Table of Content

28 February 2011, Volume 19 Issue 1 Previous Issue    Next Issue

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Upper and Lower Bounds on Option Prices under Uncertainty HAN Li-yan, LI Wei, LIN Zhong-guo 2011, 19 (1):  1-11.  Abstract ( 2263 )   PDF (1415KB) ( 1247 )   Save Traditional option pricing theories were based on the strict assumptions about underlying asset price process, which did not take Knightian uncertainty into consideration.In this article, those strict assumptions are relaxed and options are priced with only up to third order moment information.Due to limited information and the uncertainty of underlying price distribution, the option price can not be priced accurately.To derive upper and lower bounds for option prices with limited information, we build a programming model and solve the dual problem of this model.A comparative analysis between price bounds and Black-Scholes price is done afterwards.The bounds interval with up to third order moment information is narrower than those with only first and second order moment information.In the empirical research of Hong Kong's Hang Seng Index warrants, we find that the market prices indeed lie within the bounds.When volatility and remaining duration is small, upper and lower bounds interval is quite narrow.With this method, we can enhance the robustness of option pricing model, and help investors make investment decisions combining option price bounds and their subjective judgments. Related Articles | Metrics

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Optimal Strategies of Procurement Risk Management with Correlated Demand and Spot Price LI Jian-bin, YANG Rui-na 2011, 19 (1):  12-20.  Abstract ( 2612 )   PDF (550KB) ( 1333 )   Save When spot market price and customer demand are correlated, the paper investigates a two-stage procurement risk management model based on portfolio contracts and spot market with limited capacity so as to maximize the retailer's expected profit.Firstly we use back-ward induction to derive the retailer's optimal strategy in the second stage, then employ the standard perturb argument to provide with the optimality property of consecutive active contracts.Secondly, we transfer the original model into a shortestmonot one path problem and propose a dynamic programming algorithm to obtain the retailer's optimal procurement strategy.Finally, we employ a numerical example to study the im pacts of correlation and capacity in the spot market on the optimal procurement strategy, and the conclusion are drawn: (1) given the capacity of the spot market, the optimal reservation amounts of active contracts raise as the correlation increases, moreover the intensity of increase depends on the contract's flexibility; (2) given the correlation, as the capacity of spot market increases, the retailer should decrease the optimal reservation amounts of active contracts as well as active contract with the lowest execution cost. Related Articles | Metrics

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The Impact of Oil Price Volatility on China’s Economy Based on VAR Model WU Zhen-xin, XUE Bing, WANG Shu-ping 2011, 19 (1):  21-28.  Abstract ( 2915 )   PDF (1049KB) ( 5173 )   Save Using VAR model, this paper constructs a dynamic relationship system among crude oil prices, economic growth, price level, monetary policy and unemployment rate, focusing on the impact lau of oil price fluctuation on some of China's key economic variables, especially economic growth.Granger causality analysis shows that oil price volatility is the Granger reason which changes economic growth, price level and monetary policy.According to the VAR(2) model and impulse response analysis, oil prices increasing has some impact on China's economy: not to reduce the gross domestic product, but to make economic growth slow; to raise the price level by stimulating aggregate demand and cost increases; increase unemployment rate in long-term period; and to increase the difficulty of implementing monetary policy effectively.Overall, even though international oil prices and economic variables are complex and changeable, the economic system consisting of the international oil prices, economic growth, price level, money supply and unemployment rate is stable.That is to say, China's economy can develop smoothly and orderly through the automatic adjustment of the market economy and the macro-economic control of the government. Related Articles | Metrics

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The Accelerated Effect of the Real Estate Prices on Macroeconomics WU Kang-ping, HU Die 2011, 19 (1):  29-35.  Abstract ( 2230 )   PDF (2107KB) ( 1707 )   Save According to the financial accelerator theory, fluctuations in real estate prices will have accelerated effects on the Macroeconomy.This paper sets up a general equilibrium model with a financial accelerator mechanism, by simulating the exogenous technological impact on the real estate market, and by comparing the situation without a financial accelerator, we verifies that changes in house prices do have accelerated effects on the Macroeconomy in our country, then, we make a specific analysis of accelerated effect of real estate market on the Macroeconomy. Related Articles | Metrics

