Table of Content

28 February 2007, Volume 15 Issue 1 Previous Issue    Next Issue

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Robust Optimal Tracking Error Portfolio Models Based on VaR GAO Ying, HUANG Xiao-yuan 2007, 15 (1):  1-5.  Abstract ( 2624 )   PDF (550KB) ( 1933 )   Save On the foundation of stock portfolio model of tracking error,this paper takes the value at risk (VaR) of portfolio and the uncertainty of future returns to establish the robust optimal portfolio model based on VaR constraints. According to the background of Chinese stock market,we use the linear matrix inequality (LMI) method to carry out a demonstrational computation,and compare the results with the returns of benchmark portfolio and tracking error portfolio model and tracking error robust optimal portfolio model without VaR constraints. Finally,we obtain the conclusion that the robust optimal portfolio model based on VaR constraints is better than other models on the condition of a given stock set. Related Articles | Metrics

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Measuring Model of Stock Investment Portfolio’s Liquidity Risk：Construction and Test ZHU Xiao-bin 2007, 15 (1):  6-11.  Abstract ( 2773 )   PDF (643KB) ( 2325 )   Save Liquidity is the important property of stock market,but it is difficult to define and measure liquidity. In this paper,according to the price impact of investor,we define the liquidity risk and design two in-dices Q and Qvar measuring liquidity risk of portfolio.In the end,we do some empirical research using the data of some sample stock in Shanghai Stock Exchanges,and draw a conclusion that diversification not only can reduce price risk,but also can reduce liquidity risk. Related Articles | Metrics

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The Algorithm for Real-Options Evaluation Based on Quantum Binomial Model CHEN Li-ming, QIU Wan-hua 2007, 15 (1):  12-15.  Abstract ( 2804 )   PDF (208KB) ( 1190 )   Save This paper introduces the quantum model of binomial option pricing.It shows that the new binomial option pricing formula, proposed by Zeqian Chen, is reasonable in view of project life cycle. This new formula is complementary with the classic C-R-R binomial option pricing formula, and completes the binormal model.Taking advantage of the two binomial option pricing formulas, this paper puts forward an algorithm for real-options evaluation. At last, one numerical example is presented. Related Articles | Metrics

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The Functional Expressions of Utility Measured as Constant Risk Preference and Parameters Determination JIANG Shu-yuan, JIANG Qing-fang 2007, 15 (1):  16-20.  Abstract ( 3222 )   PDF (564KB) ( 2377 )   Save This paper constitutes a model of risk preference by von Neumann-Morgenstern expected utility theory,and obtains special functional equation on unknown utility measure. Solving the special functional equation derives the calculable expressions of utility function. As the unknown parameters of the expressions can be determined,measuring utility is a simple calculation by known formulas. Related Articles | Metrics

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On Loan-to-Value Ratios of Inventory Financing with Doubly Stochastic Poisson Default Processes LI Yi-xue, XU Yu, FENG Geng-zhong, WANG Fei 2007, 15 (1):  21-26.  Abstract ( 2885 )   PDF (290KB) ( 2116 )   Save Determining appropriate loan-to-value ratios of commodity collateral can make banks mitigate credit risk of inventory financing effectively.Based on reduced-form approaches,this paper assumes that the default of the enterprise is exogenous and follows a doubly stochastic Poisson process,and then provides a modelon loan-to-value ratios.In this model,some factors,such as risk appetite of banks,expected rate of return and price volatility of commodity collateral,frequency of marking to market and maturity time of loan,are considered synthetically,so banks may determine appropriate loan-to-value ratios of particular inventory financing operation to keep the level of taken risk consistent. Related Articles | Metrics

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Conditional Higher Moments Risk and Dynamic Portfolio in Financial Markets JIANG Cui-xia, XU Qi-fa, ZHANG Shi-ying 2007, 15 (1):  27-33.  Abstract ( 2769 )   PDF (683KB) ( 2015 )   Save Two defects in traditional portfolio theory,without considering higher moments risk and settling problem staticly,are pointed out in the paper.To measure higher moments risk,the multivariate GARCHSK model is established. Then,based on Taylor series expansion of utility function,the dynamic portfolio model with higher moments risk is derived,and the model is solved by Genetic Algorithm. Empirical results show that not only higher moments risk exists in Chinese stock markets,but also the risk has time varying character. It is necessary for the investors to change their portfolio weights to avoide higher moments risk. Related Articles | Metrics

