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30 August 2009, Volume 17 Issue 4 Previous Issue    Next Issue

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The Impact of Interest Rate Adjustment on the Term Structure of Forward Exchange Rates LI Xiao-ping, FENG Yun, WU Chong-feng 2009, 17 (4):  1-11.  Abstract ( 2726 )   PDF (1498KB) ( 1547 )   Save The research on the response of forward exchange markets to monetary policy is one of the hot spots in open economy macroeconomics and international finance. In this paper,we present that there exist some fixed points on the forward curve which have no response to the adjustment of interest rates. At first,using interest rate parity theory,we develop a static model of the term structure of forward exchange rates. Based on this model,we propose the condition for existence and uniqueness of fixed points on the forward curve by the definition of the fixed points,when the term structure of interest rate expresses various changes caused by interest rate adjustment.Then,based on the macroeconomic situations and monetary policy implemented by US and Japan,we have selected five typical cases to verify theory,which are common in the real monetary policy. The empirical results show that there exist some fixed points on the forward curve when the term structure of interest rates and spot exchange rate meets certain conditions. Related Articles | Metrics

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The Effects of Premature Withdrawal on Deposit Interest Rate Pricing ZHANG Qiao-yun, CHEN Yue-jun, ZHANG Wei 2009, 17 (4):  12-20.  Abstract ( 2295 )   PDF (484KB) ( 1342 )   Save How to set deposit interest rates is a vital issue in the management and operation of bank(s). Through an analysis of premature with drawal,the corresponding interests payment and the following impacts on bank risk compensation,this paper studies the issue of depositinter estrates pricing.We find that deposit interest rates show a non-linear characteristic and interestrates are directly influenced by the amount of premature withdrawal and the level of interests payments for withdrawn deposits.This paper gives theoretical explanations for some practical phenomena,such as why banks are willing to offer a higher rate for large deposits(or provide more services),and provide theoretical grounds for banks concerning issues like setting and adjusting interest rates,imposing penalty for premature withdrawal and charging fees for small balance accounts. Related Articles | Metrics

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Futures Hedging, Risk and Estimation Bayesian Statistics——Based on Empirical Research In China’s Copper Futures Market FU Jian-ru, ZHANG Zong-cheng 2009, 17 (4):  21-29.  Abstract ( 3064 )   PDF (1231KB) ( 1613 )   Save The risk of econometric models includes model-misspecification risk and estimation risk.Backward-looking econometric models based on frequentist statistics doesn't account for the existence of estimation risk. The Bayesian approach provides a general framework where estimation risk is naturally accounted for when considering the parameters as random variable. This article uses Bayesian approach based on MCMC simulation to estimate the optimal hedge ratio of China's copper futures market. The performance of the Bayesian hedge ratios is compared to that of alternative frequentist statistics approach.The Bayesian empirical result indicates EC-VAR model performs best and the hedging performance of VAR model significantly surpasses that of simple OLS model.On the contrary,if not accounting for estimation risk,EC-VAR model performs worst and the hedging performance of VAR model down't significantly surpass that of OLS model. Related Articles | Metrics

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Empirical Study on New Technology Investment Decision Based on Real Options Approach XING Xiao-qiang, TONG Yun-huan 2009, 17 (4):  30-38.  Abstract ( 2460 )   PDF (967KB) ( 1747 )   Save Based on the actual survey of high-tech companies in china,this paper tests the influence of different types of uncertainty on new technology investment decision in perspective of real options theory. The results show that the delaying effect of market and policy uncertainty and encouraging effect of technical uncertainty on investment decision are verified empirically in varying degree,while the moderating effects of competitive density and irreversibility on the relationship between uncertain and investment decision are not fully in accordance with the theoretical expectation. The results also bring to light some general rules in investment decision-making within high-tech companies,which can be referred for enterpises to apply the real option approach. Related Articles | Metrics

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Intertemporal Optimal Consumption and Portfolio Selection in an Illiquid Market YUAN Ning 2009, 17 (4):  39-45.  Abstract ( 2450 )   PDF (517KB) ( 1161 )   Save This article incorporates an illiquid asset in theframe of Merton's classic theory on intertemporal optimal consumption and portfolio selection. In this paper we develop a 3-asset finite-horizon continuous time model to explore impacts of illiquidity on the restricted investor's optimal consumption and invest ment decisions. An analytical solution is given using the standard dynamic programming approach. The numerical analysis demonstrates that the true value of the illiquid asset to the investor is less than its mar ket value, and the shadow price is needed to reflect this liquidity effect. Moreover, the liquidity constraint decreases the investor's welfare and affects his consumption and investment strategies significantly. Related Articles | Metrics

