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30 April 2007, Volume 15 Issue 2 Previous Issue    Next Issue

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The Analytic Valuation of Coupon-bearing Callable Convertible Bonds：An Equivalent Decomposition Method ZHOU Qi-yuan, WU Chong-feng, CHEN Xiang-peng 2007, 15 (2):  1-8.  Abstract ( 2661 )   PDF (594KB) ( 1282 )   Save With the help of American binary calls and up-and-out calls,in the Black Scholes framework,according to the risk-neutral valuation principal,this paper completely decomposes Coupon bearing Callable Convertible Bonds(CCCB)into the port folio of seven kinds of simple securities.At the same time,based on the existing valuation fo rmulae for these simple securities,the valuation formula for CCCB is derived. Furthermore,the valuation for mula for the effective value of coupons of CCCB is also worked out.Compared with the existing numerical procedures,this method can not only give a lot newinsight of the value composition of CCCB,but also greatly speed up the valuation of CCCB. Related Articles | Metrics

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A Study on ALM for Insurance Enterprise Based on Interest Rate Risk FANG Hai-bin, WANG Chun-feng 2007, 15 (2):  9-14.  Abstract ( 2817 )   PDF (597KB) ( 2123 )   Save By the method of no-arbitrage analysis and binary tree,the value of embedded surrender option is priced.And with the numerical method,the model for interest rate term structure in Chinese market is ascertained in the form of cubic polynomial. According to the above,the absolute immunity model of duration gap is set up against interest rate risk. Finally,the model is applied with the actual data of asset and liability. Related Articles | Metrics

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Soft Budget Constraints and Transformation of the State-Owned Enterprise：Factor Input Analysis CHENG Bin-hong 2007, 15 (2):  15-20.  Abstract ( 2214 )   PDF (143KB) ( 1414 )   Save The paper studies the formation path of soft constraint by dynamic optimization and the process of State-owned enterprises(SOEs) transformation in China. The conclusion meansthe dismatch of factor input with the product model, and the outcome of the transformation of SOEs in China is to make factor input and product model satisfy the condition of weak matching. Related Articles | Metrics

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Financial Development and Endogenous Growth with Horizontal Innovation YANG Jia-yu, LAI Ming-yong 2007, 15 (2):  21-27.  Abstract ( 2831 )   PDF (765KB) ( 1385 )   Save We extend the endogenous growth model with horizontal innovations to construct a five-sector growth model in which a financial sector is introduced. In this set-up,the solution in the balanced growth path shows that steady state consumption and output growth rate essentially depend on the productivity in R &D sector,human capital sector as well as financial sector. The further comparative static analysis demonstrates that more efficient financial system leads to higher steady state growth rate,but the effects of productivity in other sectors on financial sector are uncertain. Related Articles | Metrics

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Optimal Trading Strategy Based on Order Execution Delay ZHENG Zun-xin, LIU Hai-long, WU Chong-feng 2007, 15 (2):  28-32.  Abstract ( 2570 )   PDF (2286KB) ( 785 )   Save In a realistic market,order execution delay is a popular phenomenon,and has not attracted the at tention of researchers during the study of optimal trading strategy.In the framework of Polimenis,this paper studies the institution investor's optimal strategy of breaking a block,and whose profit from price misevaluation in the face of order execution delay.Finally,numerical example is given and sensitivity of coefficients is analyzed.Results show that the institution investor's profit and liquidity cost are affected by market liquidity and depth,the degree of breaking,risk aversion,and misevaluation. Related Articles | Metrics

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An Empirical Research on the Relationship between Aggregate Liquidity and Asset Pricing in China Stock Market LUO Deng-yue, WANG Chun-feng, FANG Zhen-ming 2007, 15 (2):  33-38.  Abstract ( 2708 )   PDF (236KB) ( 1964 )   Save In this study, to examine whether aggregate market liquidity risk is priced in China Stock Market, we build a three-factor asset pricing model, in which market risk and two kinds of liquidity risk are inchided. The two kinds of liquidity risk mean market return sensitivity to market aggregate liquidity, which risk is measuredby their covariance, and volatility of market aggregate liquidity, which risk is measured by its variance. The findings show that there are both market risk premium and liquidity risk premium,while risk premium of market return sensitivity to aggregate liquidity is more significant in the two kinds of liquiditv risk. Related Articles | Metrics

