Table of Content

28 February 2009, Volume 17 Issue 1 Previous Issue    Next Issue

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Comparison of Correlation Estimation Models Considering Dynamic Portfolio Allocation Efficiency ZHANG Rui, WANG Chun-feng, FANG Zhen-ming, LIANG Wei 2009, 17 (1):  1-6.  Abstract ( 3360 )   PDF (718KB) ( 1577 )   Save An accurate estimation of correlation of assets in the investment portfolio is the key of building portfolio, pricing derivatives and risk management.Volatility timing is introduced and the practical applicanon of the two correlation estimation methods is comparedfrom the perspective of dynamical portfolio allocation efficiency.The original data is simulated by the Block Bootstrap method in order to get more creditable result.The result indicated that, if we adjust the portfolio according to the RV model based on the high-frequency data, we will get more return, than static portfolio.However, if we adjust the portfolio according to the DCC-GARCH model we will loss.The RV model has more practical application than the DCC-GARCH model. Related Articles | Metrics

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Multiscale Self-Similarity and Hierarchy Properties of Asset Volatility YANG Hong-lin, CHEN Shou 2009, 17 (1):  7-16.  Abstract ( 2632 )   PDF (1735KB) ( 1402 )   Save The multiscale self-similarity and hierarchy properties of asset volatility are investigated by structure functions and hierarchical models.The available empirical results show that volatility manifests self-similarity only for certain scales and amplitudes measured by the ordinary and relative structure funcdons.While the normalized relative structure function with more universality is further utilized, volatility exhibits the significant self-similarity at the whole scales.In addition, the significant power relations based on the new normalized hierarchical model, contrary to the scatteredphenomena of SL model, conclude that the volatilities imply the ‘neighboring' hierarchy different from the highest stimulated states(the strongest intermittent structures) of SL hierarchy. Related Articles | Metrics

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Research on Spillover Effects in Financial Higher Moments Risk JIANG Cui-xia, ZHANG Shi-ying 2009, 17 (1):  17-28.  Abstract ( 3342 )   PDF (2304KB) ( 1761 )   Save The research on spillover of financial risk is essential to avoid financial risk spillover from one country, region or market to another one.In former literatures, the spillover in the first two moments which includes spillover in mean and variance, are discussed.Based on univariate GARCD-JSU model, the three factors models, including word, regional and individual factors, have been proposed in the paper.The spillover effects in higher moments risk are decomposed into word, regional and idiosyncratic components to investigate the spillover effects in financial higher moments risk.Finally, some major countries and regions in Asia are chosen for empirical analysis. Related Articles | Metrics

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The Analysis of the Behavior of Corporate Mergers Based on Real Option CHEN Zhu-ming, YANG Hua-li 2009, 17 (1):  29-35.  Abstract ( 3947 )   PDF (437KB) ( 2560 )   Save In this paper, a new POTPL(POT-Power Law) model on the basis of fractal dimension theory by using POT model of extreme value theory is presented.It gives not only a theoretical explanation for the choice of the threshold of POT model, but also satisfying power law condition of estimating tail disfribution.The analysis result shows that this model can be more convenient to estimate the tail than former methods.And it provides a new idea for solving fat-tail problem in small-sample circumstances, In addition, the random sum model in insurance is introduced in order to solve calculating Sum VaR of the banking operational risk losses.Then a simplified formula of VaR is given on the basis of operational loss data in our banks. Related Articles | Metrics

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Using the POT Power Law Model to Evaluate Banking Operational Risk SIMA Ze-qian, CAI Chen, LI Jian-ping 2009, 17 (1):  36-41.  Abstract ( 2972 )   PDF (577KB) ( 1461 )   Save In this paper, a new POTPL(POT-Power Law) model on the basis of fractal dimension theory by using POT model of extreme value theory is presented.It gives not only a theoretical explanation for the choice of the threshold of POT model, but also satisfying power law condition of estimating tail disfribution.The analysis result shows that this model can be more convenient to estimate the tail than former methods.And it provides a new idea for solving fat-tail problem in small-sample circumstances, In addition, the random sum model in insurance is introduced in order to solve calculating Sum VaR of the banking operational risk losses.Then a simplified formula of VaR is given on the basis of operational loss data in our banks. Related Articles | Metrics

