Table of Content

20 October 2014, Volume 22 Issue 10 Previous Issue    Next Issue

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Asset-liability Management based on CRRA Utility Criterion ZENG Yan, LI Zhong-fei, ZHU Shu-shang, WU Hui-ling 2014, 22 (10):  1-8.  Abstract ( 3146 )   PDF (12444KB) ( 4410 )   Save An optimization problem of maximizing the expected utility from an investor's terminal ratio of asset to liability is studied in a continuous-time incomplete financial market. Suppose that the financial market consists of one risk-free asset and multiple risky assets, whose price processes are modeled by geometric Brownian motions, and that during the investment process, the investor is faced with an uncontrollable exogenous liability, which is also described by a geometric Brownian motion. Corresponding HJB equation and verification theorem are provided, and the closed-form expressions for the optimal investment strategy and optimal value function are derived by adopting the stochastic dynamic programming approach. Furthermore, by employing sensitivity analysis and numerical examples, it can be found that: (1) The optimal investment strategy is independent of the appreciate rate of the exogenous liability and the current ratio of asset and liability;(2) in the case without exogenous liability, the optimal proportions of investing on the risky assets decrease as the volatility of the risky assets or the relative risk aversion coefficient increases, but in the case with exogenous liability, this result only holds when the parameters satisfy some conditions;(3) in the case without exogenous liability, the optimal value function increases as the investment time horizon or the appreciate rate of the risky assets becomes larger, and decreases as the volatility of the risky assets becomes larger, but this result also only holds when the parameters satisfy some conditions. References | Related Articles | Metrics

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The Impact of CSI 300 Index Futures on the Continuous Volatility and Jump Volatility of the Cash Market in China QIAO Gao-xiu, LIU Qiang, ZHANG Mao-jun 2014, 22 (10):  9-18.  Abstract ( 2364 )   PDF (1848KB) ( 2156 )   Save The impact of CSI 300 index futures on the volatility of cash market is examined in this paper by using jump diffusion stochastic volatility models. The parameters are estimated in terms of MCMC method, the volatility and jump features of cash market before index futures is listed are compared with those of cash market after index futures, and are also compared with that of futures market. It is found that index futures do have stabilizing effect for cash market, but it mainly happens in continuous part of index volatility. Continuous volatility of index accelerates its mean reversion speed with the decreasing trend, and the leverage effect of index begins to appear with the time evolving although there is no leverage effect at the beginning. The proportion for jump volatility of index is high, but jump size and jump proportion appears to be decreasing. References | Related Articles | Metrics

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An Investigation of Stackelberg Differential Game Model Application in Credit Market and Interest Coordination Mechanism within Banks’ Cooperation LIU Hong-sheng, LI Bang-yi 2014, 22 (10):  19-28.  Abstract ( 2153 )   PDF (1157KB) ( 2229 )   Save On the circumstance of that banks generally adopt "credit crunch" strategy, in this paper financing game between banks and enterprises is investigated to solve financing problem by conducting Stackelberg differential game model. Through establishing bank and enterprises' on-target function respectively, banks' optimal dynamic loan supply and interest rate strategies, enterprises' dynamic loan use strategy are discussed in the case of that with and without local banks cooperation, and the problem of alliance in local banks is studied with purpose of achieving benefit-sharing. The result has demonstrated that in the case of that without local banks cooperation, banks' loan supply increase, upward trend in credit interest rate is suppressed, probability of enterprises default increases, and optimal interest rate strategy is that credit interest rate and credit funds supply are negatively correlated. In the case of that with local banks cooperation, upward trend in enterprises default probability is suppressed, penalty costs of enterprises default decrease, the enterprises will more willing to exercising the obligation. Simultaneously, benefit-sharing mechanism establish optimal financing strategies for both superior and inferior players to solve the problem related to banks cooperation stability, and also provide a efficient path to solve financing dilemma, ensuring credit market healthy and prosperous. References | Related Articles | Metrics