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An Approach on Evaluating the Quick Response of Supply Chain System in Industrial Cluster YANG Jin, YOU Jian-xin, CAI Yi-ping 2007, 15 (1):  34-40.  Abstract ( 2687 )   PDF (694KB) ( 1459 )   Save Some factors affecting the quick response of supply chain are analyzed from industrial cluster environment at first. They mainly include such as cooperation,process integration,information integration and customer demand orientation,etc. Then,based on triangular fuzzy number,a set of indexes for evaluating the quick response of supply chain and a fuzzy multi-index model of evaluation are designed,which provides quantitative analysis for quick response of supply chain.Last an example of this model is given. Related Articles | Metrics

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Research on H∞ Control of Bullwhip in Cluster Supply Chains Based on Cooperation between Two Single Chains LIU Chun-ling, LI Ji-zi, MENG Bo 2007, 15 (1):  41-46.  Abstract ( 2351 )   PDF (574KB) ( 1236 )   Save This paper analyzed the trans-chain inventory cooperation in cluster supply chains that the retailer of one supply chain may replenish the stock from the retailer of another supply chain. The inventory coordination model and the method of quantifying the bullwhip were established. The H∞ control theory was used to explore the optimal order for reducing safety stock,improving the customer satisfaction level and weakening the bullwhip.By simulation experiment,it was proved that implementing H∞ control and the policy of cooperation across supply chains may efficiently restrain bullwhip. Related Articles | Metrics

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The Research on Resource Leveling Based on the Analysis of Activity floats LI Xing-mei, QI Jian-xun, SU Zhi-xiong 2007, 15 (1):  47-54.  Abstract ( 2256 )   PDF (693KB) ( 1476 )   Save Based on the analysis of activity floats existed,three new concepts of float are proposed,intrinsic relation of the same activity's float is offered,and label algorithm is given,moreover,floats transitivity of different activities is computed. In allusion to the initial scheme of the problem of resource leveling,we protract the initial scheme stochastically. It is flexible and applicable for network planning.On the basis of activity float transitivity,the optimal scheme of the resource leveling problem is studied. Furthermore, considering the label algorithm,the proposed optimal adjusting mode is feasible and easy through example. Related Articles | Metrics

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Study on Structure of I/O Table Based on ERP ZHANG Ling-ling, LI Jun, TONG Ren-cheng 2007, 15 (1):  55-63.  Abstract ( 3342 )   PDF (742KB) ( 1675 )   Save This paper studies the structure of I/O table based on ERP.By analyzing the characteristic of ERP and machine enterprise,the chapter designs the structure of I/O table based on ERP.The data relationship between each matrix of I/O and ERP data is also analyzed. Related Articles | Metrics

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Research on Short-Term Traffic Flow Combined Forecasting Based on Wavelet Package and Least Square Support Vector Machines YAO Zhi-sheng, SHAO Chun-fu, XIONG Zhi-hua 2007, 15 (1):  64-68.  Abstract ( 2289 )   PDF (555KB) ( 1662 )   Save Because wavelet is suitable for processing nonlinear,random signals and support vector machines excel at solving less-data,nonlinear,multi-dimension problems,the paper proposes combining of wavelet package with least squares support vector machines for short-term traffic flow forecasting. First,theories of wavelet package and least squares support vector machines are introduced,and then a short-term traffic flow forecasting method based on wavelet package and least squares support vector machines is proposed. Second,the effect of the method is tested by the real-time traffic flows collected in Beijing City. The result shows the feasibility and validity of the proposed method. Related Articles | Metrics

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The Application of Particle Swarm Optimization Based Grey Model to Power Load Forecasting NIU Dong-xiao, ZHAO Lei, ZHANG Bo, WANG Hai-feng 2007, 15 (1):  69-73.  Abstract ( 2276 )   PDF (568KB) ( 1614 )   Save According to the load characteristic of power system and the application limitation of grey model GM(1,1),vector is introduced into the computing formula of background value array. A new model GM (1,1,)which bears higher adaptability is constructed. Particle swarm optimization algorithm is adopted in order to solve the value of a as it has the virtue of optimum-seeking. Then a particle-swarm-optimization-based grey model PSOGM is proposed and practical examples are given. The simulation results indicate that PSOGM model gives better precision and has wider application field. Related Articles | Metrics

