Table of Content

31 December 2007, Volume 15 Issue 6 Previous Issue    Next Issue

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Loan Pricing Model of Commercial Bank Based on Credit and Market Correlation Risk GUO Zhan-qin, ZHOU Zong-fang, LI Jian-ping 2007, 15 (6):  1-6.  Abstract ( 2878 )   PDF (636KB) ( 1414 )   Save Most of the current studies in loan pricing field aim at credit risk and pay little attention to the influence of credit and market correlation risk. Research based on credit risk,credit and market correlation risk is now still a new industry. This paper studies this issue and proposes corresponding model.Some significant results are obtained in the paper:Two different item loans will get different interest rate from bank only because they are in different industry. It is argued that different industry will lead to different credit and market correlation risk. Related Articles | Metrics

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Empirical Study on the Relationship between Holding Concentration and Performance of Close-End Fund LIANG Bin, CHEN Min, MIAO Bai-qi 2007, 15 (6):  7-12.  Abstract ( 2627 )   PDF (282KB) ( 1309 )   Save This paper studies the relationship between the holding concentration and performance of close end fund We use Gini coefficient and Herfindahl index to measure the ho lding concentration of fund,and use three factors Jensen Alpha,Fama and French to measure the performance of fund We find that:the higher the holding concentration,the high the fund's performance. Related Articles | Metrics

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Evaluation on Volatility Forecasting Performance of GARCH-Type Models HUANG Hai-nan, ZHONG Wei 2007, 15 (6):  13-19.  Abstract ( 3780 )   PDF (297KB) ( 5385 )   Save GARCH-type models have been broadly used to forecast volatility.But it's ignored to evaluate the performance of volatility forecasting. The reason is mainly lack of appropriate benchmark to evaluate. We estimate and forecast the return of SZZS using GARCH-type models. Realized volatiliky is computed as benchmark using 5-minuets high frequency data. Volatility forecasting performance is measured using M-Z regression and loss function. The conclusion is that GARCH type models have a very goodforecasting performance both in sample and out of sample, and GJR(1,1) under skewed t-distribution assumption is the most powerful to forecast. Related Articles | Metrics

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Markov-Switching Model and Its Application to the Stock Market of China GAO Jin-yu, CHEN Xiang 2007, 15 (6):  20-25.  Abstract ( 2654 )   PDF (547KB) ( 2288 )   Save Markov-switching model is a method applied to investigating the structural changes of time series. To explore quantitatively characteristics of the stock market of China, the Markov-switching model in the form of three states, heteroskedasticity and fourtlh-order autoregression is built to analyze the wave of the component index of Shenzhen Stock Exchange. And some characteristics of the stock market of China are summarized at last. Related Articles | Metrics

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Analysis of Macro Factors Affecting Financial Structure of Chinese Listed Companies LI Wan-fu, YE A-zhong 2007, 15 (6):  26-32.  Abstract ( 2825 )   PDF (545KB) ( 1290 )   Save On the basis of summarizing the relevant literature and material home and abroad,the paper conducted empirical research of macro economic factors affecting financing structure of Chinese listed companies from macro and dynamic perspective. It found that there was cointegration relation among asset-liability ratio of Chinese listed companies,inflation rate and real interest rate,which indicated that the relation between asset-liability ratio of Chinese listed companies and macro-economic factors was not spurious regression,but a long-term equilibrium one A VAR econometric model was established based on the above result to make dynamic analysis. The result showed that the positive impact of inflation would affect debtratio of Chinese listed companies in the same way. While the positive impact of real interest rate would lower its debt level,and the change of macro-economic indexes had obviously differentimpact on debt level of Chinese listed companies as the industries were different. Related Articles | Metrics

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Research on Decision-Making Model Based on Expected Benefit for Random Overhauling System JIA Ji-shen, LIU Si-feng, DANG Yao-guo 2007, 15 (6):  33-38.  Abstract ( 2613 )   PDF (2140KB) ( 1131 )   Save The problem on replacement policies for a random checking repairable system is studied in this paper.In order to improve systems safety and reliability,a random overhauling before system failures is considered,and the repairable models are studies in this case.Under the assumption that the random over-hauling is as good as old,the successive survival time of the system constitutes a decreasing geometric process stochastically and the consecutive repair time of the system constitutes an increasing geometric process,and the repair after system failures is not as good as new,we consider replacement policies based on the failure number of the system.By using the monot one geometric process,the explicitex pression of the long-run expected profit per unit time is derived.Finally,we analyze the result through numerical example too. Related Articles | Metrics