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Delayed Dynamic Bidding Model and Its Complexity in Oligopoly Power Market ZHANG Xin-hua, LAI Ming-yong, YE Ze 2009, 17 (1):  42-49.  Abstract ( 2666 )   PDF (2882KB) ( 1067 )   Save In the paper, with bounded rational and adaptive dynamics, the delayed dy nam ic bidding model is presented based on Cournot game, and the stable region, bifurcation and stranger attractor of the Nashe-quilibrium are displayed respectively by numerical simulations, then the impact of delayed fact or and different bidding dynamics on average payment of generators are analyzed.Inaddition, chaos control of delayed dynamic bidding model is discussed with state delayed feedback control method, and numerical simulations indicated that, 1) delayed factor is useful to maintain the stability of Nash equilibrium, but it is not certain to improve the payment of generators; 2) the maximal average payment is attained to generators in equilibrium state, and the optimal adjustment strategy of dynamics is to use adaptive dynamics before equilibrium, but bounded rational dynamics once loss of equilibrium; 3) Nash equilibrium of dylayed dynamic modle enables to be maint ainable if suitable control parameter is chosen, but it is diffcult to myopic generator. Related Articles | Metrics

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The Classification Optimization Model of Time-of-Use Price Considering Consumers’ Uncertain Responses ZHANG Li-ying, TAN Zhong-Fu, WANG Mian-bin, QI Jian-xun, ZHANG Rong 2009, 17 (1):  50-57.  Abstract ( 2282 )   PDF (450KB) ( 1465 )   Save According to the fact of implementing peak and valley time price in our country, the paper constructs the classification optimization model of multiple-consumers participating in the measure.The first grade optimization model of multiple-consumers particating in peak and valley time price is established based on consumers' uncertain responses.Then, the second-grade optimization model of evaluating the risk losses of power supply companies and consumers implementing the measure is established with interval method.According to given risk threshold values, the filtration method of the optimization peak and valley time price project can be obtained.The example shows that the method has some maneuverability and it can provide reference for power supervise department to push the measure. Related Articles | Metrics

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The Methodological Study of Allocating the Fixed Cost Based on the Nucleolus in Data Envelopment Analysis and Cooperative Game LI Yong-jun, LIANG Liang, LING Liu-yi 2009, 17 (1):  58-63.  Abstract ( 3098 )   PDF (585KB) ( 1581 )   Save Combining Data Envelopment Analysis and cooperative game theory, this paper has studied how to allocate the fixed cost among decision making units(DMU).Firstly, it has proven that all DMU individuals and collectivity are DEA efficient, if the fixed cost can be treated as an additional input to DMUs.Then, combining the conclusion with cooperative game, it defines characteristic function, and proposes a nucleolus-based fixed cost allocation model, as well as its algorithms.Finally, a numerical experiment has shown that the proposed approach is reasonable and its algorithms are feasible. Related Articles | Metrics

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Contract Design for A Dual-Channnel Supply Chain Coordination with Incentive Compensation CHEN Shu-zhen, XIONG Zhong-kai, LIANG Xi 2009, 17 (1):  64-75.  Abstract ( 4163 )   PDF (1354KB) ( 2680 )   Save Based on the coexistence of traditional retail channel and direct Internet channel within the supply chain in E-commerce, this paper develop s a model under promotion-price sensitive demand, promodon -incentive compensation and so on, analyzes and compares the optimal promotion investment, incentive compensation investment and pricing strategies in the integrated and decentralized manners of dual-channel supply chain and studies the contract design on coordination problem of the above supply chain.It demonstrates that the two-part tariff alone cannot achieve the dual-channel supply chain coordination while the suitable two-part tariff contract combined with a promotion-level subsidy contract can do and a "win-win" situation can be realized and then the manufacturer can provide infinite such combined contracts for coordination of dual-channel supply chain. Related Articles | Metrics