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The Decision and Coordination Under the Premium and Penalty Mechanism for Closed-loop Supply Chain WANG Wen-bin, DA Qing-li 2011, 19 (1):  36-41.  Abstract ( 2517 )   PDF (2089KB) ( 1401 )   Save This paper studies the decision of the central and divided closed loop supply chains, a premium and penalty mechanism is designed, and the decision results of the premium and penalty mechanism based on collection rate and collection quantity are compared.The results showseveral conclusions.Firstly, the premium and penalty mechanism based on collection rate can enhance collection rate effectively, and lead to the decrease of the new products prices.Secondly, the premium and penalty mechanism based on collection quantity can enhance collection rate only under certain conditions, namely, the target collection rate is lower than certain level.Thirdly, the range of the increase for the mechanism based on collection quantity is lower than the mechanism based on collection rate.Finally, the premium and penalty mechanism based on collection rate is more effective than the premium and penalty mechanism based on collection quantity for the enhancing of the collection rate. Related Articles | Metrics

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The Supply Chain Short-run Equilibrium Research of Integrated Downstream Enterprise’s Make-or-Buy Decision ZHANG Han-jiang, ZHANG Yuan, LI Jun-ping, LUO Duan-hong 2011, 19 (1):  42-47.  Abstract ( 2294 )   PDF (1559KB) ( 1729 )   Save Firms commonly confront the choice of making components them selves or outsourcing them to suppliers, which is known as choice problem of a firm's vertical integration in industrial organization theory.Taking the profits of upper suppliers and downstreament erprises and the consumer surplus as optimization targets respectively, this paper studies upstream suppliers product pricing, parts' Make-or-Buy of downst reament erprises on the basis of pointing out that downstream firms' Make-or-Buy market behavior changed organizational structure of the industry.This papernests the Cournot game into the Stackelberg game and establishes complex game model of the industrial or ganization, obtains different equalibriums in the different structures of this industrial organization, which are the best producing and management decisions to related corporations.For the upstream suppliers, downstream companies out sourcing parts production always can make higher profits, and the gap between the two increases with the market capacity increasing.For the downstream enterprises, the profit from making in-house is always higher than the profit from parts out sourcing, and the profit of enterprises in competition is also changing, accompany with market capacity in the same direction.These results provide effective reference for supply chainenter prises in competitive environment to institute the optimal marketing strategy, especially for companies to constitute Make-or-Buy decision. Related Articles | Metrics

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Supply Chain Advertising Decision Based on Competition of National and Store Brands LV Qin, HUO Jia-zhen 2011, 19 (1):  48-54.  Abstract ( 2342 )   PDF (303KB) ( 1531 )   Save A marketing channel, where a retailer sells, its own store brand, along the manufacturer's brand, is considered.Competition exists between them.Each player invests in advertising in order to build the brand's goodwill, and the manufacturer bears part of the retailer's advertising investment We assume that the retailer's advertising promotion has a negative impact on the goodwill of manufacturer's brand A methodology of differential games is adopted to investigate the optimal advertising strategies of the manufacturer and the retailer in Stackelberg leacler-follower game under a dynamic circumstance.The effect of the parameters of the manufacturer and the retailer on the optimal decision is analyzed.Finally, we prove that the decision of Stackelberg leacler-follower game is prior to the one of Nash non-cooperative game. Related Articles | Metrics

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Competition,Cooperation and Coordination of Polysilicon Photovoltaic Supply Chain CHEN Zhi-song, WANG Hui-min, MA Ping 2011, 19 (1):  55-61.  Abstract ( 2398 )   PDF (581KB) ( 1259 )   Save This paper studies the competition, cooperation and coordination of polysilicon photovoltaic supply chain.The result shows that, (1) the profit of PSM (Photovoltaic System Manufacturer) is higher in PSM cooperation than in competition; (2) the profit of PM (Polysilicon Manufacturer) is higher in PSM competition than in cooperation; (3) the profit of the channel is higher in PSM competition than the cooperation; (4) adopting an improved revenue sharing contract coordination mechanism can improve the profit of the whole channel, as well as each PSM and PM.Therefore, it is suggested that we can improve the performance of polysilicon photovoltaic supply chain by building profit sharing coordination mechanism, and coordinating PM and PSM in the channel. Related Articles | Metrics