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Optimal Investment for Maximizing the Survival Probability LUO Yan, YANG Zhao-jun, YANG Jin-qiang 2009, 17 (4):  46-52.  Abstract ( 2489 )   PDF (444KB) ( 1553 )   Save In this paper, we study the problem of optimal investment based on the criteria of maximizing probability of survival. On the assumption that investor is faced with a random risk process, the market is incomplete, and the risk of going down-side to the investor cannot be completely eliminated no matter what the investment strategy is. The main contributions are summed up as follows: Based on the maximizing probability of survival, we consider the optimal problem with and without the restriction of borrowing respectively if the risk-free is greater than zero. The closed-form expressions of the optimal strategy and the optimal value function are derived via solving the corresponding HJB equation. In addition, the compares tive static analysis is presented, which explains the quantitative relations among the parameters, survival probability and investment strategy. The results indicate that the proportion invested in the risk asset decreases as the wealth level increases. The more the amount of wealth or the less the given goal level, the greater the survival probability. Related Articles | Metrics

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Revenue Management Model for High-Speed Passenger Railway LAN Bo-xiong, ZHANG Li 2009, 17 (4):  53-59.  Abstract ( 2984 )   PDF (626KB) ( 2072 )   Save Based on the literature review of revenue management of passenger railway,a revenue management optimization model for high-speed passenger railway is proposed in this paper. It is an integrated model that optimizes seat inventory allocation and train departure schedule to maximize the overall operational revenue. With randomly generated data,the preliminary computational test shows that the large scale model which is close to real application size can be solved within reasonable time. Related Articles | Metrics

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Research on the Application Situation of Replenishment Policies according to Customers’ Sensitivity under Partial Backlogging ZHANG Xu-mei, QIU Han-guang 2009, 17 (4):  60-68.  Abstract ( 2775 )   PDF (1641KB) ( 1392 )   Save The customers'sensitivity to the waiting time and the quantity of backlogged items under the stock-out period have a strong effect on the rate of partial backlogging. Based on this the application situation of different replenishment polities was researched It shows:(s,S) replenishment policy are more suitable to the inventory system with the high unit cost for backlogged items and lost sales;(t,S) replenishment policy and (t,s,S) replenishment policy are more suitable to the inventory system with the high unit cost for backlogged items and lost sales. In the inventory system with the high unit cost for backlogged items and lost sales,(t,S) replenishment policy is more suitable to the inventory system when the customers' sensitivity to the quantity of the backlogged items is lower,or else (t,s,S) replenishment policy is more suitable;and the customers'sensitivity to the waiting time down't have a significant effect on the application situation of the replenishment policies. Related Articles | Metrics

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Study on Scheduling of Whole-Set Orders under Flow-Shop with Service Level Constraints ZHOU Shui-yin, LIU Yan-feng 2009, 17 (4):  69-74.  Abstract ( 2613 )   PDF (535KB) ( 1330 )   Save In this paper,we analyze the scheduling of whole-set orders under flow-shop with service level constraint.Then we present a mathematical model,and also propos three construction heuristics for scheduling and three heuristics for order sets respectively based on constructive method,genetic and simulated annealing algorithm. At the end,some simulations for evaluations are made,and the results show that the genetic algorithm is most effective,but the other two have their own advantages. Related Articles | Metrics

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Investigation on Influencing Mechanism of Supply Chain Management to Evolution of Large-Scale Complex Products Manufacturing Clusters YANG Jin 2009, 17 (4):  75-83.  Abstract ( 2307 )   PDF (1116KB) ( 1441 )   Save The evolution of industrial cluster is a process of change and development,which Games from a kind of whole structure and situation with some phased characteristics to another type with else staged features by the certain driving force. Supply chain management (SCM) can promote the resources integration and utilization and optimize industry structure for industry upgrade during the course. Based on a brief review about previous literature on complex products and SCM,this paper establishes the mechanism model of SCM affects evolution of large-scale complex products manufacturing clusters,using organizational factors,product complexity factors and industry associated degree factors as variables. After experimental analysis,the mechanism that SCM affects evolution of large-scale complex products manufacturing clusters is an all-around action mode. The results of research will be used for reference to SCM in large-scale complex products manufacturing clusters. Related Articles | Metrics

