the idiosyncratic volatility puzzle. Cross-sectional regression results show that, under the joint effect of the range of prices, the maximum daily return and turnover, the negative relation between the idiosyncratic volatility and expected stock returns is no longer statistically significant. Thus, the investment preference for some special stocks may be the main cause to produce the idiosyncratic volatility puzzle. References | Related Articles | Metrics

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Forecasting of Copper Price based on Multi-scale Combined Model WANG Shu-ping, HU Ai-mei, WU Zhen-xin 2014, 22 (8):  21-28.  Abstract ( 2346 )   PDF (1372KB) ( 3295 )   Save Forecasting of cooper price is an important area of international commodity research. A new multi-scale combined forecasting model is built in this paper by using empirical mode decomposition (EMD), artificial neural network (ANN), support vector machine (SVM) and time series methods based on the idea of decomposition-reconstruction-integration. During the model building process, a new idea to use run length judgment method to reconstruct the component sequences is proposed. Then this model is used to analyze the fluctuation characteristics and trend of LME copper price. Copper price series is decomposed and reconstructed into high frequency, low frequency and trend sequences which can be explained from the angle of irregular factors, major events and long-term trend. Empirical analysis shows that comparing with the gray model GM (1, 1), Elman and some other single models and ARIMA-SVM combined model, multi-scale combined model obtained the best forecasting result. References | Related Articles | Metrics

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The Pricing of the Corporate Securities and the Optimal Capital Structure Under a Jump Diffusion Process XIANG Hua, YANG Zhao-jun 2014, 22 (8):  29-36.  Abstract ( 2920 )   PDF (1576KB) ( 1997 )   Save Taking the fact that geometric Brownian motion can't capture the dynamics of the asset value in a complicate environment, it is assumed that the asset value is driven by a double exponential jump diffusion process. In this paper, the pricing of corporate securities and the problem of optimal capital structure are studied. The main contributions are summed up as follows.Firstly, based on equilibrium pricing, the price of corporate securities is provided and the closed-form expressions of the value of securities are obtained. In addition, the comparative static analysis is presented, which indicates that the jump risk has a significant effect on the value of capital, optimal capital structure, yield spread. Compared with geometric Brownian motion, the jump risk reduces firm value, debt vale and the optimal leverage, but it increases the yield spread and the value of equity. References | Related Articles | Metrics

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Research on Product Pricing and Production Decision-making under the Supply Chain Environment Considering the Carbon-trading Mechanism MA Qiu-zhuo, SONG Hai-qing, CHEN Gong-yu 2014, 22 (8):  37-46.  Abstract ( 2476 )   PDF (1119KB) ( 3160 )   Save Assuming that a local government has launched a regional carbon trading market on the purpose of maximizing the profit of the whole production system which is under supervision, a variational inequality is used to construct a supernetwork framework including a supply chain subnetwork and a carbon trading subnetwork. It is assumed that the supplier always play the role of buyer and the manufacturer as the seller in carbon market. The profit-maximized subjective function of each firm in is formulated based and their optimal pricing and production decisions are discussed on the network which also contains a self-benefited carbon trading center. Based on this specific problem and combined with previous work, the proof of the existence, uniqueness and sufficient and necessary conditions of the optimal solution are comprehensively provided. A Korpelevich modified projection algorithm is addressed for solving the problem. With a numerical example, a convergent result is found out. With a comparison analysis between the scenarios of "participating in trading" and "not participating in trading", the result shows some valuable managerial insights on the decision making of the company and the government under the low-carbon environment. References | Related Articles | Metrics

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Relationship among New CEO’s Characteristics, TMT Adjustment and Performance-Empirical Study Based on ST Listed Enterprises LI Wei-ning, ZHANG Yi-ning 2014, 22 (8):  47-55.  Abstract ( 2429 )   PDF (875KB) ( 2324 )   Save Based on Upper Echelons Perspective, key problems of previous researches on CEO succession are studied to analyze relationship among ST listed enterprises' new CEO characteristics, TMT adjustment and enterprise performance changes. We choose 110 CEO succession samples from listed enterprises which replace CEO from 2000 to 2010 are chosen in the empirical research,and it can be found that new CEO age and education level have significant positive effects on enterprise short-term performance changes. New CEO without working experience as CEO can better improve short-term performance than the CEO with relevant experience. New CEO from internal can better improve long-term performance than CEO from external. TMT adjustment has a significant positive effect on short-term performance changes, but new CEO's characteristics have no significant effect on TMT adjustment. This study provides a new perspective for researches about transformation strategy of performance declined enterprises, and also provides a basis for Chinese enterprises to select and replace CEO. References | Related Articles | Metrics