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Decision Research of Network Oligopoly Market Industry Chain with Capacity Restraint ZHANG Kai, LI Xiang-yang 2009, 17 (1):  76-82.  Abstract ( 2925 )   PDF (878KB) ( 1653 )   Save Researchers always omit horizontal co-operation relationships which are from supply chain angle among enterprises.We build a Strackelberg model and analyze the decision research of network oligopoly market industry chain with capacity restraint by comparing two different strategies of downstream enterp rises, network externality andprice discrimination also have been analyzed in the model.Some conclusions can be drawn:network externality plays an important part in optimal decision of enterprises which are in industry chain, but the sum effect is not sure because of many factors.The optimal production is equal in the downstream enterprises no matter what strategies they choose, enterprises will get much production when they choose competition strategy.Enterprises of upstream will get much more profit when they choose price discrimination. Related Articles | Metrics

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Co-Opetition Game of Supply Chain in Engineering Procurement XU Ting 2009, 17 (1):  83-88.  Abstract ( 4008 )   PDF (663KB) ( 2057 )   Save The supplier, contractor and client constitute a supply chain in engineering procurement.Through long-term construction and purchase, the client and the contractor have the motivation of cooperanon.Based on evolutionary game theory, the paper studies the evolutionary direction of co-opetition between client and contractor, and analyzes the influencing factors.The result shows that the probability of cooperation of both sides has a positive correlation with excess return and a negative correlation with cost of cooperation and betrayal income.Reasonable partition coefficient to distribute the excess return is a necessary condition for both sides' sustained cooperation.In the case of an alliance contract, betrayal will be punished, and cooperation of both sides will be the evolutionary direction. Related Articles | Metrics

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A Study on the Cournot Model with Altruism NI De-bing, LI Meng, TANG Xiao-wo 2009, 17 (1):  89-94.  Abstract ( 3444 )   PDF (697KB) ( 1693 )   Save Focusing on the economic phenomena where perfect self-interest and/or perfect altruism may not lead to collective Pareto efficiency, this paper makes use of the GR game model and the GR equilibrium in Reference[1], builds a Cournot model based on the GR(golden rule) and explores the relationship between the collective Pareto efficiency of GR equilibriums and the weight systems(to characterize the degrew to which a firm take into account other firms).The results show that(1) in an N-firm Cournot mo del, the set of GR equilibriums is consistent with the set of strategy profiles with the collective Pareto efficiency if and only if all players attach the same weights to the profits of all players(including himself), and(2) in the two-firm context, a GR equilibrium has the collective Pareto efficiency if and only if there is(at least) one player who equally treats his own and his opponent's profts.These results enforce those in Reference[1] under Cournot competition, on the other hand, they imply that Cournot competition where each firm equally treats its own and his opponent' s profits will results in an equilibrium with collective efficiency. Related Articles | Metrics

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Bertrand Model and the Theory of Supermodular Games YANG Xiao-hua, LUO Yun-feng, WU Hui-qiu 2009, 17 (1):  95-100.  Abstract ( 7732 )   PDF (673KB) ( 3627 )   Save A new analysis method in game theory, supermodular game, is used in Bertrand model, for differentiated-product Bertrand oligopoly with general cost functions, when the strategy variable is price ato ne, the sufficient conditions are comparedfor supermodular and log-supermodular game.Although a logsupermodular game is a quasi-supermodular one, which is more general than a supermodular one, the corresponding sufficient conditions placed on the firms' profit functions are shown not to be comparable, that is one cant get one from another.When the game is neither a log-supermodular nor a supermodular one, a new monotone transformations of the firms' profit functions may make the game a supermodular one.For the special case of constant marginal production cost, counterexamples are provided.When the strategy variables are pricing and advertising effort, under usual assumptions and constant marginal production cost, the game is a supermodular one and this explains why higher prices are always associated with higher advertising levels. Related Articles | Metrics