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An Optimization Model of Routing Problem with Long-Term Contract for Liner Revenue Management BU Xiang-zhi, CHEN Rong-qiu, ZHAO Quan-wu 2007, 15 (6):  39-45.  Abstract ( 2893 )   PDF (821KB) ( 1628 )   Save Based on revenue management,the container slot allocation and routing optimization problem for liner shipping industry is studied quantitatively under uncertainty circumstances. Firstly,a stochastic programming model is proposed by considering long-term transportation capacity contract,empty container transportation and routing choice,based on the analysis on the characteristics of ocean shipping container revenue management. Then,due to the demand uncertainty,a novel robust optimization method is proposed to solve the model.Finally,the optimized allocation policy by simulations shows that the robust optimization model gets higher revenue than the deterministic linear programming model does,and that the model and solution methods have application value to the revenue management problems for container ocean shipping companies. Related Articles | Metrics

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Solving Vehicle Routing Problem with Split Deliveries and Time Window Constraints HOU Li-wen, TAN Jia-mei, ZHAO Yuan 2007, 15 (6):  46-51.  Abstract ( 2309 )   PDF (679KB) ( 1600 )   Save Vehicle routing problem in logistic industry is always considered as one of important theoretical and practical issues. This paper redesigned the model of the problem based on split deliveries of customer demand and time window assigned to customer and distribution center. And the new rule to select split points related to customer places is also demonstrated in order to decide the computing process. Thus the Max-Min ant system incorporated with improved transition probability of basic ant algorithm is employed to compute the model. The result indicated that not only the algorithm is feasible and valid but also adoption of split deliveries does justify the mode compared with non-split deliveries vehicle routing problem. Related Articles | Metrics

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Research on Optimization of VRPTW Based on Improved Two Phase Algorithm under Electronic Commerce WANG Xiao-bo, LI Yi-jun 2007, 15 (6):  52-59.  Abstract ( 2703 )   PDF (503KB) ( 1263 )   Save In order to satisfy logistics distribution demand under electronic commerce,we modify the traditional vehcile scheduling model,amend objective function based on expense minimization,and add time restriction,goods capacity restriction,maximum vehicle working time,multi-types of vehicles,load capacity restriction,maximum running distance and so on into the rest riction couditions,so as toim prove the applicability and universality of model Since vechile scheduling problem is NP puzzle,we get the optimal solution by improved two-phase algorithm That is,in the first phase,the customer group is divided into some regions through fuzzy hierarchy clustering analysis method,and each region is also divided into some small scale sub-groups satisfying some restiction conditions through scanning algorithm. In the second phase,we optimize the line of each single TSPTW model according to to cust omer dot in each group. Therefore,improved hybrid genetic algorithm is used to get the optimal solution. Finally,computational tests demonstrate the efficiency and feasibility of our algorithm. Related Articles | Metrics

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Discrete Optimization Models for Minimizing Grid Company’s Purchase Power Cost under Contract for Difference LIU Ji-cheng, TAN Zhong-fu, CHEN Guang-juan, HOU Jian-chao, WANG Mian-bin, CAO Fu-cheng 2007, 15 (6):  60-66.  Abstract ( 2422 )   PDF (883KB) ( 1169 )   Save At the aim of minimizing the power grid company's purchasing electric power cost,an optimal model is set up under the contract for difference,which the grid company can buy power in contract,spot, reserve and interruptible load trade markets. An algorithm of this model is given using heuristic approach. At last,the influence on the electric power purchasing cost of the grid company made by contract for difference and the percentage of contract power quantity is analyzed. Related Articles | Metrics

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EOQ Model with Controllable Lead Time, Setup Cost and Backordering Rate HUANG Bo, CHEN Hui, LUO Bing, ZHANG Ren-ping 2007, 15 (6):  67-72.  Abstract ( 3005 )   PDF (287KB) ( 1560 )   Save In traditional inventory model,lead time and setup cost are viewed as uncontrollable But,in practice,lead time can be shortened and set up cost can be reduced by added investment. During the short age,the supplier may of fer a price discount on the stock-outitem to compensate for the inconvenience of backorder and to prevent loss of orders. In practice,the mean and the standard variance of demand are a vailable,butitis hard to find its distribution. Under the assumption that backorder rate is dependent on inventory level and price discountin the period of shortage,this paper develops an EOQ model with controllable lead time and setup cost,in which the demand follows ageneral distribution The existence and uniqueness of optimal solution are proved and analgorithm searching for it is given. It is showed that order quantity,safety stock and inventory total cost can be generally reduced by shortening lead time and reducing set up cost. It is also showed that backordering parameter and probability of short age have a great impact on inventory total cost,so an enterprise should do its best to reduce probability of shortage,especially when backordering parameter is small. Related Articles | Metrics