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The GEM Listed Corporations Inertia Disclosure, Information Similarity and Asset Pricing——Empirical Test Based on Improved Fama-French Model JIANG Yan-hui, MA Chao-qun, XIONG Xi-xi 2014, 22 (8):  56-63.  Abstract ( 2171 )   PDF (923KB) ( 2391 )   Save As an important part of financial report, "Management's Discussion and Analysis" (MD&A) provides investors historical information to look at business conditions and forward-looking information on future events, and plays a crucial role in investors' decision-making. But MD&A disclosed by management is not dynamically adjusted in the time sequence, what the economic consequences it will bring to the capital markets, which is the issues investors and regulators are generally concerned about. Take as the object of our analysis the text information disclosure (MD&A) of the GEM listed companies in the past two years (2010-2012), in this paper, the level of MD&A inertia disclosure by the indicator "information similarity"is firstly quantitatively measured, then the asset pricing model-Fama-French Model is improved to explore the correlations between the information similarity and the cost of equity capital. The result of our study indicates that, a positive relationship between the information similarities with the cost of equity capital exists. This paper enriches the literature of information disclosure and enhances understanding of text information disclosure behavior. References | Related Articles | Metrics

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Information Credible and Loan Interest Rate Determination of Supply Chain Robust Model Analysis YU Hui, LIU Peng-fei, SUN Cai-hong 2014, 22 (8):  64-71.  Abstract ( 2064 )   PDF (1577KB) ( 1937 )   Save It is necessary to provide reliable information when enterprises want to apply for bank loans. The bank can choose to believe part or all of the information, and then provide different interest rates.In this paper, problems those relationship between credible information and bank lending rates and effect that the corresponding decision makes on supply chain which included the borrowing enterprise are studied. By constructing a level two supply chain model including vendor, retailer and bank, supply chain financial situation which exists demand payment of money retailers is depicted. According to the situation that the bank uses all the information or part of the information provided by retailer, Stackelberg game theory, the robust newsboy method and the mini-max method are introduced to get the bank's optimal interest rates decision and the impact of supply chain operation. Research shows that the bank uses the part of the information could not increase their income effectively, but it has very significant influence to supply chain operation efficiency. References | Related Articles | Metrics

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Cluster Supply Chain Replenishment Model and Algorithm with Credit Option LIU Chun-ling, XIAO Wei-chun, LI Ji-zi, CAO Xiao-gang, HUANG Chun-hui 2014, 22 (8):  72-79.  Abstract ( 2180 )   PDF (1345KB) ( 2194 )   Save Cluster supply chain is a system operating on the platform of industrial cluster. In this paper, a multi-vendor multi-buyer decentralized replenishment model is explored based on the single-vendor single-buyer model at first. Then by incorporating the policy of flexible ordering intervals and credit option, a multi-vendor multi-buyer joint replenishment model is proposed with credit option which will meet the purchasing features of high frequency, small batch, flexibility and dependence nicely in the cluster supply chain, and the corresponding enumeration algorithm is provided. Lastly, by numerical analyses, the efficiency of the joint replenishment is rerified. According to the sensitive analyses, how holding cost and ordering intervals affect the optimal delayed payment period as well as the cost is also studied. References | Related Articles | Metrics