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Investment and Consumption Model with the Zero-Coupon Bond under the Ho-Lee Interest Rate Model CHANG Hao 2014, 22 (10):  29-37.  Abstract ( 2259 )   PDF (1820KB) ( 2058 )   Save A class of continuoue-time investment-consumption problems are studied with stochastic interest rate environment and zero-coupon bond, in which risk-free interest rate is driven by the Ho-Lee interest rate model and financial market is composed of one risk-free asset and one risky asset and one zero-coupon bond. The investor wishes to choose an optimal investment-consumption strategy to maximize the expected discounted utility of terminal wealth and consumption. The explicit expressions of the optimal investment-consumption strategies in the power and logarithm utility cases are obtained by applying dynamic programming principle and variable change approach. A numerical example is given to illustate the dynamic behavior of the optimal investment-consumption strategy with respect to market parameters and some economic implications are achieved. References | Related Articles | Metrics

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Research on Investment Option Game Model of Corporate Patent ——Base on Asymmetric Duopoly Model PENG Wei, DUAN Jing-jing, TANG Zhen-peng 2014, 22 (10):  38-43.  Abstract ( 2060 )   PDF (1014KB) ( 2343 )   Save Option game is taken into the research of enterprise patent investment, and asymmetric duopoly model is established to examine the optimal investment decision-making behavior of patent based on the theory of option game. Further, the investment of patent and Nash equilibrium with numerical research is analyzed. The results show that patent investment should be considered with uncertainty, irreversibility and competitive impact. Not only the management of flexible value but also the competition impact in a framework should be considered to find the optimal patent investment strategy. References | Related Articles | Metrics

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Risk Measurement Based on Markov Stochastic Volatility and EVT JI Xin-long, ZHOU Xiao-hua 2014, 22 (10):  44-51.  Abstract ( 2045 )   PDF (1261KB) ( 2713 )   Save In order to capture the characteristics of changed, gathered and state transitions of the fluctuations in financial assets in the stock returns data, Markov chain is introduced into the SV model to build the MSSV-t model, then the extreme value theory(EVT) is combined to measure the VaR. Use the Shanghai Composite Index for the empirical analysis. Finally the effect of MSSV-t-EVT model is analyzed with Backtesting, the results shows that the MSSV-t-EVT model can portray the fluctuation characteristics of financial yield effectively, especially the extreme fluctuation characteristics. Backtesting results shows, the application of MSSV-t-EVT model to measure the risk of comprehensive Index is reasonable and effective. In particular the higher the confidence level, the higher the accuracy.These results indicate that MSSV-t-EVT model has a better description and warning functions than the traditional linear risk measurement model. It can be used for the risk control of investment portfolio, and also for the warning of abnormal fluctuations by financial regulators. References | Related Articles | Metrics

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Screening Contract Design for Innovative Product R&D Outsourcing under Asymmetric Information LIU Ke-ning, SONG Hua-ming 2014, 22 (10):  52-58.  Abstract ( 2082 )   PDF (1253KB) ( 2772 )   Save In the innovative products R&D outsourcing project, the asymmetric cost information of the outsourcing enterprise brings income risk to the contracting enterprise. Focused on such issues, the screening model in principal-agent theory is used to incentive the outsourcing enterprise disclose their real cost information. The contracting enterprise provides the outsourcing screening contract to outsourcing enterprises which divided into two kinds, the higher cost factor and the lower cost factor. The screening contract is designed with two main parameters called fixed payment and revenue sharing coefficient to induce the outsourcing enterprises to choose the suitable contract and give the optimal level of effort. The conclusions imply that the fixed payment and revenue sharing coefficient in screening contract are affected by the proportion of the number of two kinds of different cost factor outsourcing enterprises, and the outsourcer with lower cost factor gets not only reservation utility but extra information rent. With the number of high cost factor outsourcers in the market increasing, the contractors may reduce the expected profits. References | Related Articles | Metrics

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Supply Chain Inventory Strategy Considering Quality Control under Decision-maker Overconfidence Perspective XIAO Di, YUAN Jing-xia, LU Qi-hui 2014, 22 (10):  59-65.  Abstract ( 2101 )   PDF (1290KB) ( 2266 )   Save The issue that how overconfidence for market demand of member in a supply chain system consisting one supplier and one retailer influences its inventory strategy and supplier's quality investment is examined. And the equilibriums are analyzed in three different inventory strategy, namely, retailer managed inventory, vendor managed inventory, and centralized decision making.Further,the impact of overconfidence for inventory strategy and profit of members in supply chain are discussed through comparing with result under perfect rationality. The results show that decision-maker of overconfidence is positively affected by psychological expectations for market demand in retailer management inventory mode, but is opposite in vendor management inventory and centralized decision making mode. References | Related Articles | Metrics

