Table of Content

31 December 2008, Volume 16 Issue 6 Previous Issue    Next Issue

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An IRRV Model for Dynamic Risk Evaluation and Investment Decision-Making SHE Sheng-xiang, MA Chao-qun 2008, 20 (6):  1-8.  Abstract ( 2303 )   PDF (907KB) ( 1556 )   Save An Inter-Temporal Relative Risk-Value(IRRV) model,integrating time-probability tradeoff and risk-value tradeoff,is proposed. For complex risky events with nonnegative outcomes,an explicit formula of time-probability tradeoff is derived based on some preference axioms,which formalizes the "psychological distance"-based intuition that the time is intrinsically uncertain and the inter-temporal effect on utility is captured by an intrinsic time discount rate. This intrinsic discount rate,serving as a core factor of time-probability tradeoff,is mainly determined by decision-make's time preference and probably depends on the magnitude of outcomes. Based on the time-probability tradeoff,this paper extends the static relative risk-value model to a dynamic IRRV model.This model synthesizes three fundamental decision-making dimensions,namely value,time and probability under a common state space and provides a normative framework for dynamic risk evaluation and investment decision. Related Articles | Metrics

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Multifractal Volatility Measure of China’s Stock Market and Its Validity WANG Peng, WANG Jian-qiong 2008, 20 (6):  9-15.  Abstract ( 2027 )   PDF (934KB) ( 1879 )   Save According to the multifractal theory,a new multifractal volatility measure of financial market, Sα,is presented in this paper. In comparison with conventional volatility measure Δα,Sα uses more statistical information about market volatility characteristics included in multifractal analysis. Empirical research on Chinas stock market shows that Sα provides more accurate measure to market volatility and is closer to real volatility than Δα after appropriate scale adjustment. Related Articles | Metrics

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Limited Arbitrage and Post-Earnings-Announcement Drift KONG Dong-min 2008, 20 (6):  16-23.  Abstract ( 2656 )   PDF (896KB) ( 3250 )   Save This paper focuses on the limited arbitrage and post-earnings-announcement drift in China's stock market. The misprisions existing is conflicting with efficient market,so we think that the arbitrage is facing to the limits,the abnormal return may be corresponding to higher risk,cost or investor sophisticanon. Based on the above hypothesis,we use the proxy of trading risk,cost to test the relations between PEAD and limit arbitrage. The results show that the mis-pricing is positive with arbitrage risk and cost and is negative with the investor sophistication,which is consistent with the institutional investor getting profit from the PEAD. Related Articles | Metrics

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Bayesian Testing and Model Comparison for Financial ARCH Models LI Yong, NI Zhong-xin 2008, 20 (6):  24-28.  Abstract ( 2438 )   PDF (665KB) ( 2142 )   Save In financial time series analysis,testing the ARCH effect and determining the appropriate order value is one of the important topics. In this paper,the Bayes factor is employed to test the ARCH effect and choose the appropriate order value for ARCH models under Bayesian framework. A procedure for computing Bayes factor based on path sampling is established for this purpose. In the end,a real example is illustrated to demonstrate our proposed method. Related Articles | Metrics

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A Study on Range of Control Transfer during Multistage Venture Capital Investment WANG Pei-hong, LIU Zhuo-jun 2008, 20 (6):  29-32.  Abstract ( 2169 )   PDF (409KB) ( 1241 )   Save Based on analyzing the essential characteristics of venture capital investment activities,a multistage venture capital investment timing model is proposed regarding with the features of every stage. The transfer of control is studied quantitatively resulting in the range of control transfer from EN to VC at every investing stage. Then,the main variables which impact the range of control transfer and the directions of impact are found. Some empirical study results support the foundations in this essay strongly. The range of control transfer obtained in this paper may help the venture capital investment operating in both theory and reference. Related Articles | Metrics