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Multinational Corporations’Investment Decisions under Multi-Factors Uncertainty XUE Ming-gao, GONG Pu 2007, 15 (2):  39-46.  Abstract ( 2150 )   PDF (361KB) ( 1336 )   Save In this paper,using realoption pricing theory,the production of sales delocalization flexibility for multinational enterprises making decisions is modeled as exchangeoptions under exchange rate,labor costs,product of the price uncert ainy.The paper present the optimal super-trigger of production delocalization option,the optimal lower trigger of sale delocalization option,investment decisions' rules,respectively.The paper also discussed the effect of important parameters on the optimal-triggers delocalization productor sales.Finally,numerical calibration of the delocalization decisions' rulesis given in the paper,and show that this delocalization decisions' rules is operatical in application. Related Articles | Metrics

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Research of Dynamic Analyzing Model of Logistics Distribution System for the Chain Retail Commerce FAN Ti-jun, HU Ji-ling, CHANG Xiang-yun, HU Qing-huai 2007, 15 (2):  47-52.  Abstract ( 2549 )   PDF (677KB) ( 1329 )   Save A large scale linear goal programming model for the general logistics distribution schedule of the chain managed retail commerce is presented in this paper,which combines a dynamic goal programming for simulating and analyzing the performance of the logistics distribution system as well as its rationality. The model structure is discussed in detail and usefulness of the method. Two lager real examples are tested which manifest the correctness. Related Articles | Metrics

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Research On the Model of Reproduction-point based Stochastic Aggregate Production Planning ZHAO Yong-quan, LU Li-bin, FANG Shu-fen 2007, 15 (2):  53-57.  Abstract ( 2395 )   PDF (340KB) ( 1033 )   Save The reproduction point based production and inventory control policy is analyzed as the starting point for further research,followed by the analysis on the quantitative relation between service level and stocks of the production system in stochastic-demand environment,and the average inventory in planning periods is invited into the aggregate production planning model.The planning out put in every period is stochastic variables having the same distributions with the product demands.By computing the optimal reproduction points and service levels,the optimizingaim of this model is to determine the optimal production intervals for each product in each period.Solution algorithm is proposed and an numerical case is used to validate the model. Related Articles | Metrics

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Optimal Adjustment Models for Uncapacitated Reverse Logistic System MA Jian-hua, ZHAO Pei-xin, CUI Yu-quan 2007, 15 (2):  58-63.  Abstract ( 2275 )   PDF (769KB) ( 1494 )   Save In this paper,we present some new optimal adjustment models for reverse logistic system without capacity constraints to the facilities,and give the optimal solution for invariable reverse logistic system and approximation algorithm for variable reverse logistic system. A numerical example is presented to illustrate the model. Related Articles | Metrics

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Hybrid Replenishment and Dispatching Policy with Deteriorating Item for VMI：Analytical Model,Optimization and Simulation DU Shao-fu, LIANG Liang, ZHANG Jing-jiang, LU Zheng-gang 2007, 15 (2):  64-69.  Abstract ( 2270 )   PDF (623KB) ( 1854 )   Save This paper focuses on stock replenishment and shipment scheduling with deteriorating item for vendor-managed inventory systems. Under the assumption that demand process follows a typical Poisson process,hybrid replenishment and dispatching model for VMI is proposed. From this model,one of the best hybrid policies,under which the long-run average cost is minimized,can be obtained easily by solving a simple programming problem. However,solutions obtained from the model are unnecessarily the exactly optimal but near-optimal,approximation of expected dispatching number within a replenishment cycle is involved. Anyway,a numerical example and simulation show that the disparity between results through optimization and simulation is tiny or even negligible,which demonstrates the validity of the model. Related Articles | Metrics

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Analysis of Supply Chain Stocking Decision in Hybrid Distribution Systems for Short Life-cycle Products XIA Hai-yang, HUANG Pei-qing 2007, 15 (2):  70-75.  Abstract ( 2358 )   PDF (703KB) ( 1918 )   Save Market competition makes products life-cycle become shorter and shorter nowadays. With great improvement in information and network technology,Internet appears as a new special distribution channel. Hybrid distribution systems composed of both traditional retail channel and Internet-based channel raise new challenges for academic research,as well as management practice. The authors take newsvendor model to analyze stocking decisions made in hybrid distribution systems for short life-cycle products. By numerical experiments,we analyze the demand uncertainty's impact on manufacturer and retailer's optimal stocking decision. Finally,we conclude the management implication of this article. Related Articles | Metrics