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Method of Group Multi-Criteria Linguistic Assignment Problem with Incomplete Certain Information WANG Jian-qiang, SUN Chao 2007, 15 (1):  74-79.  Abstract ( 2624 )   PDF (637KB) ( 1106 )   Save For group multi-criteria assignment problems with linguistic assessment information,a new method based on evidential reasoning and two tuple is proposed,in which the decision-makers' weights and the evaluation criteria weights are incomplete certain,and the assessment information may be between two linguistic assessment grades or not be given by the decision makers. Firstly the evidential reasoning algorithm is applied to calculate the belief degree that any candidate accomplishes any task is belonging to any linguistic assessment grade. Secondly,according to the belief degree obtained above and with the function △ and △-1 of two tuple,the original assessment matrices are aggregated into the synthetic efficiency matrix. The nonlinear mixed integral programming model is constructed based on the incomplete certain information of the decision makers'weights and criteria weights,and the model is worked out with the improved Particle Swarm Optimization Algorithm and Hungary Algorithm. Finally an example is given to show the feasibility and availability of this method. Related Articles | Metrics

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Complexity Assessment of Mining Technology for Thin Coal Seam and Particularity Working Face SONG Hua-ling, LI Jin-ke, YU Hong, PENG Yong-xiang, LIU Ren-bao 2007, 15 (1):  80-87.  Abstract ( 2547 )   PDF (355KB) ( 1044 )   Save This article recommends a mining technology for thin coal seam with mixed mining, exceeding length and double unit face mining method innovated by Tianchen coal mine. Based on the management errtropy theory, the paper establishes a new set of vectorial spaces, mathematical models of metric for assessing the production systems structural complexity and proposes the theorems of simplification and complexity decreasing for production systems of enterprises. A case study of the Tianchen coal mine has been verified. Related Articles | Metrics

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A Method of Multi-Attribute Group Decision Making with Incomplete Linguistic Assessment Information GONG Ben-gang, HUA Zhong-sheng, TAN Da-shui 2007, 15 (1):  88-93.  Abstract ( 2449 )   PDF (718KB) ( 1646 )   Save A new decision making approach based on D-S theory is proposed for the multi-attribute group decision making problem with incomplete linguistic assessment information. First,by analyzing the incomplete linguistic assessment information given by decision makers,the values of the basic probability assignment function of attribute's focal elements are computed and integrated by Dempster-Shafer's rule of combination. Then the values of belief function and plausibility function are calculated and used to rank all decision alternatives. An example is given to show the feasibility and validity of this method. Related Articles | Metrics

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Optimal Dynamic Pricing in the Presence of Network Externalities of the Duopolistic Marketing LIU Xiao-feng, HUANG Pei, YANG Xiong-feng 2007, 15 (1):  94-98.  Abstract ( 2280 )   PDF (682KB) ( 1700 )   Save This paper analyzes the dynamic pricing decision of a duopolistic marketing,a new product or service whose consumption value increases with the expansion of the "network" of adopters. We characterize an optimal pricing strategy,which maximizes the present value of the duopolistic profits,subject to the dynamics of the demand for network access. The dynamics depends,among other factors,on the current price and consumer anticipations about future network growth. We examine the effects of changes in the growth anticipations and the discount rate on the optimal equilibrium access price and network size. It is shown that higher growth anticipations and a lower discount rate result in a lower equilibrium price and a larger network,which is similar to the monopolist marketing. Related Articles | Metrics

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A Game Model on the Relations between Signal Cost and Outsourcing Vendor Signaling LIANG Jian-ying, LI Yuan, LIAO Xiu-wu 2007, 15 (1):  99-105.  Abstract ( 2647 )   PDF (795KB) ( 2128 )   Save Because of asymmetric information and imperfect information,it is difficult for outsourcer to clarify the ability of the vendor which usually results in adverse selection. To solve such a problem,a model for analyzing the impacts of asymmetric information on vendor selection is proposed. Furthermore,the condition for market success is given based on the signal cost of vendor and the belief of outsourcer in this paper. At last,a case analysis is presented to demonstrate the feasibility and effectiveness of the model on management significance. Related Articles | Metrics

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The Design of Incentive Contracts about Syndication in Venture Capital ZHANG Xin-li, YANG De-li 2007, 15 (1):  106-111.  Abstract ( 2507 )   PDF (561KB) ( 1341 )   Save Contraposing the incentive problems of venture capital syndication in second and later stage,an contract model is set up among venture capitalists in case the lead venture capitalist has already a signal about the project's quality from his initial funding of the project.Under symmetric and asymmetric information,the model analyzes how the optimal syndication contracts can induce venture capitalists to truthfully reveal their signals to each other,vary with the quality of venture capitalists'expertise in evaluating projects,and provides numerical simulations. The model provides with decision-making gist in second and later stage syndications. Related Articles | Metrics