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A Research on Heuristic Production Planning with Dual Constraints of Capabilities and Resources XIAO Yi-yong, CHANG Wen-bing, ZHANG Ren-qian 2008, 20 (6):  33-40.  Abstract ( 2356 )   PDF (574KB) ( 1477 )   Save Generally, the product delivery capability of enterprise is restricted to the process capabilities of all nodes on the manufacturing line, while the process capabilities are constrained by the limited manufacturingresourcesl This paper focuses on how to make the aggregate production planning(APP) for an enterprise to get the maximum profit while the constraints of process capabilities and manufacturing resources are simultaneously effectingl A model of APP with constraints ofboth capabilities and resources is presented, and to solve such combinatorial optimization problem of continuous variables, the simulated ant nealing algorithm with the new feature of "dual annealing" is designed, which has been validated to be efficient and accurate by lots of computation experiments in this paperl Finally, an application research is cart ried out on a factory of fireproof material to illustrate the applicable way of the model, as well as the new algorithml. Related Articles | Metrics

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Study on Quality Cost Optimizing Problem YU Fu-mao, WANG Fu-zhong, SHEN Zu-zhi 2008, 20 (6):  41-45.  Abstract ( 2502 )   PDF (242KB) ( 1717 )   Save In the real production,process indices are often difficult to be controlled at some certain values, based on which the problem of optimization for quality cost control is put forward to the decision-making for quality control scope.For example,a quality cost function is defined based on marginal analysis for the applications of optimization for quality cost control of calcium carbide products.Thus the optimization for their quality cost is modeled with the nonlinear programming method founded on the decision-making for quality control scope.The solution of the proposed model is deduced and verified by effective data further, which indicates that the proposed method is better improved than ever. Related Articles | Metrics

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Pricing and Coordination Strategy of TPL-CLSC under Double Effects of Logistics Outsourcing and Products Recovery GONG Yan-de, LI Bang-yi, LIU Tao 2008, 20 (6):  46-53.  Abstract ( 2311 )   PDF (375KB) ( 1389 )   Save According to supply chain enterprises and TPL service provider. s characteristics, we constructed a TPL-CLSC pricing model led by TPL under double effects of logistics outsourcing and products recovery, and gave some conditions for supply chain to carry out logistics outsourcing, studied pricing mechanism of TPL-CLSC through game theory in order to facilitate the effective cooperation among TPL-CLSC members. This paper further established three types of coordination mechanisms to increase their profits better than non-cooperation. Finally, this paper proved the feasibility of pricing and coordination mechanisms through numerical examples. Related Articles | Metrics

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Competitive & Cooperation Game-Theory Coordination Model of Three-Hierarchy Supply Chain with M Suppliers,1 Manufacturer and N Retailors GUO Hong-lian, HOU Yun-xian, YANG Bao-hong 2008, 20 (6):  54-60.  Abstract ( 2480 )   PDF (670KB) ( 2594 )   Save This paper sets up competitive&cooperation game theory models whose objects are maximizing the profits of the three-hierarchy supply chain system and each node enterprise,the research finds that in the m suppliers-one manufacture-n distributors supply chain system,the core enterprise can coordinate the benefit of each node enterprise through making proper buying strategy,buying price,R &D allowance, wholesale strategy,wholesale price and promoting allowance. In the end,the efficiency of the model is validated by a case simulation. Related Articles | Metrics

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Research on the Self-Organization Model of Fractal Supply Chain FAN Xiao-jun, CHEN Hong-min 2008, 20 (6):  61-66.  Abstract ( 2679 )   PDF (379KB) ( 1092 )   Save Self-organization mechanism caninspire and induce the reconstruction process of supply chain, and provide the compensation of operation mechanism for the reconstruction supply chain to pass the grinding termrapidly. The paper discusses the self-organization characteristics of fractal supply chain and its effect on reconstruction. According to the characteristics of fractal supply chain,it constructs self-organization evolving dynamics model. The model can forecast the self-organization evolving direction and form of fractal supply chain according to the order parameter of fractal supply chain system model. Related Articles | Metrics