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Study on Improved Inventory Coordination Model in A Multi-stage Multi-customer Supply Chain Based on Integer Multiplier MA Han-wu, XING Chun-lin, ZHAO Lin-du 2007, 15 (2):  76-80.  Abstract ( 2340 )   PDF (397KB) ( 983 )   Save In this paper,we analyzed 3 coordination mechanisms and models in a multi-stage multi-customer supply chain studied by Moutaz Khouja(2003)[1],analyzed the possible of missing feasible solution and the rigor condition in practice of the third model(integer powers of two mult-ipliers),then put up a improved model(integer mult-iplier),and taken the example to prove it gives better results.Generally,this improved model meets the requests of lean supply chain operation. Related Articles | Metrics

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Pollution Charge Optimization Model Based On Rough Set Theory WANG Ya, LIU Bao-dong 2007, 15 (2):  81-85.  Abstract ( 2538 )   PDF (522KB) ( 1375 )   Save Based on the rough set theory,a pollution charge optimization model is built.The contribution degree of polluters to the receptor is calculated by the knowledge of information entropy in rough set. Considering that administrators not just charge pollutions but also take part in reducing polluters,the ideal pollution tax is achieved when the cost of the whole society is minimized and the pollution is under control in each receptor. Related Articles | Metrics

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Optimization Approach for Traffic Road Network Design Problem ZHANG Hao-zhi, Gao Zi-you 2007, 15 (2):  86-91.  Abstract ( 2301 )   PDF (772KB) ( 2127 )   Save In urban transportation network,two-way road flows may be disequilibrium during some time(e. g. on/off duty).Aiming to make full use of the existing road resource and reduce transportation congestion,this paper proposed a two-way road lane reallocating approach under asymmetric flows,and established a corresponding discrete bi-evel programming model in which transportation managers at the upper level minimize the total system co st by reallocating lanes on the two-way road Then,a chaotic optimization algorithm for the bi-level programming model is proposed Finally,the proposed approach was verified through the famous Sioux Falls network. Related Articles | Metrics

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A DEA-based Efficiency-Measuring Model for a Two-Stage Production System BI Gong-bing, LIANG Liang, YANG Feng 2007, 15 (2):  92-96.  Abstract ( 2694 )   PDF (632KB) ( 2892 )   Save Data Envelopment Analysis (DEA) is a mathematical programming approach,which has been widely accepted as an effective tool to evaluate the efficiency of a Decision Making Unit (DMU) relative to other DMUs. Traditional DEA approaches usually treat the evaluated DMU as a'BLACKBO} and ignore its internal mechanism. This paper will advance a DEA-based method to evaluate the performance of a two-stage serial production system with consideration of its internal mechanism. Actually the advanced method in the paper is a special form of a Network DEA model,different from the pervious works but indeed helpful for managers to find out the reason and improvement of inefficiency for any two-stage serial production system,such as a supply chain. Related Articles | Metrics

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Vehicle Routing Problem with Simultaneous Delivery and Pick-up Studied Based on Self-telepathy Ant Colony Algorithm LU Lin, TAN Qing-mei 2007, 15 (2):  97-103.  Abstract ( 2573 )   PDF (895KB) ( 1671 )   Save Vehicle routing problem with simultaneous delivery and pick-up is one of the important compovents of the vehicle routing question,and the complexity of the question makes the present solving methods confined to various kinds of insert heuristics algorithm. By quoting the ant colony algorithm appearing in recent years and the further investigation of ants behavior,the paper puts forward to the definitions of reaction factor,expect degree factor,relative distance quality factor and accelerate factor for the first time, incorporates the distance characteristic of the present route in the field of pheromone upgrading,and finally structures a new self-telepathy ant colony algorithm(STACA).STACA method fully utilizes the overall distributed pheromone to respond to information,shifts the state according to the arranging value of capacity of vehicle and the proportion between nodal interval and the node and interval of central point,and effectively solves the contradiction between fast searching and falling into local optima by utilizing the dynamic regulation accelerate factor in the pheromone newer formula. The artificial test has proved the validity of STACA,meanwhile,this algorithm expanded the algorithm space of VRP too. Related Articles | Metrics