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Decision Analysis of Bidding Prices base on Generalized First Price in Keyword Auction YUAN Quan, WANG Ding-wei 2014, 22 (10):  66-71.  Abstract ( 2084 )   PDF (895KB) ( 2523 )   Save Since advertisers cannot correctly evaluate the optimal bidding prices in keyword auction, the optimal bidding price decision has been a key problem waiting to be solved. Based on some assumptions equivalent to the assumption in Friedman's bidding model, the winning probabilities of keyword bidding are computed for all different advertising positions. According to the generalized first price auction mechanism, the decision model of optimal keyword bidding price is established. The model can support advertisers to select the optimal keyword bidding prices. Finally, the validity of the model is verified by simulations. References | Related Articles | Metrics

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Selection of the Recovery Channel Based on Recovery Price Competition between the Reverse Supply Chains FU Xiao-yong, ZHU Qing-hua, ZHAO Tie-lin 2014, 22 (10):  72-79.  Abstract ( 2076 )   PDF (2078KB) ( 2659 )   Save Bosed on the fact that processors will face choosing recovery channels problem in the presence of e-waste recycling market, game model of recycling channels selection by waste electronic products treatment facilities within the context of competition between double chains is established. Through the literature review, four recycling modes in the recycling market are summed up, and the game model of the recycling channels is established under the background of market mechanism. A numerical case is further used to simulate and analyze the game equilibrium outcome. The results are as follows,Firstly, under the mixed mode, the price, quantity and profit of processors selecting direct recovery channels are up to the maximum But if selecting indirect recovery channels,the situation will be on the contrary. In Addition, under the three modes, recovery rates, the number of recovery, profits and reverse supply chain profit of processors are multiplied with the sensitivity coefficient of the consumers.Under the three modes, recovery rates, the number of recovery, profits and reverse supply chain profit of processors are inversely proportional to the recovery competition factor. Finally, under the three modes, processors 1 are gradually increasing, processors 2 profits are gradually reducing. These useful conclusions can provide supports for processors to make decisions. References | Related Articles | Metrics

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A Clustering-Based Approach for Medical Supplies Intermodal Transportation in Large-Scale Disasters RUAN Jun-hu, WANG Xu-ping, YANG Ting 2014, 22 (10):  80-89.  Abstract ( 2455 )   PDF (18120KB) ( 1390 )   Save In real-world emergency responses, helicopters are gradually used to transport key relief resources such as medical supplies and personnel, due to the long distance between supply nodes and demand nodes or the difficulty to reach to affected areas by land in time. However, it is often impossible to transport relief supplies to every medical aid point (MAP) by helicopters in large-scale disasters. In general, considering the aggregation of residents in disasters, emergency distribution points (EDPs) are set up for receiving urgent medical supplies from helicopters and then delivering the supplies to each MAP by vehicles. In the work, a clustering-based two-stage approach is developed for medical supplies intermodal transportation in disasters. In the first stage, according to the locations of MAPs, Fuzzy C-Means (FCM) is used to select EDPs and partition MAPs, and importantly an improved FCM algorithm with capacity constraints (FCMwCC) is developed to overcome the unbalanced extra capacity in the FCM partitioning, which can determine the network of helicopters-vehicles intermodal transportation. In the second stage, a clustering-based routes optimization model is developed, which can determine the vehicle traveling routes from EDPs to their covered MAPs. Numerical experiments test the effectiveness of the developed approach and algorithms, and the following findings are obtained. Firstly, the MAPs partitioning by the classic FCM could minimize the total distance among MAPs and EDPs, but could result in big extra capacities due to lack of considering the capacity constraints. Further the MAPs adjustment by the improved FCMwCC could decrease the extra capacities and the number of used medical vehicles. The proposed model and algorithms could select proper emergency distribution points and arrange transportation routes for real-world intermodal transportation of medical supplies. References | Related Articles | Metrics