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Study on Cost Allocation of Integrated Supply Based on EOQ Model BAO Xin-zhong, LIU Cheng, ZHANG Jian-bin 2009, 17 (1):  101-106.  Abstract ( 2725 )   PDF (652KB) ( 1380 )   Save Integrated supply by third-party logistics(TPL) is an effective way to reduce supply chain cost.A key problem of TPL integrated supply is to allocate the supply cost among the suppliers rationally.In this paper, Integrated supply by third party logistics is discussed, a cost allocation model is founded based on cooperate game theory, and the Shapley value method is commended to solve the model.To get over its inherent limitation of evaluation, the EOQ model of integrated supply is adopted, which makes Shapley value method more practicable.Finally, a case is used to prove the feasibility. Related Articles | Metrics

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Research on the Method for Estimating Industrywide Tax Burden Distribution Based on Entropy LIU Yao, NI Tao 2009, 17 (1):  107-112.  Abstract ( 2609 )   PDF (665KB) ( 1266 )   Save With the economic development, research of the burden of revenue on the same industry is becoming more and more important.The traditional methods neglected many factors that will affect the result of estimating the burden of revenue for the same industry, so the burden of revenue is often below the normal level.This paper introduced C4.5 Algorithm of Data Mining to avoid the disadvantages of the traditional methods.Further, it improved the C4.5 Algorithm by combining with the knowledge of revenue.At last, this method is proved effective by some instances. Related Articles | Metrics

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Small-Medium-Enterprise Financial Failure Prediction Considering Efficiency XU Xiao-yan, LI Tao, CHEN Hua 2009, 17 (1):  113-118.  Abstract ( 2700 )   PDF (285KB) ( 1389 )   Save Small-mediument erprises(SMEs) play an important role in regional and national economy By analyzing the business characteristics of SMEs, this paper presents an attribute system for SME financial-failure prediction, and then develops a SME financial failure prediction method based on Data Envelopment Analysis(DEA) and Support Vector Machine(SV M) Compared with the generalattribute system offi-ancial failure prediction, the main difference of the proposed attribute system is that the business efficiency is included. We collect historical data of 70 SMEs from a financing support organization in Anhui province, and apply the proposed method to the historical data of the 70 SMEs Experiment results conform the efficacy of the proposed method. Related Articles | Metrics

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The Importance of Highway Section Evaluation Model In Complex Network between Accident Point and Rescue Point in the Emergency Situations LIU Si-feng, WAN Shou-qing, LU Zhi-peng, FANG Zhi-geng, ZHU Jian-jun 2009, 17 (1):  119-124.  Abstract ( 2781 )   PDF (618KB) ( 1220 )   Save The importance of the relevant highway section of the emergency rescue network is evaluated in this paper, which has a great value in the emergency traffic plan, command and control and other transport services In this paper, a new algorithm thinking is proposed and the algorithm model is established in views of some defects of the current studies First, the matrix algorithm of the complex transportation network connectivity map is designed to find the network of the biggest connectivity map among the multiple accidents and multiple rescue points Second, the network model GERT(Graph Evaluation and Review Technique) is established based on the network of the biggest connectivity map.The probability selection model based on human reason and experience is designed in views of human choices of highway sections So it can display human traffic psychology and behavior, especially emergency traffic psychology and behavior.Finally, the concept of the importance and its degree is defined and the model of importance degree is established based on the network of the biggest connectivity map which removes a certain highway section.Based on this model, the practical regional transportation network is taken as an example and its algorithm is verified and effective. Related Articles | Metrics