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The Application of Stochastic Models in the Estimation of Future Economic Value of Retail Customers WANG Gao, LI Chun-qing, ZHAO Ping, TONG Lu-qiong 2007, 15 (2):  104-110.  Abstract ( 2222 )   PDF (937KB) ( 1697 )   Save The economic value of retail customers is determined together by purchase frequency and monetary value. This article employs the NBD model to fit purchase frequency and the gamma-gamma model to fit the average monetary value. Based on the Bayes theorem we can calculate the expected future purchase frequency and average monetary value in a given customers fast purchase behavior,and the customer's future economic value is the multiplication of these two expected values. This article applied the above stodrastic models to fit empirically the frequent shopper card data of a retailer. The results show that the models not only can accurately fit the data of purchase frequency and monetary value,but also can accurately predict customers future economic value. The modeling method is of great value to retailers in enhancing customer analysis and improving customer management. Related Articles | Metrics

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Research on the Resources of Complex Adaptive System of Supply Chain Based on the Three-Tiered-Echo Model BAI Shi-zhen, ZHENG Xiao-jing 2007, 15 (2):  111-120.  Abstract ( 2678 )   PDF (667KB) ( 1167 )   Save In this article,we analyze some character istics of the structure of the resources'value in the sup ply chain,based on the laboraxiology,such as asym metry,non-linearity,dynamics,changeable with time and space,the organic whole of various resources and so on,and we contacs the chromo some of the resources'value in the supply chain in order to create a room which involves kinds of agents,then define these effect points between agents by random numbers and integrate these resources.We set up If Then rule on the supply distribution of resources and the layout standard on correlated opportunity restr aint, which can be used in the three-tired-echo model on the interaction of the complex adaptive system in the supply chain,and simulate,by adding the thought of genetic algorithm in Swarm flattop.As a result,we can discover that all resources of the complex adaptive system in the supply chain are a whole one that can not be separated,the resources,such as management,technique information,thought,etc.,make a role effect in the system,and the resouv ces'value adjusted by the weight function can describe these correctly. The three-tired-echo model is a useful and accurate interior model to described the interaction between agents in the supply chain.The agents in this system can cooperate,compete,and allocate resources according to this model,and then we can make the whole resources in the situation of optimization. Related Articles | Metrics

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Study on the Attribute of Enterprise Knowledge Strategy LU Rui, SHENG Zhao-han 2007, 15 (2):  121-125.  Abstract ( 2168 )   PDF (719KB) ( 1446 )   Save This study attempts to review and integrate the strategic perspective-related literature in order to uncover the strategic attribute of knowledge management. After reviewing the literature,this study summarizes ten strategic constructs of knowledge strategy,such as "tacit knowledge-explicit knowledge" and "making strategy-buying strategy",among others. The final part of the study also proposes a typology for the practical thinkings. Related Articles | Metrics

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A Knowledge Flow Model Based on the Enterprise Knowledge Life Cycle WANG Zhao-xiang, CAI Chen 2007, 15 (2):  126-133.  Abstract ( 2778 )   PDF (903KB) ( 1952 )   Save At the times of knowledge economy,knowledge management has been accepted as an important method to enhance the enterprise competence. Having analyzed all kinds of knowledge movements in the Enterprise Knowledge Life Cycle(EKLC),the author established an Enterprise Knowledge Flow Model with 10 knowledge flows,which covers all periods of the EKLC. This article also illustrated that the object of the knowledge management based on EKLC is to get the maximum profit from the knowledge by promoting the increment flows and retarding the devaluation flows by proper methods. At last,the paper analyses a knowledge management case of a famous company. Related Articles | Metrics

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The Effect of Price Promoting on Consumer Brand Choice HU Song, ZHAO Ping, QIU Xiao-dong 2007, 15 (2):  134-140.  Abstract ( 2599 )   PDF (761KB) ( 2926 )   Save Abstract:Through experimental study,the authors find that consumers have different price sensitivity to different product. The choice market share gained by low tier brand promotion is larger than high tier brand in comparatively expensive product such as lap-top,cell phone etc.,while the opposite result will be acquired in some comparatively cheap product,e. g. shampoo.The results give significant implications on pricing tactics for marketers in Chinese market. Related Articles | Metrics

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Study on the Stability Boundary of Strategic Alliances Based on In Framarginal Analysis of Production Patterns CAI Ji-rong, HU Pei 2007, 15 (2):  141-148.  Abstract ( 2189 )   PDF (954KB) ( 1606 )   Save Strategic alliance is the equilibrium of participators' decisions and their interactions on the efficient level of specialization and the pattern of production,and its stability boundary reflects the critical conditions converting among internal production,specialization of production and exchange in spot market or in alliances. An inframarginal analysis model of decision-making on specialization levels and production patterns illustrates the stability boundary of strategic alliances,and reveals the importance of assets and efficiency of transaction for alliances stabilities. Related Articles | Metrics