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Customer Churn Prediction in Mobile Communication Enterprises based on CART and Boosting Algorithm ZHANG Wei, YANG Shan-lin, LIU Ting-ting 2014, 22 (10):  90-96.  Abstract ( 2037 )   PDF (1594KB) ( 2213 )   Save Customer churn problems have been taking seriously by Enterprises, and how to predict churning customers effectively has been becoming an important subject. Firstly the original data of a mobile communication enterprise is preprocessed strictly, and the histogram test and the chi-square test are employed for choosing variables for the prediction model. Then a sampling method is applied to extract data for training and testing, and a strong classifier model based on Classification and Regression Tree and adaptive boosting algorithm is constructed by using training samples. At last, a simulation experiment is adopted and the results of the experiment show that the integrated model used in this paper had high prediction precision. The ROC curve presented in the paper also illustrates the model is an ideal classification model. Meanwhile, the model has been proved to have better prediction performance by comparison with the other two models. References | Related Articles | Metrics

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Optimization of Container Loading/unloading Integrated Scheduling in a Container Terminal Based on Hybrid Flowshop XING Xi-wen, MAO Jun, ZHANG Rui, JIN Zhi-hong 2014, 22 (10):  97-105.  Abstract ( 2083 )   PDF (2601KB) ( 2318 )   Save The research object of the container terminal collection and distribution resource scheduling is a multi-stage integrated operating system including loading, unloading and transporting containers, consisting of quay-cranes, container trucks and yard-cranes. The scheduling of the system is optimized based on the multi-stage hybrid flow shop scheduling to establish an integer programming model, taking into account the practical constraints of realistic jobs in the container terminal such as pre-defined sequence of operations, avoiding cross-operation and sequence-depended setup time and so on. A two-phase heuristic algorithm is designed for the problem according to the characteristics of itself, getting each equipment's assigning result and operating sequence in each stage. The comparative experiment, by comparing the optimal results with the scheduling scheme based on current scheduling rules and the theoretical lower bound of the objective function, shows the proposed integrated scheduling model and solution algorithm can effectively reduce the time of vessels in the harbor and realize the sharing of container trucks. This study provides a new method for integrated scheduling of container terminals. References | Related Articles | Metrics

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Pricing and Coordination Decision of Closed-Loop Supply Chain with Patent Protection Factor under Mixed Demand CAO Xiao-gang, WEN Hui, ZHENG Ben-rong, LI Ji-zi 2014, 22 (10):  106-112.  Abstract ( 3075 )   PDF (833KB) ( 1935 )   Save In this paper, the pricing and coordination problem of the patent-protected remanufacturing closed-loop supply chain under mixed demand of stochastic new products' demand and remanufactured products' price-dependent demand is studied using game theory. Through the analysis of two circumstances of centralized and decentralized decision-making, the optimal ordering quantity and wholesale price of new products, the optimal recycling price of waste products, the optimal patent licensing fees, the optimal retail price of remanufactured products and the optimal profit of the supply chain are obtained. Furthermore, the supply chain is coordinated by using revenue and expense sharing contract. Through the numerical example the impact of different remanufacturing cost saving on the optimal decision and the profits of the supply chain members, and the coordinating effect of the revenue and expense sharing contract are abtained. It can found that the manufacturer can influence the recycling price and recycling quantity of the used products recycled by the third re-manufacturer in the case of patent-protected remanufacturing, and then affect the revenue of manufacturer and the thirdre-manufacturer. References | Related Articles | Metrics

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Research on Activity Sensitivity Index based Dynamic Buffer Monitoring Method BIE Li, CUI Nan-fang, TIAN Wen-di, ZHAO Yan 2014, 22 (10):  113-121.  Abstract ( 2028 )   PDF (2319KB) ( 1657 )   Save The problem of buffer monitoring has a significant impact on successful application of the critical chain project management in many enterprises, and it can improve the performance of project schedule management and ensure the on-time delivery of projects. The current buffer monitoring methods neglect the project structure and activity information. To solve this defect, the activity sensitivity information in the schedule risk analysis method is introduced as a basis for decision making. The calculation of activity sensitivity index and the setting of action threshold are studied. An activity sensitivity index based dynamic monitoring process is triggered and integrated into buffer control when buffer consumption penetrates into the yellow region. Then an activity sensitivity index based dynamic buffer monitoring method is proposed. In detail, a indicator system with considering buffer index and activity cruciality index is established, and the action threshold of each indicator is set during project execution. Finally, a computational experiment is carried out to compare the proposed method and the current methods, the results show that the proposed method do better than the current buffer monitoring method in four performance indicators, such as the total crashing time, the total number of crashing activities, the frequency of completion time exceeding plans and monitoring load, when reasonably setting the action threshold of cruciality index. References | Related Articles | Metrics