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The LU Decomposition of Dynamic Kernel Matrix JIANG Bo, LAN Bo-xiong 2008, 20 (6):  67-74.  Abstract ( 2387 )   PDF (949KB) ( 1752 )   Save With the development of linear programming,the decomposition technology has been playing a significant role in the implementation of the algorithm. In the traditional simplex method,product form of inverse(PFI) and LU decomposition keep the sparsity of the A matrix and decrease the round-off error. Decomposition of dynamic matrix becomes a new research topic as soon as the LP dynamic factorization and kernel matrix came out.This paper discusses the decomposition and storage of kernel matrix by applying the LU decomposition method,which makes a good result on matrix sparsity and round-off error.Addidonally,the permutation elimination method proposed in this paper makes the LU update process more efficient. Related Articles | Metrics

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Improvement on Taam Algorithm of Multivariate Process Capability Index Based on the Ratio of Volume JIANG Jia-dong, FENG Yun-cheng, ZHAO Han-ping 2008, 20 (6):  75-81.  Abstract ( 2295 )   PDF (569KB) ( 1284 )   Save With the wide application of multivariate statistical process control techniques,extensive attentions have been paid to the quantitative calculation of multiv ariate process capability indices.It has been relatively difficult to calculate the multivariate process capability indices,considering the complexity of multivariate processes.None of the existing calculation methods is of universal applicability.This paper firstly reviews and analyses recent literatures on multivariate process capability indices.Secondly,it focuses on Taamalgorithm of multivariate process capability index based on the ratio of volume,profoundly discusses its main disadvant ages and puts forward an improved algorithm.Finally,it comparatively analyzes the improvement effect of the new algo rithm of process capabilit y index by making use of the classic case from Jackson's bivariate process.The calculation results show that Taamalgorithm hasinternal defects and our improved algorithm is more reliable. Related Articles | Metrics

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On the Non-Linear Programming Model of the Investment Portfolio Selection Problem XIE Bai-chen, WU Yu-hua, YANG Shun-yuan 2008, 20 (6):  82-86.  Abstract ( 2446 )   PDF (267KB) ( 1745 )   Save Based on the conception of subset selection problem,the general processes for solving the problem are given.As the investment portfolio selection problem is of non-linear feature,an aimed model of the investment port folioselection problem is formulated.Therefore,an exterior point heuristic algorithm is constructed,the surrogate model aimed to deter mine original point and the advanced greedy search algorithm aimed to obtain optimal point are put forward,and the whole processes of the algorithm are addressed. Related Articles | Metrics

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The Model and Algorithms of Stochastic α-Robust Interception Flow Location Problem HU Dan-dan, YANG Chao 2008, 20 (6):  87-94.  Abstract ( 2412 )   PDF (258KB) ( 1404 )   Save Since facility location decisions are frequently long-term ones in nature, there may be considerable uncertainty regarding the way in which relevant parameters in the location decision will change over time. The uncertainties of flows in flow interception are handled by a set of scenarios. Stochastic A-robust interception location model is proposed, with combination of stochastic optimization and robust optimization. This model has constraints with the relevant regret value smaller than Ain each scenario, which are called A-robust constraints, the objective is to maximize the expected interception flows.This paper formulates this model as a 0-1 linear integer programming, and proposes the improved greedy algorithm and Lagrangian heuristics.Finally, these heuristic algorithms are applied in different scales of computational examples. Related Articles | Metrics

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A Method Determining the Objective Weights of Experts Based on Evidence Distance LU Wen-xing, LIANG Chang-yong, DING Yong 2008, 20 (6):  95-99.  Abstract ( 2562 )   PDF (585KB) ( 1894 )   Save Dempster-Shafer theory of evidence is widely applied in group decision-making for its power of better handling the synthesis of fuzzy and uncertain information.But when there are high conflict bodies of evidence,the combination result is often inconsistent with the facts. To solve the problem,a method determining the objective weights of experts based on evidence distance is presented. This method determines the weights of experts' opinions according to the evidence distance to re-adjust the basic probability assignments,which can reduce the weight of the expert whose opinion is largely divergent to others'.A study about the project evaluation problem is applied to verify the effectiveness of the proposed method. Related Articles | Metrics