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Supply Chain Coordinated Decision with the Uncertainty in the Soft Order HUANG Kun, MA Shi-hua, LENG Kai-jun, ZHANG De-zhi 2011, 19 (1):  62-68.  Abstract ( 2416 )   PDF (399KB) ( 1495 )   Save In an assembly system whose product is highly customized, in order to deliver the final product as soon as possible, the assembly plant usually release the component order to the supplier when the detailed demand of the customer was clear but the customer order is still unconfirmed (soft order).However, due to the uncertainty in soft orders, the supplier has to take the risk of production in advance.In case that the soft order is canceled ultimately, as the component is also highly customized, the component is difficult to be consumed by the other orders and turn to the inactive stock.Under this circumstance, we studies the optimal time to release the component order and the optimal decision of supplier.The decisionmaking procedure is given in this paper, and the expected profit of assembler and supplier is analyzed by considering the sharing ratio of production delay costs with a numerical example. Related Articles | Metrics

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Enterprise Resource Optimization and Value Chain Analysis LAN Bo-xiong, WANG Ya-ming, WANG Wei 2011, 19 (1):  69-76.  Abstract ( 2796 )   PDF (1854KB) ( 1687 )   Save This paper first analyzes the weaknesses of the traditional methods for value chain analysis, and then, proposes a new method, which establishes a general equilibrium relationship of the enterprise value chain based on the dual theory of linear program.This method not only analyzes the balance of cost transfer, but also evaluates the contribution of added value through the value chain.A small example is presented to demonstrate the way of value chain analysis. Related Articles | Metrics

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Research on Collaborative Resource Optimization of Virtual Enterprises Based on Genetic Algorithm QI Er-shi, LI Hui, LIU liang 2011, 19 (1):  77-83.  Abstract ( 2190 )   PDF (1047KB) ( 1569 )   Save In order to solve resource optimizing deployment problem for cooperative manufacturing of complex parts, the cooperative manufacturing task is decomposed by taking process flow as core.The concepts such as LMU (logical manufacturing unit) and LMP (logical manufacturing process), etc.are used to describe cooperative manufact uring task of complex parts.The ultimate goal is to establish a process routing that can support cooperative manufacturing based on process flows of complicated parts.The objective function and constraints of the problem are established.The problem of resource optimizing deployment is converted to multi-objective optimization model, with processing time, delivery expense and processing quality as objectives, and sequence, release time, production time, time of delivery, cost and quality as constraints, and is solved by genetic algorithm.At last, the model is used for the coordination manufacturing of an generator engine.This example proves the feasibility and validity of the method. Related Articles | Metrics

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Study on Logistics Agile Scheduling Decision Support System WANG Fu-zhong, SHEN Zu-zhi 2011, 19 (1):  84-90.  Abstract ( 2226 )   PDF (1229KB) ( 1294 )   Save The making process of logistics agile scheduling optimization plan is a decision process essentially.For all decision parts, the paper proposes a semi-hierarchical control model of logistics agile scheduling optimization.Based on it, the paper constructes a general framework of decision support system.For the running modules in the decision support system, the paper proposes the running control idea based on agile rules.Furthermore, the database system, the model base and method base in the decision support system are researched.The database's three systems are designed by using a hierarchical design idea, and the agile scheduling optimization (0-1)h model with the aim of least remaining loading amount and its "dicho tomic search" algorithm are proposed.By estimating the search times to test the computing complexity of the algorithm, the result shows that the algorithm has a good efficiency. Related Articles | Metrics