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A Method for Hybrid Multiple Attribute Decision Making Based on Prospect Theory and Membership GONG Cheng-zhu, LI Lan-lan, WEI Zhen-feng, ZHU Ke-jun 2014, 22 (10):  122-128.  Abstract ( 1951 )   PDF (850KB) ( 2831 )   Save An outranking approach for hybrid multiple attribute decision making based on cumulative prospect value and membership is presented. Firstly, the psychological behavioral factors of decision makers are considered, and the expectation of each criterion is chosen as the reference point. Then, the hybrid decision matrix with clear numbers, interval numbers and linguistic assessment terms is transformed into the decision matrix of gains or losses relative to the decision maker's expectation. Furthermore, a fuzzy pattern recognition model is built based on weighted euclidean distance between each alternative solution and decision maker's expectation. In order to obtain the optimal membership and weight vector, a Lagrange relaxation function is proposed by using cross iterative computations. By synthesizing the comprehensive prospect value and membership, a ranking of each alternative solution is determined. Finally, an oil pipeline route selection example is used to demonstrate how to apply the proposed procedure and comparative studies show its overall ranking consistency. References | Related Articles | Metrics

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Multi-Stage Dynamic Interactive Group Evaluation Method Based On Interval Information and Its Application ZHANG Fa-ming, SUN Wen-long 2014, 22 (10):  129-135.  Abstract ( 1948 )   PDF (834KB) ( 2696 )   Save Currently, the numbers of multi-stage dynamic interactive croup evaluation studies is very small, and most of them base on point value evaluation information. Furthermore, most group evaluation studies neglect intrinsic logical link between rating range and variable evaluation information. To overcome these kinds of shortage, a multi-stage dynamic interactive group evaluation method is proposed based on interval information. The characteristics of interval evaluation information in interactive group evaluation are analyzed firstly, then the design idea of rating interval reset algorithm is put forward. Accompanied evaluation information changing, this algorithm can realize synchronously adjusting the rating range, promoting interaction progress and making evaluation information tend to be stable. Then, from the stability perspective, the paper defines stability of indicator index to explore the interaction termination' s base. Finally, a numerical example is given to show the feasibility and validity for the method. References | Related Articles | Metrics

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Leader-Guiding Model of Online Opinion Supernetwork TIAN Ru-ya, LIU Yi-jun, NIU Wen-yuan 2014, 22 (10):  136-141.  Abstract ( 2279 )   PDF (3952KB) ( 3027 )   Save Monitoring and management of online opinion are related to the safety of online society, reflecting the managers' capabilities of social management and maintenance of social harmony, and therefore increasingly become a hot topic. To settle this problem, Leader-Guiding Model (LGM) is proposed to study the mechanisms and effects of online opinion guiding. LGM is based on the online opinion supernetwork that can describe the characteristics of online opinion. Online opinion supernetwork includes social subnetwork, environment subnetwork, psychology subnetwork, and viewpoint subnetwork. Superlink prediction algorithm is used to provide a theoretical basis in selecting guiding objects. The simulation results prove that quantitative intervention strategies and influence mechanisms of elements in supernetwork can be obtained by using LGM to guide online opinion, which provides a brand new quantitative method in guiding online opinion. References | Related Articles | Metrics

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Knowledge Accumulation, Knowledge Reactivation and Innovation Capabilities ZHANG Jun, XU Qing-rui, ZHANG Su-ping 2014, 22 (10):  142-148.  Abstract ( 2017 )   PDF (743KB) ( 2245 )   Save The relationship between knowledge and innovation always gains highly concerning. However, existing literature has paid more attention to the relationship between different knowledge and innovation performance than that between same knowledge and different sub-capability of innovation capabilities, which may be constructed according to micro-processes of a firm's innovation. This theoretical gap provides an opportunity for the present paper. A theoretical model is proposed and tested by hierarchical regression analysis, using data collected from 419 domestic firms. Results Show that knowledge accumulation is positive with innovation capabilities throughout all sub-processes of innovating. Different mechanisms of knowledge reactivation have different impacts on the relationship between knowledge accumulation and innovation capabilities. Finally, theoretical contribution, managerial implications and limitations are discussed. References | Related Articles | Metrics