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Probe into The Fractal Model with Grey Number Dimension and Its Application SHI Hong-xing, ZHANG Hao-wei, FANG Zhi-geng, LIU Si-feng 2008, 20 (6):  100-104.  Abstract ( 2466 )   PDF (539KB) ( 1029 )   Save Based on the research of fractal theory and fuzzy fractal theory,a new fractal model with grey number dimension has been presented in this paper,to cope with approximate fractal problems which abound in reality. In order to calculate the grey number dimension,a fuzzy programming method has been applied. Moreover,it has been preliminarily and practically proved that this grey fractal model did have a better performance over the traditional fractal model and the fuzzy fractal model in depicting and solving certain fractal problem. Related Articles | Metrics

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An Improvement of Trial-Repeat Diffusion Model：Logit Model and NILS Estimation LI Ji, WANG Han-sheng, TU Ping 2008, 20 (6):  105-111.  Abstract ( 2409 )   PDF (834KB) ( 1755 )   Save Based on the existing trial-repeat diffasion model,a nonlinear model is developed by modeling the trial rate and the repeat purchase rate as logit functions of marketing-mix variables. A nonlinear iteration least square(NILS) estimator is also proposedfor the purpose of model building and testing.Results of Monte Carlo experiment indicate the validity of this estimation. This new model can be used for sales predicting and marketing-mix analysis of new product. Related Articles | Metrics

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A Bilevel Programming Approach to Trade Credit Term Decision and Empirical Evidences SHI Xiao-jun, ZHANG Shun-ming, ZHU Fang-fei 2008, 20 (6):  112-122.  Abstract ( 2566 )   PDF (1190KB) ( 1511 )   Save Previous theories concerning trade credit often fall short of single point of views. This paper seeks to set up a relatively comprehensive trade credit term decision model containing financing,marketing and cost factors under a bilevel programming framework which can embody the idea of incentive compatibility. Based on the analysis of supplier's and retailer's modeling,the bilevel programming is equivalently reduced to a nonlinear programming. Three key influencing factors on the incentive compatible credit term decisions are abstracted after detailed analysis of the constraints and objective function,that is,financing capacity,marketing demand sensitivity and cost structure. Then numerical experiments are conducted in different scenarios of these three factors to reveal how they impact on the final decisions. Finally,two kinds of empirical simultaneous equations to avoid endogenous are set up in perspectives of supplier and retailer respectively to test what theoretical models and numerical experiments predict using a sample of SME from China It is proved that trade credit is an important incentive-coordination-allocation mechanism;its decision is an interactive process with multiple facets of cooperation having impacts on;and fund co st is the most concerned factor for supplier to choose credit term,while marketing demand factor influences(SME) retailer's payment timing mostly. Related Articles | Metrics

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Research On Multi-Resource Constrained Project Integration Management Optimization Problem LI Qiang, ZHANG Jing 2008, 20 (6):  123-129.  Abstract ( 2694 )   PDF (781KB) ( 953 )   Save This paper set up multi-resource constrained o ptimization model of project integration management which belongs to international legalized NP(non-deterministic polynomial completeness)-hard problem,and by using priority-based encoding so that made solving the model possible.And then,this paper imported particle swarmoptimization and advised a new version of particle swarmoptimization which had both inertia weight and constriction factor parameters.The author wrote Matlab procedure and applied it in integration management optimization problem that took pipeline horizontal direction drilling project for example.Particle swarmoptimization performed high efficient search capability in solving process and gained approving optimum results.In the end,this paper put stress on analyzing particle individual consciousness versus collective consciousness and the relationship between particle swarmsize and ability of cooperation searching in particle swarmoptimization parameter design. Related Articles | Metrics