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Study on the Distribution Center Location Problem of Perishable Product with Multi-Usage YANG Jun, WANG Ling, ZHENG Na, YANG Chao 2011, 19 (1):  91-99.  Abstract ( 2420 )   PDF (963KB) ( 1572 )   Save With the growth of the requirement for the quality and safety of the product, how to decrease the loss of the perishable foods as well as improve resource usage turns a key point.Since perishable items are sensitive to the time, and a part of them have different usages during the whole lifetime, the paper researches the distribution centers location problem in perishable it emslogistics network according to the transportation time and different needs of the retailers.With the assumption of Osvald and Stirn[15], A PPMULP model is proposed, which is solved by the lagrange relaxation method.It is found that this algorithm is effective and efficient.Finally, it is concluded that considering perishable items' sensitivity to time and its multi-usage can decreases the costled by deterioration when compared with the situation which does not consider the two factors. Related Articles | Metrics

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An EOQ Model for Fresh Agricultural Product Considering Customer Utility and Fresh-keeping DAN Bin, WANG Lei, LI Yu-yu 2011, 19 (1):  100-108.  Abstract ( 2474 )   PDF (380KB) ( 1861 )   Save Based on the freshness of the fresh agricultural product decreases as time goes on, a time-varying consumer utility function influenced by greenness and price is developed.We analyze the change of the consumer utility and quantity when consumers purchase the fresh agricultural products at different epoch, and then develop an EOQ model for fresh agricultural product considering the factor that the consumer preference influences demand.To increase the consumer utility, we analyze the optimal order policy and freshkeeping input in two different fresh-keeping ways.The conclusion implies that the optimal fresh-keeping input can't make the consumer utility maximize, and the satisfying the freshness requirement of consumers depends on the government's macro-control. Related Articles | Metrics

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Quality Signaling Game in Supply Chain under the Conditions of Asymmetric Information ZHU Li-long, YOU Jian-xin 2011, 19 (1):  109-118.  Abstract ( 2877 )   PDF (678KB) ( 2038 )   Save Based on the game theory and pr incipal-agent theory, this paper studies the problem of how to signal product quality in supply chain under the conditions of asymmetric information.The supplier makes the decision of production process investment level and determines quality prevention strategy, who may signal the type of the production process investment level to the producer in order to obtain the optimal incentive contract, and then the producer makes the quality appraisal decision and processing decision when it receives the intermediate components.We use the optimal theory to establish producer's quality decision control model and describe the information rents.The simulation results will show that the supplier has incentive to signal the type of production process investment level to the producer, and improve its product quality level.When the producer observes the signal of product quality, it will reduce the quality inspection level, improve the processing level and increase the forward payments, which will be as supplier's quality rewards.Meanwhile the whole supply chain's joint expected prof its will increase, and then the producer will reduce information rents.Finally, we investigate the causes of ratchet effects and provide corresponding quantitative descriptions and proofs respectively. Related Articles | Metrics

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Group Maintenance Model of Automatic Production Line and Its Application ZHENG Rui, LV Wen-yuan 2011, 19 (1):  119-125.  Abstract ( 2199 )   PDF (743KB) ( 1161 )   Save To solve the problem of long downtime and high cost of automatic production line, group maintenance model is put forward.Firstly, the target function is given, which describes the relation between inspection cycle and total downtime.Secondly, according to the delay time maintenance theory and the idea of group maintenance, namely reducing the total downtime by the means of batch maintenance, group maintenance model is established.Using data such as failure number occurred in production line, and the number of defects identified in PM, the established model can calculate the reasonable inspection cycle.Only with the calculated inspection cycle, the maintenance plan can be outlined, and the target of reducing total downtime by the means of maintenance batch will be realized.Finally, a case study is given.Failur es record data in the past decade are collected.Some advices are presented, which is based on the analysis of production flow, equipmentlay out, and the effect of equipments downtime as well. Related Articles | Metrics

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Improved Niche Genetic Algorithm For Tacit Objective Optimization Problems and Its Application in Automobile Modeling Design LIANG Chang-yong, CAI Mei-ju, LU Qing 2011, 19 (1):  126-134.  Abstract ( 2231 )   PDF (1548KB) ( 1315 )   Save Aiming at the defects which are generated when the traditional interactive genetic algorithm deals with the contradictions between maintaining population diversity and accelerating the convergence, an improved niche genetic algorithm is proposed for tacit objective optimization problems, with the purpose of avoiding the local converge, enhancing algorithm efficiency and reducing user fatigue.Combining niche ideas based on sharing m echanism, the concept of niche entropy and adaptive niche radius is introduced to ensure population diversity.The simulation experiment in automobile modeling sketch design shows the validity and effectiveness of the proposed algorithm. Related Articles | Metrics