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A Subjective Model of the Distribution of Returns and Empirical Analysis DONG Da-yong, JIN Wei-dong 2007, 15 (1):  112-120.  Abstract ( 2506 )   PDF (486KB) ( 1436 )   Save Based on the cumulated prospect theory,using cumulative probability to describe the influence of subjective factors upon the distribution of fundamental value,this paper establishes a subjective model of the distribution of returns.And more,this paper proposes the methods to estimate the decision risk,the investing sentiment and bounded rational of investors.Using empirical data of Shanghai A-share,the paper does a chi-squared test of distribution fitting,the results show that,at the 0.05 level,69.56% of the stocks give an acceptable fit for subjective model of the distribution of returns,while 56.31%,44.80%, 46.06% and 1.74% for t distribution,mix-double normal distribution,stable distribution and normal distribution.Comparing the difference of investors behavior between the large and the small corporations, and analyzing empirical evidences that the fundamental factors and behavioral factors,estimated from the subjective model of the distribution of returns,which explaine the cross-sectional returns of the single stocks,the results show that subjective model of the distribution of returns and the estimate methods of behavior factors are reasonable. Related Articles | Metrics

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Lockup Period, Information Momentum and IPO Underpricing XIONG Wei-qin, MENG Wei-dong, ZHOU Xiao-hua 2007, 15 (1):  121-129.  Abstract ( 2337 )   PDF (824KB) ( 1454 )   Save Based on the assumption that first-day IPO underpricing could generate information momentum and thereby increasing demands for the new issuing stocks,this paper models the relationship between lockup period and IPO underpricing. The model predicates that when the marginal information momentum induced by the IPO underpricing is large enough,the IPO underpricing is an increasing function of lockup rate and period. Using 137 locked IPOs issued in Shanghai and Shenzhen A share markets from 1998 to 2004,we find that the model's assumptions and conclusions are confirmed by the empirical tests. This implies that lockup period did not transfer firms quality information effectively. Depressing the non-rational fads for new issuing stocks or extending the lockup period,The lockup period may be used as a tool to send the quality information of firms. Related Articles | Metrics

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Analysis on the Evolution of Industrial Clusters Scale Based on Cellular Automaton CHEN Wan, CHEN Guo-hong, XIE Fuji 2007, 15 (1):  130-135.  Abstract ( 2435 )   PDF (965KB) ( 1218 )   Save The article's purpose is to study the evolution of industrial clusters' scale from the views of complex-system theories. It uses cellular automaton to imitate evolution of industrial clusters based on errtrance capital, market structure, risk predilection, environment, and dependence of companies.Through observing the results of experiment; it shows the different key factors' effect on the industrial clusters' scale. Then based on it some suggestions, are put forward. Related Articles | Metrics

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Game Analysis of Managers’ Behavior in China’s State-Owned Enterprises, Based on Selecting-Mechanism FANG Yong, PU Yong-jian 2007, 15 (1):  136-141.  Abstract ( 2556 )   PDF (279KB) ( 938 )   Save This paper discusses managers'behaviors on profit reporting,based on the exiting manager-select and incentive mechanisms of state-owned enterprises in China.Equilibriums of game show that the selecting mechanism will make the incentive ones difficult to play its roles,and false accounts can't be stopped even manager's income are hooked on the book profit.Managers may disguise profitin order to protect their position.When low benefitin state-owned enterprises is generally recognized,they are more likely to make a cheat. Related Articles | Metrics

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Study on R&D Cartelization of Enterprises Based on the Technological Convergence CHEN Kang, YU Ming-hua 2007, 15 (1):  142-148.  Abstract ( 2414 )   PDF (812KB) ( 1573 )   Save With the phenomenon of technological convergence and industrial convergence getting universal unp recedentedly,co-operations between enterprises from different industries are occurring frequently. The new trend of co-opetition in technological convergence compels enterprises to think over their strategies in product innovation:how to break through the fetters from industrial boundary,and work together with firms from different industrial departments and technological areas,to decrease the cost,increase the output,improve the profit,and promote the social welfare. Thus,in view of most popular cooperative R&D model:R&D cartelization,and based on the two stage game model of D'Aspremont,we set up a R&D Cartelization Model of enterprises during the industrial convergence in this paper,and discuss how substitution coefficient between convergent product and original products,spillover coefficient of R&D,and in-novation coefficient of R&D influence equilibrium in cost,equilibrium in investment of R&D,equilibrium in output of convergent product and original products,equilibrium in firms profit. And we also give a case study. Related Articles | Metrics