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The Remanufactured Products Pricing Strategy in a Heterogeneous Market XU Feng, SHENG Zhao-han, CHEN Guo-hua 2008, 20 (6):  130-136.  Abstract ( 2316 )   PDF (812KB) ( 2318 )   Save Consumer's willingness-to-pay for remanufactured products is less than their willingness-to-pay for new products. On this basis,we establish a two-period model of a manufacturer who makes and sells a new product and a remanufactured product simultaneously. We study two pricing schemes:uniform price for all products,price differentiation between new and remanufactured products. In this setting,we discuss the optimal product return rates and pricing strategy. Meanwhile,through theoretical analysis and numerical simulation,we explore the effect of various parameters on the manufacturer's profit and the return rate of used product. Related Articles | Metrics

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Study of Impact on Optimum Extraction of Exhaustible Resources under Stock Uncertainty GE Shi-long, ZHOU De-qun, CHEN Hong-tao 2008, 20 (6):  137-141.  Abstract ( 2259 )   PDF (531KB) ( 1514 )   Save Recovery rate is an important parameter of stock uncertainty. Using the probability of improved recovery rate,the number and extent of adjustment and the new recovery rate,recovery rate uncertainty is described. Then effective recoverable stock is determined. In the end,the model of optimal extraction of exhaustible resources is built by using the theory of optimal control.The expressions of optimal extraction path,shadow prices and exhaustible time are received. The results show that:the higher recovery rate is, the more resources are supplied and the longer service life of mining area is gained. Also the resources can be protected;higher recovery rate need more frequent to adjust. When probability of improved recovery rate is high,less frequency of adjustment is required. And it is proved in theory that the action to increase recovery rate is effective. Related Articles | Metrics

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Study on Dynamic Quality Incentive Model of Supply Chain Based on Intertemporal Constraints WANG Jie, CHEN Gong-yu, ZHONG Zu-chang 2008, 20 (6):  142-149.  Abstract ( 2560 )   PDF (830KB) ( 1273 )   Save This paper mainly considers the quality incentive mechanism in the supply chain composed of one supplier and one retailer. Firstly,it makes use of a single-period quality incentive model to discover the deep-seated causation for lack of motivation in supplier's quality improvement devotion. And then constructs a dynamic quality incentive model based on intertemporal constraints to intrigue supplier's quality devotion. The result of our research shows that,in the first period of the dynamic model,supplier's quality devotion will just equal the slope of retailer's compensated wholesale price,but in the second period of the dynamic model,supplier's quality exceeds the slope of retailer's compensated wholesale price,thus displays the efficiency of the dynamic model on bestirring the supplier's quality devotion. Finally,the numerical analysis shows that the intertemporal quality incentive mechanism can greatly improve the total supply chain utility in contrast to the single-period mechanism. Related Articles | Metrics

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Dynamic Multidimensional Game Model between Two Oligarchs on Output-Price Strategies LIU Jun, LI Cheng-jin 2008, 20 (6):  150-155.  Abstract ( 2374 )   PDF (673KB) ( 1888 )   Save According to the theory of dynamic multidimensional game,the paper discusses dynamic two-dimensional output-price game model with complete information for two kinds of products with certain substitution between two firms It is proved that dynamic independent output-price game model for two kinds of products without certain substitution between two firms is a special case of this two-dimensional game model,and that equilibrium strategies in which two enterprises independently participate in game for every kind of product are inferior to equilibrium strategies in which each enterprise considers two kinds of product jointly to participate in the two-dimensional game. The results show that firms want to think over its substitution when two firms take two-dimensional game for a kind of product output strategies with unsaturated market and another kind of product price strategies with saturated market, thus selected output and price strategies are optimal strategies. Related Articles | Metrics

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Buying Power in a Downstream Mixed Oligopoly LI Chang-ying, Fu Hong-yan 2008, 20 (6):  156-163.  Abstract ( 2318 )   PDF (1055KB) ( 1385 )   Save In this paper,we present a simple model where a national retailer competes with a local retailer in m>1 markets a La Cournot fashion. When the national firm is a private firm,an increase in its buying power increases its profit but reduces consumer surplus and social welfare.The profits of the upstream supplier and the local firms depend on both the state share of the SOE and the degree of buying power of the national retailer. Furthermore,when the national firm is a partially state-owned enterprise (SOE),a rise in its buying power benefits the national retailer itself,consumers and society as a whole,but hurts the up stream supplier and the local firms. Related Articles | Metrics