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Research on Lead-Time Reduction in(Q, r) Lnventory Models MEI Wan-xia, MA Shi-hua 2007, 15 (6):  73-77.  Abstract ( 2767 )   PDF (254KB) ( 964 )   Save After putting forward a lead-time reduction cost function with characteristics of subsection linear,this paper discussed a two-stage(Q,r)policy coordination problem with service level constraint.By applying some means of optimization theory,the problem was decomposed into two problems:one problem without constraint and the other with equation constraint.Theoretic analysis and numerical study show that,service level can be improved prominently and the total cost can be minimized synchronously after confirming the order quantity,the reorder point and the lead-time expediting factor. Related Articles | Metrics

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Study on Profit Sharing Contract and Response Method for Supply Chain Coordination ZHAO Zhi-gang, LI Xiang-yang, LIU Xiu-hua, ZHOU Yan-chun 2007, 15 (6):  78-85.  Abstract ( 2787 )   PDF (1115KB) ( 1533 )   Save A kind of profit sharing contract and its response method to variance of demand price flexibility have been designed by considering that the risk of supply chain has not been completely shared by the members with revenue sharing contract. According to the contract,the supplier transfers middle product to the retailer with price of unit cost,and shares the system profit properly. Parameters of the contract should be adjusted to induce the decision of the retailer. The research shows that,the profit sharing contract can coordinate the supply chain. Reasonable response to change of and the retailer accept the adjusted contract,which is helpful to optimize the profit of supply chain.Study of simulated case demonstrates the effectiveness of the profit sharing contract and the response method. Related Articles | Metrics

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A Genetic Algorithm Approach to the Three-Level Reverse Logistics Network Design Model JI Shou-feng, LI Feng, DONG Yun-long, HUANG Xiao-yuan 2007, 15 (6):  86-91.  Abstract ( 2493 )   PDF (409KB) ( 1348 )   Save To aestablish the initial collection point to facilitate the customers,increase the velocity of prod uctreturns and establish the centralized return center where returned products from retailers or end-customers were collected,sorted,and consolidated into a large shipment destined for manufacturers'or distributors'repair facilities,it is a saving and effective mode of multi-level producet returns.Based on the existing research,this paper considers more variables:initial collection cost,revenue of sell two-hand products selling,revenue of reclaimed products selling,then proposes a three level reverse logistics net work design Optimization model that can connect the customs,centralized return center and manufacturers.Ultimately,sensitivity analysis indicates that genetic algorithm is a valid approach to resolve this kind of problems. Related Articles | Metrics

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Comparison Analysis on Flexible Supply Contracts between Unilateral Options and Bidirectional Options HU Ben-yong, WANG Xing-yu, PENG Qi-yuan 2007, 15 (6):  92-97.  Abstract ( 2680 )   PDF (266KB) ( 1267 )   Save For the quantity flexibility contracts about perishable product's supply cooperation, we construct ted two models based on different options in stochastic market demand condition. By analysis, we gain retailers' order policies about different options. In the policies, retailers' option-order quantity is smaller, initial order is bigger, and total is smaller in the contract based on bidirectional options than in the contract based on unilateral options. The optimal total quantities in two different option contracts are bigger than the quantity in the traditional contract. The two option contracts can all improve retailers'total order quantity, but they are different their quantities approach the optimal supply chain order quantity in a given contract parameter. Related Articles | Metrics

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A Stochastic Multistage Distribution Network Design Model TANG Kai, YANG Chao, YANG Jun 2007, 15 (6):  98-104.  Abstract ( 2642 )   PDF (811KB) ( 1361 )   Save This paper addresses a stochastic multistage location-inventory model with investment funds limnation for facilities location and market selection in each time stage,where the economies of scale and risk-pooling effects are handled by consolidating inventory sites,and forecast uncertainties of parameters in the problem are explicitly considered by specifying a set of scenarios. The goal of this model is to minimize the expected total cost that includes location,transportation,inventory,and lost revenues costs. We formulate this model as a nonlinear integer programming problem,for which we propose a Lagrangian relaxation-based solution algorithm. Finally,this algorithm is applied to several instances on problems in 3 different sizes,and our computational results show that our model can be solved efficiently via this algorithm. Related Articles | Metrics

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A Method of Lattice-Order Selection Based on Rough Sets Theory DAI Yu, ZHOU De-qun 2007, 15 (6):  105-110.  Abstract ( 2288 )   PDF (412KB) ( 1029 )   Save In the theory of the rough set,some results were given to deal with possible inconsistencies in preferential attribute decision.However,in practice,different reductions may occur according to this theory.How to choose the best reduction from different ones is still unanswered.In this thesis,with the theory of lattice and order based on dominance relation,the fidelity of a reduction is defined.Then,the similarities of different reductions compared with original data table are obtained.Through this tool one can choose a better reduction of attributes to make a decision. Related Articles | Metrics