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A Calculation Method for Core Attributes Based on Conditional Entropy in Dynamic Information Systems LIANG De-cui, HU Pei 2011, 19 (1):  135-141.  Abstract ( 2485 )   PDF (1888KB) ( 1335 )   Save The situation that some objects immigrate the system and some objects emigrate the system simultaneously exists in dynamical information systems.In this paper, a calculation method for core attributes is proposed in information view.First, the changing mechanism of condition entropy is analyzed from three different cases, whick include the objects' immigration or emigration and that this two cases coexisted.Based on the mechanism, the new condition entropy is computed quickly by support matrixes and incremental matrixes.These matrixes can constructed by computing the objects immigrated or emmigrated at the same time.Then core attributes are obtained quickly.Finally, the validity of the method has been depicted by a practical example. Related Articles | Metrics

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Investigating the Impact of E-business Capability on Supply Chain Performance WU Jin-nan, ZHONG Wei-jun 2011, 19 (1):  142-149.  Abstract ( 2498 )   PDF (624KB) ( 1559 )   Save To get a better understanding of how e-business capability being used to improve supply chain performance, e-business capability is redefined by integrating the IT process-oriented view and the capability hierarchy view, and its two dimensions, i.e.the e-business system capability and e-business service capability, are identified.Then, a conceptual model linking e-business systems capability, IT support capability for collaborative strategy, and supply chain performance is developed, thus revealing the mechanism through which supply chain performance is influenced by e-business capability.The model differs from previous studies by (1) redefining e-business capability by integrating exiting literature and (2) proposing a mediating effect of e-business service capability on the relationship between e-business systems capability and supply chain performance.Further, a structural equation modeling analysis is used to analyze data from 152 manufacturing firms.Our findings indicate the existence of the two dimensions of e-business capability, and show that e-business service capability has a complete mediating effect on the relationship between e-business systems capability and supply chain performance. Related Articles | Metrics

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Distribution System under Different Levels of Information Availability ZHAI Xin, WU Jiang-hua 2011, 19 (1):  150-158.  Abstract ( 2284 )   PDF (379KB) ( 1306 )   Save We consider a distribution system consisting of one supplier and multiple retailers managed under periodic-review policy over an infinite time horizon.We study the optimal replenishment and allocation policy, and compare the expected cost/cycle for the system and for each individual retailer under three different levels information visibility: the high information visibility scenario, the medium information visibility scenario, and the low information visibility scenario.We show that system expected cost/cycle is the lowest under the high information visibility scenario.However, depending on the vehicle travel times and customer-dem and variances, either the medium or low information visibility scenario has the second-lowest system expected cost/cycle.Further, we show that whether individual retailers benefit from higher levels of information visibility depends on their position on the route, vehicle travel times and custome-rdemand variances. Related Articles | Metrics

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A Research on Identifying and Selecting the Contract Governance Mode of Family Enterprises Based on BP Neural Network TIAN Yin-hua, ZHOU Zhi-qiang, LIAO He-ping, LI Shi-xin 2011, 19 (1):  159-166.  Abstract ( 2380 )   PDF (1358KB) ( 1076 )   Save Enterprise contracts are divided into dominant contract and recessive contract, so, the contract governance of family enterprises can be divided into nine modes by its strength agreement.The 25-13-3 type BP neural network model, which is constructed in this research by the method of multilayer forward feedback transmitting inversely error, can effectively identify the contract governance mode of family enterprises.It infers that family enterprises informative, developing and matured period always select respectively the week-dominant and strong-recessive contract governance model, the medium-dominant and medium-recessive contract governance model, and the strong-dominant and strong-recessive contract governance model.The classified analysis about the performance of family enterprises shows that the strongdominant and strong-recessive contract governance mode is the most efficient in all. Related Articles | Metrics