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Study on Enterprise Behavior with Transfer Matrix LU Shao-hua, ZHU Fan 2008, 20 (6):  164-167.  Abstract ( 2470 )   PDF (205KB) ( 1110 )   Save Enterprise behavior characteristics are complex and traditionally studied with qualitative economics and sociological methods,which have not brought effective result yet,however.In this paper,quantitative transfer matrix is defined and used to describe enterprise behavior characteristics.The way to get the transfer matrix is introduced and proved practical by a detail example.Then transfer matrix method is compared with reg ression analysis technology.Finally,limitations and possible extensions of this research are pointed out. Related Articles | Metrics

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The Effect of Heterogeneous Expectation to IPO Underpricing Based on Bookbuilding ZHANG Xiao-cheng, MENG Wei-dong, ZHOU Xiao-hua 2008, 16 (6):  168-175.  Abstract ( 1839 )   PDF (425KB) ( 2313 )   Save In the view of intentional and unintentional underpricing in IPO underpricing,the paper uses the behavioral finance and game theory,and studies the issuers and institutional investors' heterogeneous and homogeneous expectations how to effect IPO under pricing,and IPO underpricing was analysized.The study result shows that the institutional investors have motivation to suppress the price on whatever condition is to avoid the Winner's Curse and purse higher expected IPO underpricing.When the issuers and institutional investors have no divergence to the IPO value,namely,homogeneous expectation exists, there is only intentional under pricing in IPO underpricing and nounintentional underpricing exists.In versely,it will lead to yield higher IPO underpricing.Moreover,the more divergence,the lager unintentional underpricing but the intentional underpricing is stable. Related Articles | Metrics

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Evolutionary Game Analysis of Water Resources Allocation in River Basin CHEN Zhi-song, WANG Hui-min, QIU Lei, CHEN Jun-fei 2008, 20 (6):  176-183.  Abstract ( 2357 )   PDF (929KB) ( 1748 )   Save This paper applies the evolutionary game(EG) theory to water resources allocation in river basin,and separately analyzes replicator dynamics and its evolutionary stable strategy(ESS) among the water resources manufacturers(WRMs) and between the WRM and the water resources administration(WRA),and solves the function of replicator dynamics and ESS,also does some stability analysis. This study suggests that:(1) the EG among the WRMs has only one ESS;(2) EG between WRM and WRA have two ESSs:(H,L) ana (L,H),where (L,H) is the expected evolutionary direction;(3) The expecting profit of each participant decreases with the proportion of H strategy group increasing,which induces the conflict problem in the water resources allocation. Adopting the L strategy will increase expecting profit of all,the WRA adopts the incentive mechanism of handsome reward and heavy penalty(HRHP) that will effectively control overpumping,solve conflict and improve profit. Related Articles | Metrics

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Innovation Subsidies or Product Subsidies:the Government Strategy Choice of Technical Alliance SHENG Yan-chao 2008, 20 (6):  184-192.  Abstract ( 2607 )   PDF (957KB) ( 1615 )   Save As an effective way of technological innovation,the technical alliance attaches great importance. the dispute of the subsidy way and the existence of the spillover effects lead to that the state must judge the subsidies means to the technical alliance. The article constructs a three-game model on the subsidies of the R&D input and the innovative products. The results show that:the innovation input will increase with the increase of spillover effect,under the incentive of the intellectual property rights the enterprise innovation input and the spillover effect will reach the virtuous cycle;When government intervenes the technical alliance,the product subsidies is a more effective manner than the R&D input subsidies. It is very importaut to encourage government increasing the innovation incentive and choosing the innovation subsidies method. Related Articles | Metrics