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Robust Operating Strategy Design for a Closed-Loop Supply Chain under Circumstances of Uncertain Demands XU Jia-wang, HUANG Xiao-yuan, QIU Ruo-zhen 2007, 15 (6):  111-117.  Abstract ( 2799 )   PDF (756KB) ( 1588 )   Save Under the syntheticall consideration of re-distribution,remanufacturing and reuse,the dynamic operating model for a closed-loop supply chain is established. The closed-loop supply chain is composed of one manufacturer and one supplier,in which the manufacturer is in charge of recollecting and re-disposing the used products. The operaton of closed-loop supply chain is dynamic and meets multi-objectives such as coordination between members,maximum profits of each member. Uncertain demands are described as a scenario set with certain probability,the supply chain operating model is constructed by using the robust linear programming method based on scenario analysis. A numerical example is designed,its result verified the solution robustness and model robustness of the operating strategy. Related Articles | Metrics

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Investment Efficiency Evaluation Based on Technology Decomposition in(k, y) Space KANG Mei 2007, 15 (6):  118-124.  Abstract ( 2553 )   PDF (954KB) ( 1243 )   Save Study of method for evaluating firm investment efficiency is an unexplored domain by now both at home and overseas,and there have been no items concerning investment efficiency evaluation in firm performance measurement method. Under such condition,firm development evaluation demonstrates obvious irrationality. After summarizing the basic principle in investment evaluation based on the evaluation methods and basic ideas in related fields,a method of investment efficiency evaluation at the firm level is presented in this paper based on technical efficiency evaluation established in (k,y) space. Here asset technology and operational efficiency of the firm can be identified,and firm labor productivity can be decom-posed into such two elements,which make it possible to trace the transition of the firm state from the view of asset technology and operational efficiency. Index of investment efficiency established on such information can identify the marginal effect of investment action on production efficiency,which combines the methods of investment efficiency evaluation used in macro economy and in micro concrete project,and can accurately evaluate the real performance in investment action. Related Articles | Metrics

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Research on the Long-Term Incentive Mechanism under Executive’s Management of Combined Investment WU Chong, HU Han-hui 2007, 15 (6):  125-131.  Abstract ( 2348 )   PDF (360KB) ( 1022 )   Save The investment of developing enterprises is divided into strategic investment and operating investment,the former emphasizes on the long-term performance from exploration of enterprise's strategic chance,the latter cares about the current profit's gain from exploitation of enter prise resources. The traditional incentive mechanism based on the executive's confirmable out put weakened the incentive of executive's strategic investment management,resulted in short-term effect in incentive. So,real options method was used to optimize the above multi-task incentive mechanism. The result suggests that the long-term incentive mechanism based on the judge of strategic chances contributes to the effect of owner's incentive guide, facilitates the executive to make managerial balance between strategic project and operating project.The relativity of two kinds of investment management will exert influences on the design of executive's incentive mechanism,and then determine the proper collocation of two kinds of investment projects'combined managementin enterprises. Related Articles | Metrics

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Study of Ownership Structure on Private Benefits of Control LIN Chao-nan, LIU Xing, HAO Ying 2007, 15 (6):  132-139.  Abstract ( 2628 )   PDF (996KB) ( 1627 )   Save The private benefits of corporate control(PBC) expropriation behavior of controlling shareholders presents relative differences in aim-choices and requirements in different countries and different modes of corporate management,though it can be influenced by ownership structure through the characters,control modes and proportions of ownership.On this background central and local governments fulfill the investment person responsibility respectively,the central and local China State-owned Property Committee have become the ultimate controlling shareholder of Chinese listed companies. Based on the theory that ownership structure is the impact of the level of PBC,we conduct a thorough empirical study on the tunneling of majority shareholders from the two perspectives:the ultimate control models and the stake of the largest shareholder.The conclusion of the thesis can provide empirical assistance for the establishment of correlative statute during the reform of split share structure and the management of state-owned assets. Related Articles | Metrics

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Evaluation Methods and Empirical Analysis for Non-Experimental Data SHU Hai-bing, YE Wu-yi, LI Yi-yi, MIAO Bai-qi 2007, 15 (6):  140-148.  Abstract ( 2427 )   PDF (1221KB) ( 2126 )   Save The research of effect evaluation for non-experimental data is an important research field in management science. Although the effect evaluation theory has been researched for decades abroad,there is little research domestic. Based on such situation,this paper lays out effect evaluation theory and empirical analysis methods,and considers three main methods involved:Heckman Correction Method,Difference-in-Difference Method and Matching Method. At last,we review some noticeable aspects in practice. Related Articles | Metrics