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Contracting with Asymmetric Production Cost Disruption Information under Nonlinear Demand Function HUANG Song, YANG Chao 2014, 22 (8):  80-89.  Abstract ( 2063 )   PDF (1186KB) ( 2035 )   Save To analyze the impact of asymmetric disruption information on the supply chain contract design, the optimal contract design problem is investigated when the manufacturer experiences production cost disruption and the production cost disruption information is asymmetric. Based on the assumption that the market demand is nonlinearly determined by the retail price, by utilizing the principal-agent theory, the optimal contract menus under asymmetric production cost disruption information are derived. And the impact of asymmetric production cost disruption information on the supply chain performance is analyzed. It is found that appropriate contract menus can be devised to improve the supply chain performance when the market demand takes the form of exponential function or constant-elasticity function. Under asymmetric production cost disruption, the original production plan is still optimal under some specific conditions. And the asymmetry of production cost disruption does not necessarily lead to profit loss for the supply chain. At last, some numerical examples are given to verify the results obtained this paper. These results will help to improve the operation efficiency of the supply chain under asymmetric production cost disruption scenario. References | Related Articles | Metrics

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Fairness’s Influences to the Retailer’s Ordering Decision LI Juan, ZHANG Di, SHEN Hou-cai 2014, 22 (8):  90-99.  Abstract ( 2377 )   PDF (961KB) ( 2018 )   Save The retailer's fairness concerning influences the ordering decision in the supply chain. Types of fairness are divided as: two-sides process fairness, two-sides outcome fairness, one-side process fairness and one-side outcome fairness. In this paper, how fairness concerning influences the retailer's optimal ordering decisions under wholesale price contract is investigated. Firstly, given the wholesale price contract, when the retailer concerns about two-sides fairness, the optimal ordering decision under process fairness is different from that under outcome fairness. The comparison of the optimal ordering decisions between that with fairness concerning and that without depends on the system's parameters. His fairness concerning cannot coordinate the supply chain, but it can improve his relative profits under some conditions. Secondly, given the wholesale price contract, when the retailer concerns about one-side fairness, the optimal ordering decision with process fairness is smaller than that without and the optimal ordering decision with outcome fairness is larger than that without under some conditions. His fairness concerning cannot coordinate the supply chain, but he can improve his relative profits under some conditions. References | Related Articles | Metrics

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Modular Design of Emergency Task Executive Processes Based on DSM TIAN Jun, LI Li-fang, BAI Jian, FENG Geng-zhong 2014, 22 (8):  100-107.  Abstract ( 2275 )   PDF (2056KB) ( 1978 )   Save The process management of emergency tasks is a necessary requirement in disposal operation of emergency plan on the computer network platform. Taking the advantage of modular management of business process, in this paper Unified Modeling Language (UML) is introduced to describing the dependence relationships between activities in an emergency plan, and mapped to a design structure matrix (DSM). The four points scale rule is used to measure the degree of information dependence relationships of the flow dependence, as well as the dependences of the role, the equipment and the facilities in the resource dependence between the activities. The indictor of the dependence volume and its calculation method is proposed. Then, clustering optimization model is carried out, in which the minimizing of the total dependence volume between different modules and maximizing of the total dependence volume inner all modules are token as the objectives.Acoordingly, a genetic algorithm is designed to solve this problem. At last, a case study is analyzed, and the calculation result proves that the proposed method is validity and effectively. This method could bitterly reduce the complex degree of organization management, and creat the conditions for fast restructuring and integrating functions of module tasks. References | Related Articles | Metrics

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Emergency Risk Analysis based on Knowledge Element LU Xiao-li, YU Hai-feng 2014, 22 (8):  108-114.  Abstract ( 2123 )   PDF (1055KB) ( 2101 )   Save Scientific risk analysis of emergency is helpful to make correct contingency plans for Emergency Management Agency and to reduce event loss. However, most emergency risk analyses are under restrictions of multi factors, high dimensional data, small samples and incomplete information, and cannot fully recognize the risk of an emergency. In emergency system viewpoint and under the assistance of knowledge element model, projection pursuit method and information diffusion theory, a method of emergency risk analysis is developed in this paper based on knowledge element. By making use of the knowledge element model, the common ontological characteristics are described. Reducing dimensionality of the observed data on the input elements through searching for the optimum projection direction of the standard data on emergency risk grade, risk information contained in the observed data of the input elements is diffused into the points of the risk index universe on the output elements, and the emergency risk probability is carried out. Taking a lake as an example, risk of the water pollution is graded according to the national standard of environmental quality for surface water, with the data collected from 8 real-time monitoring sites of the lake. The results show that the emergency risk analysis based on knowledge element could analyze and evaluate potential risk of an emergency according to the risk standard grade and the observed data on site. The model of emergency risk analysis based on knowledge element expands the study of risk analysis and provides a scientific basis for the emergency management.Further, the results will provide references to emergency risk analysis in the dangerous areas where real-time monitoring system has been established. References | Related Articles | Metrics