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Research on Vertical Relations Enterprise Brands Cooperation within Industrial Clusters YAO Wei-kun, ZHOU Mei-hua, ZHANG Yi 2009, 17 (4):  84-90.  Abstract ( 2419 )   PDF (227KB) ( 1323 )   Save It has great significances for brand promoting practice to reveal the influencing mechanism of vertical-relations enterprise brands cooperation on enterprise brand promoting within industrial clusters. The way to cooperate among the vertical-relations brands can be grouped into three aspects within industrial clusters: product supply cooperation, technical innovation and marketing synergies. Drawing on economic model of supplying and demanding, a mathematical model was built to describe the vertical-reladons brands cooperation, by which the mechanism was analyzed. Model analysis shows that: within industrial clusters, the more stable the brand status in the industry, the higher the degree of trusts, the greater the possibility of cooperation; in the case of cooperation takingplace, the higher the degree oftrust within the cluster,the stronger the price competitiveness, the higher the brand cooperation performance. Related Articles | Metrics

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Research on the Evolution of Cluster Scale Based on Trust and Enterprise’s Entry and Exit SHEN Qiu-ying, WANG Wen-ping, WANG Wei-dong 2009, 17 (4):  91-96.  Abstract ( 2372 )   PDF (500KB) ( 1320 )   Save An evolutionary game model,which is based on the trust evolution and enterprise's entry and exit,is presented to study the trends of cluster's scale with different entry barrier by computer simulation.It is found that cluster evolution can be divided into four stages:growth,shakeout,adjustment and mature,because of the coordination of trust and entry barrier on competition and cooperation.The shape of the curve is an fallen-S. The stable size has inverse ratio with its entry barrier. Also entry barrier has opposite effects on enterprise's entry and survival. Related Articles | Metrics

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The Mechanism Design for Franchise Bidding in Traffic BOT Project YAN Pei-sheng, WANG Xian-jia 2009, 17 (4):  97-102.  Abstract ( 2373 )   PDF (284KB) ( 1121 )   Save A franchise bidding mechanism is designed for traffic BOT project from the view of the regulator.The main purpose of this paper is to design a set of bidding mechanism scientifically and reasonably to improve the allocative efficiency of franchise bidding. The model of bidding is established based on the incentive mechanism,which is to maximize the expected social welfare on the condition of participation and truly displaying the managing ability of the companies. Then,the optimal biding mechanism is obtained by solving the model. Furthermore,we implement the optimal out come by first score sealed bid and supply contract auction. Related Articles | Metrics

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Game Analysis on Information Sharing Technology Strategy of the Members on Supply Chain DENG Wei-hua, YI Ming, CAI Gen-nü 2009, 17 (4):  103-108.  Abstract ( 2289 )   PDF (653KB) ( 1272 )   Save This paper applies game theory to analyze the information sharing technology strategy of the members on the supply chain. Firstly,it constructs the expected profits models of the supplier and retailer based on two types of parameters of demand and supply uncertainty,and confirms that there are optimal solutions of the expected profits under the uncertain conditions. Secondly,it develops a game-theoretic model of three phrases in order to study the relation of information sharing technology strategies adopted by the members on the supply chain. Thirdly,it discusses four equilibrium statuses,and the result shows: If initial uncertainty is high,information withholding is a viable strategy for the retailer,but this strategy can backfire through the supplier speculating the retailer's market,the retailer will adopt an information sharing strategy when the supplier can know more about the market. Related Articles | Metrics

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Two Manufacturers and One Retailer’s Shelf-Display-Quantity and Pricing Decision Models and Coordinative Contracts Design XU Bing 2009, 17 (4):  109-114.  Abstract ( 2504 )   PDF (640KB) ( 1551 )   Save Consider a supply chain consisting of two manufacturers and one retailer,the products produced by two manufacturers are substitutable products,whose demands are functions of the shelf-display-quantity and retail prices. Firstly,retailer's decentralized decisions with profit-maximization are analyzed. Secondly,two centralized decision models are studied for maximizing profits of the whole supply chain system and the allied channel consisting of the retailer and one manufacturer,respectively. Two contracts dependent on retail prices and shelf-display-quantity such as the wholesale price plus subsidy contract and the wholesale price plus subsidy plus profit-share are put forward to coordinate retailer's decentralized decisions consistent with the centralized decisions mentioned above. Finally,the difference of the decision models and the validity of the contracts are shown by a numerical example. Related Articles | Metrics

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Research on Impact of Brand Loyalty and SKU Loyalty on Online Consumer Choice Behavior CHEN Jie, YANG Sheng-rong 2009, 17 (4):  115-120.  Abstract ( 2407 )   PDF (632KB) ( 1699 )   Save Different consumer owns different preference and loyalty on different brands. If it is overlooked by researchers,the model without brand loyalty or SKU loyalty can't elicit the consumer heterogeneity and dynamics so that it can not improve the model fit. The paper proposed a dynamic Multinomial Logit choice model and calculated the brand loyalty and SKU loyalty of online consumers. It revealed following results:The panel data shows that different loyalties have different impact on online consumers brand choice and online consumer shows high SKU loyalty. It not only identified the heterogeneity of consumer purchase rate,but also improved the model fit. Though different attributes have impact on online consumer brand choice behavior,these impacts are not isolated,and varied with the other attributes and loyalty variables. Related Articles | Metrics