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Cascade-Oriented Attack on Complex Networks WANG Jian-wei, RONG Li-li 2009, 17 (1):  125-130.  Abstract ( 3179 )   PDF (562KB) ( 1561 )   Save In or der t o discuss cascading failur es on compl ex net works subject to random failures or att acks, adopting the initial load of a node j to be Lj=BkjA(kj is the degree of node j, Aand Bare tunable parameters), a cascading model with a tunable parameter is proposed based on the local preferential redist ribution rule of the load of a broken node.According to a new measure, i.e., the critical threshold Tc, we compare the effects of two at tacks for the universal robust ness.Numerical simulat ions draw some interesting and counterintuit ive results.On the one hand, the at tack at the node with the lowest degree is more likely to trigger cascading failures than the one at the highest degree nodes when A<1; while on the other hand, when A=1, the effects of two at tacks for the robustness against cascading failures are almost identical.In addition, numerical simulations are also verified by theoretical analysis. Related Articles | Metrics

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Research of Case Retrieval Algorithm for Decision Making with Uncertain Multiple Attributes LIANG Chang-yong, GU Dong-xiao, FAN Xin, CHEN Wen-en 2009, 17 (1):  131-137.  Abstract ( 2539 )   PDF (925KB) ( 1288 )   Save This paper transformed uncertain multi-attribute decision-making into the uncertain multi-attribute case retrieval question, and used the case reasoning method to gain the most similar case which is the approximate solution of the goal decision-making questions.The difference was reduced between the approximate solution and the solution of the goal decision-making question through case revision until completely consistent.This paper systematically propo sed a case retrieval algorithm(RA-UMDM) which is fit for the retrieval request of the uncertain multi-attribute question, and emphatically studied the fuzzy set based on the trapezoid and improved retrieval algorithm based on Eulerian-Lagrangian distance which would be used to solve in separately the case fuzzy concept attribute, the similarity of sector characteristic attribute and the case weight adjustment.This paper applied this method in the dentistry assistance diagnosis decision-making process and obtained a more accurate solution, and then tested the validity, accuracy and efficiency of RA-UMDM algorithm.It was demonstrated that RA-UMDM could satisfy the retrieval requirements of uncertain multi-attribute decision-making with high retrieval speed and quality. Related Articles | Metrics

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Event Chain-Based Knowledge Navigation Model QIU Jiang-nan, SHI Hua-yan, WANG Yan-zhang 2009, 17 (1):  138-143.  Abstract ( 2613 )   PDF (1188KB) ( 1841 )   Save At present, the emergency management has become a hot issue.From the knowledge need of emergency management, this paper researches the relationship characteristics of unexpected event object elements and proposes the knowledge navigation model based on event chain.This model has five parts:resources model, knowledge ontology model, emergency disposal model, event object model and event chain mo del.Through the studies on relationship between different models, we provide users with convenient, speedy and timely knowledge navigation.At last, an application example is given to present the realization process of the model. Related Articles | Metrics

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Technology Tracking Two-Dimensional Visualization Based on Improved Co-Citation Cluster KANG Yu-hang 2009, 17 (1):  144-150.  Abstract ( 2600 )   PDF (852KB) ( 1205 )   Save Technology tracking is a useful method in identifying the current situation and trend of development in related technical areas, and can help us provide the information decision-making support for establishment of technical strategy.At present, technology tracking based on co-citation cluster analysis has made a rapid development but there are still some problems, mainly in two aspects:the calculation of data association and enhance of the efficiency of clustering.Based on this, the article improved co-citation cluster and a technology tracking two-dimensional visualization tools from three areas:co-citation associated model construction, improved hierarchical clustering and design multi-dimensional scale model based on dato associated.Meanwhile, author try to study visualization experiments of highway engineering from individuals and institutions in order to discriminate this field of deep-seated structural, as a kind of technical analysis which is fundamental to technology strategy selection. Related Articles | Metrics