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Study for a Conflict Measure for Large Group Decision based on Interval-valued Intuitionistic Trapezoidal Fuzzy Number XU Xuan-hua, WNA Qi-feng, CHEN Xiao-hong, ZHOU Yan-ju 2014, 22 (8):  115-122.  Abstract ( 2044 )   PDF (891KB) ( 2324 )   Save Large group decision making is a difficult problem because it is hard to coordinate the conflict among multiple people. Conflict measure problems of large group are studied with every decision preferences expressed by interval-valued intuitionistic trapezoidal fuzzy number (IITFN). Firstly, the distance measurement between two IITFNs is given and conflict function among group members is proposed. Then, large group members are clustered. Afterwards, the cluster and group conflict measure models are proposed respectively and applied in the aggregating of large group preferences. Finally, a simulation example validates the model. This model deals with the analysis and coordination of large group decision, so it is applicable for group decision support system. References | Related Articles | Metrics

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A Method of Equivalence Grouping for Comprehensive Interview CHEN Yuan, FAN Zhi-ping, XIE Mei-ping 2014, 22 (8):  123-129.  Abstract ( 2340 )   PDF (1642KB) ( 2063 )   Save Comprehensive interview is becoming a common form in most recruitment. How to make the structure of interview group fair and reasonable is very important. In this paper, the effects of grouping on interview results for comprehensive interview are firstly analyzed. Then, the idea of equivalence grouping is proposed that the structure of each group is as same as possible. After that, a double objective model is constructed. Further, a genetic algorithm is proposed to solve the model according to the characteristics of the grouping problem. The proposed genetic algorithm can also be used to solve a class of grouping problems. Finally, a numerical example is provided to illustrate the applications of the proposed method. References | Related Articles | Metrics

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Study on Identification Method for Risk Factors of Urban Typical Lifeline Operation Considering a Complex Interdependent Context SUO Wei-lan, Chen Rui 2014, 22 (8):  130-140.  Abstract ( 2010 )   PDF (1190KB) ( 1764 )   Save Heating, electricity and gas systems are representatives of urban typical lifeline with the characteristics of strong publicness, high risk and significant interdependence. Research on the problem of risk factor identification for the operation of urban typical lifeline has a very important significance for relevant departments to prevent risk. However, a complex interdependent context formed by multiple systems, multiple risk factors and several interdependences in reality increases the difficulty of solving the mentioned problem. Thus, a framework for risk factor identification with hierarchical network structure is firstly constructed in this paper. Then, a method for risk factor identification considering the complex interdependent context is proposed. In the method, linguistic assessment information on system interdependence and risk factor interdependence provided by experts are converted into two-tuple linguistics. Through extending the Decision Making Trial and Evaluation Laboratory (DEMATEL) method and Two-Additive Choquet (TAC) integral operator to two-tuple linguistic environment, several interdependences are integrated comprehensively. Furthermore, the rank and classification of risk factors are determined to help decision makers judge risk source and distinct the essences of risk factors. Finally, an example in Beijing is used to illustrate the potential application value of the proposed method, and the targeted measures for risk prevention are given according to the identification results. This study provides a decision support for relevant departments to conduct risk prevention collaboratively. References | Related Articles | Metrics

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Market Leadership and Industrial Quality：an Endogenous Quality and Timing Model YE Guang-liang, WANG Xin 2014, 22 (8):  141-148.  Abstract ( 2039 )   PDF (939KB) ( 1819 )   Save Effects of pricing leadership on endogenous quality decisions in a duopoly are examined with vertical product differentiation. The study that quality gap between high and low quality products decreases in the market with leadership (sequential game) compared to the market without leadership (simultaneous game). Follower's profit always increases but the leader's profit decreases. Furthermore, both consumer surplus and social welfare decreases in the leadership model. Finally, it also can be found that with a single pre-game delay stage, the resulting endogenous timing has both firms being followers. References | Related Articles | Metrics