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Study on Capital Investment and Allocation Efficiency under Large Shareholders’ Self-interest Motivation HAO Ying, LIU Xing 2011, 19 (1):  167-176.  Abstract ( 2433 )   PDF (414KB) ( 1559 )   Save The paper considers both ultimate control shareholders and direct control shareholders, the two kinds large shareholders, in the same analysis framework, and empirically studies capital allocation selection and efficiency of allocation based on ultimate shareholders' sel-finterest motivation.Here are the conclusions: (1) as the ultimate shareholders' cash flow right proportion getting lower, they have more motivation to increase the self-interest capital investment on the fixed asset, the intangible asset and the longterm equity, which lead to the expansion of the whole investment scale; (2) the ultimate shareholders' self-interest motivation has the most strong influence on investment expansion of local enterprise group, while the most weak influence on the central government enterprise and private enterprise is between the above two; (3) as the control hierar chyincreasing, the fulfill cost of ultimate control shareholders' decision right increasing, then based on the direct control shareholders' share proportion scale, enterprise capital allocation exhibits effects of interest grab and benefit coordination; (4) under incentives of income distribution in situation of higher share proportion, direct control shareholders will decrease self-interest capital allocation, inhibit overinvestment and improve the efficiency of capital allocation. Related Articles | Metrics

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A Nomology-Based Group-Decision Making Methodology and Its Application AI Shi-zhong, DU Rong, ZHANG Wei-li, Cathal M. Brugha 2011, 19 (1):  177-184.  Abstract ( 2390 )   PDF (781KB) ( 917 )   Save To solve the problems of collecting, synthesizing and analyzing decision-makers' real opinions in group-decision making, a Priority-Pointing Procedure was proposed on the basis of the Western Nomology.This methodology embodies the thinking of balance embedded in the Eastern Management and has been successfully applied to a variety of projects in the Irish government and Irish businesses.As a research team consisting of the founder of the Priority-Pointing Procedure and his Chinese collabo rators who commit to introducing Nomology and the Priority-Pointing Procedure to Chinese readership, in more than five years collaborative research we have explored the latest theoretical developments and their expressions in Chinese.In this paper we present the methodology of the Priority-Pointing Procedure, the situations where this methodology applies to, and the application process of this methodology.Then, we make comparisons between this methodology and some other methodologies applied in group-decision making.We also give an application case.In the case we applied the Priority-Pointing Procedure to a project in Shaanxi Governmental Department of Fiscal Affairs.We under took inter views and questionnaire surveys in five fiscal branches of Shaanxi Governmental Department of Fiscal Affairs.We synthesized and analyzed the data collected in the Xian branch, and gotalter natives and their priority for decision making.The application shows that Priority-Pointing Procedure can be used in the group-decision making with multiple at tributes and multiple criteria in the Chinese context, and useful alternatives and references can be derived. Related Articles | Metrics

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The Analysis of Incentive Effects of Management’s Compensation Structure ZHOU Ren-jun, YANG Zhan-bing, LI Yong 2011, 19 (1):  185-192.  Abstract ( 2562 )   PDF (900KB) ( 2190 )   Save Based on compensation in different forms have different incentive effects and intensity for management, this paper studies compensation structure characteristics of management of listed companies in China and the relationship between compensation structure and corporation performance.The results show that, in all types of compensation structure summarized in the article, the compensation structure of high level monetary compensation and low perquisite consumption have the best incentive effect, the compensation structure of low monetary compensation and high level perquisite consumption have the worst incentive effect, the rest types of compensation structure have the inter mediate level incentive effect.Increasing monetary compensation is going to enhance the incentive effects of compensation structure, but increasing perquisite consumption is going to weaken the incentive effects of compensation structure, managerial ownership affects compensation structure in two ways, and affected by monetary compensation to some extent, when monetary compensation is low, increasing managerial ownership is going to enhance the incentive effects of compensation structure, when monetary compensation is high level, increasing managerial ownership is going to weaken the incentive effects of compensation structure; Monetary compensation and managerial ownership are positively correlated with corporation performance, perquisite consumption is negatively correlated with corporation performance; however, the significant level is different with each other.The corporations of different ownership type, different assets, different industry and different region have different compensation structure, and affect the relationship between compensation structure and corporation performance. Related Articles | Metrics