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Study of Incentive Mechanism of Knowledge Worker Based on Human Capital Property Rights DENG Yu-lin, WANG Wen-ping 2009, 17 (1):  151-156.  Abstract ( 2931 )   PDF (654KB) ( 1910 )   Save This paper analyzes the characteristic of knowledge worker's human capital, and uses the framework of multitask principal-agent to establish the model in which the tasks of learning&working, and the action of performance incentive andproperty rights incentive are taken into account.Then, it discusses the relationship between performance incentive and property rights incentive, and the behaviors of learning and working.The results show that, the property rights incentive can inspire the behaviors of learning& working and optimize the performance incentive.The optimal efficiency of knowledge worker is attained when he possesses all surplus produced by his human capital, but the property rights incentive should be match with the performance incentive, and the effect will become better with property rights incentive increasing.Knowledge worker will increase the effort of learning with property rights incentive increasing, and tend to work actively with the increase of performance incentive.When the property rights incentive is absent, knowledge worker will become to dislike learning or enhance the exterior learning. Related Articles | Metrics

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Organizational Learning from Experience： Current Status, Problems and Direction CHEN Guo-quan, NING Nan 2009, 17 (1):  157-168.  Abstract ( 2475 )   PDF (1279KB) ( 1604 )   Save Organizational learning from experience is an important part of organizational learning.Based on literature reviewing, some aspects on organizational learning have been analyzed and summarized in detail, such as the pattern and process of organizational learning from experience, its influencing factors, obstacles, and effects The shortcomings of the current researches, such as lacking of systemic framework, embedded mechanism, case study or directive methods and tools for enterprises have been analyzed.Based on these shortco mings, further studies have been put forward. Related Articles | Metrics

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The Contribution Degree Model and Empirical Research of Enterprise Informatization to GDP HUANG Zhang-shu, REN Ji-kui 2009, 17 (1):  169-175.  Abstract ( 2451 )   PDF (652KB) ( 1137 )   Save Studying the contribution of enterprise informatization(EI) to enterprise output or to GDP and evaluating the investment benefit of EI have important theoretical meaning and practical value.By building a contribution model of EI to GDP, this article analyses the contribution of EI to GDP from the perspectives of enterprises and gets the contribution degree by an empirical analysis by using the contribution survey of EI to GDP in 2007, Fujian province.The result of the empirical studies indicates that the model is effective. Related Articles | Metrics

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Impact of Technological Spillover on the Enterprise Cluster’s Technology Innovation Capacity ZHAO Hua, DING Li-ying 2009, 17 (1):  176-182.  Abstract ( 2296 )   PDF (992KB) ( 1141 )   Save Considering the different technological innovation efficiency of the firms in enterprise cluster, this paper establishes a two-stage non-cooperative game model to explore the impact of technological spillover on technology innovation investments of different innovative timing firms.It analyzes the different investment ways of leading firm and following firm as technological spillovers are improved, and finds the evolution of enterprise cluster's technology innovation capacity, and provides the corresponding policy recommendations. Related Articles | Metrics

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Multi-Attribute Procurement Auction Theory and Application： A Review with Comments LIU Shu-lin, WANG Ming-xi 2009, 17 (1):  183-192.  Abstract ( 2363 )   PDF (964KB) ( 2234 )   Save Procurement auctions in which the winner is determined based on the sole price criterion have not satisfied the procurement requirements for many industries in the real world Practically, to select the winner, in addition to the price, other important non-price attributes of the procured objects(including other cost attributes and benefit attributes) are often considered, such as quality, delivery time, and delivery terms and conditions.Thus, studies on multi-attribute auction theory become crucial.However, extension from traditional auctions to multi-attribute auctions has given rise to a series of challenge problems.In this paper, widespread applications and theoretical problems of multi-attribute auctions are presented.The multi-attribute auction models are divided into two groups(i.e., game-theoretical and decision-theoretical models).Assumptions, main ideas, and conclusions of literature related to the two groups of models are reviewed and commented. Related Articles | Metrics