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Research on Alternatives Fast Aggregated Model Based on Linguistic Evaluation Information ZHU Ning-ning, ZHU Jian-jun, DING Ye, LIU Si-feng 2009, 17 (4):  121-125.  Abstract ( 2176 )   PDF (570KB) ( 1113 )   Save The alternatives fast aggregated approach of two-tuple linguistic information process is proposed in views of the linguistic evaluated information group decision-making.Firstly,the linguistic evaluated information is transformed to two-tuple linguistic comparison matrix. Then according to the definitions of two-tuple linguistic and the preferences of every policy-maker's comparison matrix,an approach of calculating the policy-makers'attribute weights is proposed using the linear programming model.Secondly,the policy-makers'weights can be obtained through aggregating and comparing the preference of every policymaker and the whole preference. Finally,the alternative raking can be aggregated and the interactive method can be used to the evaluation of dangerous goods transport risk management. Meanwhile,the consensus degree of policy-makers is defined and the deviation of policy-maker can be found quickly. The preference deviation proposal is also provided. Related Articles | Metrics

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A Method of Multi-Attribute Group Decision Making with Incomplete Hybrid Assessment Information LIANG Chang-yong, ZHANG En-qiao, QI Xiao-wen, LU Qing 2009, 17 (4):  126-132.  Abstract ( 2950 )   PDF (740KB) ( 1458 )   Save A new decision making approach is proposed for multi-attribute group decision making problem with incomplete hybrid assessment information. First,a conversion function is defined to transfer multifarious assessment information into intuitionistic fuzzy numbers.Then,based on the theory of information entropy,expert's objection weight is judged by his hesitating degree. The D-S theory is used to deal with incomplete assessment information,and a possibility degree formula is conceived to rank alternatives. Finally,an example is given to show the feasibility and availability of the theory. Related Articles | Metrics

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Research on Members’ Investment Polices in R&D Alliances with Input Spillovers MENG Wei-dong, HUANG Bo, LI Yu-yu 2009, 17 (4):  133-140.  Abstract ( 2263 )   PDF (1011KB) ( 1257 )   Save Whether can prevent free ride and increase member's investment is one of the key factor for success in the cooperative R&D.In this research,the investment polices of parallel and gathered R&D alliance members with input spillovers under equal and proportional profit sharing arrangement weve studied, and the impact of input spillovers,profit sharing arrangement and form of alliance on members' investment polices were analyzed. It was shown that input spillovers can prevent free ride and increase member's investment,gathered R&D alliance and sharing profit proportionally are better than their counterpart when mark return is small,but,when market return is big,form of alliance and profit sharing arrangement have impact on member's investment policy,so R&D alliance should share profit equally to make a success in cooperative R&D. Related Articles | Metrics

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An Equilibrium Analysis on the Market for the Circulation of Farmlands ZHONG Lin, TANG Xiao-wo 2009, 17 (4):  141-147.  Abstract ( 2218 )   PDF (881KB) ( 1122 )   Save In order to logically and consistently understand how the factors,which have effects on the willingness to supply and the willingness to demand for farmlands,and market power make influence on the equilibrium quantities,prices and economic efficiency in the market for the circulation of farmlands,this paper builds up a supply-demand model based on farmers'and firms'optimal decision-making,solves the model and analyzes the equilibrium. The results show that(1)compared to the context of competitive market for the circulation of farmlands,monopoly leads to lower equilibrium quantities,prices and efficiency for given factors influencing the willingness to supply and demand;(2) given other factors,the influencing directions of one factor (influencing either the willingness to supply or the willingness to demand) on equilibrium quantities and prices are consistent in both competitive market and monopoly for the circulation of farmlands. Related Articles | Metrics

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Research On the Integration and Intelligentization Models of the Process Risk Management for the Research and Development Project WANG Chang-feng 2009, 17 (4):  148-155.  Abstract ( 2408 )   PDF (457KB) ( 1011 )   Save Based on the analysis of the characteristics in the process risk management of projects, the author has focused on the Fuzzy-ETA(event tree analysis)-FTA(fault tree analysis) method applied in the process risk management of R&D projects.The author has analyzed the possibility of an integration of EAT-FAT,and solved the problems in the integration of Fuzzy-EAT and Fuzzy-FAT by applying arithmetic average and geometric average, thus solving managerial problems in the process risk management of projects with reliable and effective process risk management guidance. The results are practical guides and importance references for the management of large R&D projects for the Chinese military equipment investments. Related Articles | Metrics

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The Fuzzy Portfolio Programming with Risk Tolerance Constraint ZHUANG Xin-tian, LIU Yang, JIN Qiang 2009, 17 (4):  156-164.  Abstract ( 2618 )   PDF (1182KB) ( 1389 )   Save In the fuzzy uncertainty environment,we use the fuzzy AR time series in which the security price is trapezoid fuzzy number to forecast the security price and to describe the market movement trend,and also adjust the semi-absolute deviation risk to the fuzzy relaxation constraint. In the framework of the mean semi-absolute deviation,we establish a fuzzy investment programming in which the objective function subjects to the possibility distributing and the risk constraint is the fuzzy relaxation constraint,then obtain the efficient frontier. Using the 15 securities of the SEE 50 to empirically analyze,it shows that the programming can give the investor a higher level of investment satisfaction;the programming considers the market trend and possesses the decision-making pertinence;the risk tolerance level reflects the degree of the investors assessing themselves,and the risk tolerance level has the different effects in the different market;compared with the model of the mean-semi-absolute deviation,the programming owns the higher efficient frontier,and has more investment pertinence. Related Articles | Metrics

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Interval DEA Algorithm and Its Application on Investment Efficiency Evaluation LU ZHi-Peng, WANG Jie-fang, LIU Si-feng, FANG Zhi-geng 2009, 17 (4):  165-169.  Abstract ( 2542 )   PDF (519KB) ( 2178 )   Save Efficiency interval length might be too long to evaluate the effectiveness of decision-making units well if range of input and output variables interval is large. Divides input and output interval into sub-intervals,and calculates efficiency of decision-making units in different sub-intervals respectively,furthermore,comprehensive efficiency intervals are solved to use as standards of effectiveness evaluation. Length of comprehensive efficiency intervals is shorter than that in the results of classical algorithms,which is easy to be used to compare efficiency of investment projects as applying to evaluate the investment projects. Related Articles | Metrics

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Bayesian Dynamic Estimation and Evaluation of Process Capability Indices with Multiple Subsamples ZHU Hui-ming, ZENG Hui-fang, YU Ke-ming, HAO Li-ya, LI Su-fang 2009, 17 (4):  170-177.  Abstract ( 2688 )   PDF (793KB) ( 1387 )   Save To analyze the process capability under random parameters,a new kind of process capability index is designed in this paper. Based on the statistical model for quality variables,we explored the parameters' Bayesian point estimates and interval estimation with a diffuse prior and developed a Bayesian process capability index. Then,we considered the parameters'current posterior distribution to be their prior distribution in the next phrase when the process is capable,by which the Bayesian dynamic process capable index is established. Finally,we give an example to show how to use the method proposed in this paper. The results indicate that the accuracy of estimators for process capability indices can be improved through Bayesian dynamic statistical methods. Related Articles | Metrics

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The Assessment Model and Empirical Analysis of Chinese Tourism Development Potentialities FENG Xue-gang, WANG Qiong-ying 2009, 17 (4):  178-184.  Abstract ( 2663 )   PDF (252KB) ( 1477 )   Save Taking an ongoing industry,tourism industry, as a studying object, this paper tried to find out the origin and structure of tourism development potentialities, then established the potentialities system and assessment model of tourism industry based on the substantial economics structure: demand and supply. At last, this paper assessed the space of tourism development with Chinese tourism development datal The results showed that, in the short run, the tourism industry has huge development potentialities and the demand potentialikies are smallerl So,the government and firms should nake the measures to push the increase of tourism demand. In a word, the studying method of potentialities according to the basic structure of economics should become the reference for other industriesc potentialities assessment. Related Articles | Metrics

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Industrial Boom Cycle and Optimal IPO Timing ZHANG Li-bing, WANG Chu-ming, ZHANG Yun 2009, 17 (4):  185-192.  Abstract ( 2340 )   PDF (2322KB) ( 1330 )   Save The paper studies the effects of industrial boom cycle on IPO timing assuming, the industry has two states, prosperity and recession, which affect the firm's cash flow,and taking the IPO decision as the exercising of an American option. The main results show that the prosperity promotes, while the recession restrains IPO of the firm. Both the duration and extent of prosperity have negative relation with IPO triger value, while those of recession, antithetical. Our study will be helpfu to understand the mechanism of industrial boom cycle on firm going public. Related Articles | Metrics