Loading...
主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
中国科学院科技战略咨询研究院
导航切换
Chinese Journal of Management Science
Home
About Journal
About Journal
Indexed in
Awards
Editorial Board
Guide for Authors
Journal Online
Current Issue
Online First
Archive
Top Downloaded
Top Read
Top Cited
E-mail Alter
Subscribe
Advertisement
Contacts Us
中文
Table of Content
28 October 2001, Volume 9 Issue 5
Previous Issue
Next Issue
Select
Research on Nonlinear Combining Exchange Rate Forecasts
DONG Jing-rong, YANG Xiu-tai
2001, (
5
): 1-7.
Abstract
(
2099
)
PDF
(1370KB) (
2184
)
Save
It has been shown in recent economic and statistical studies that combining forecasts may produce more accurate forecasts than individual ones.However,the linear combination forecasting method is known to have the limitation for composite modeling and forecasting of foreign exchange rates.This paper presents a new nonlinear composite forecasting method for exchange rate modeling and forecasting based on fuzzy neural network.Furthermore,the corresponding composite learning algorithm including Kohonen self organizing future map,supervise competitive learning and back propagation are used to learn the connection weights of fuzzy neural network and partitions of fuzzy subsets.It has been shown by the composite modeling and forecasting results about the exchange rate time series of the British pound,the French franc,the Swiss franc and the Japanese yen against U.S. dollar that the method has reinforcement learning properties and mapping capabilities.With respect to composite modeling and forecasting of nonlinear system which has some uncertainties,the method is available.
References
|
Related Articles
|
Metrics
Select
Stock Price Forecasting Model Basedon Wavelet Packet and Neural Network
CHANG Song, HE Jian-min
2001, (
5
): 8-15.
Abstract
(
2074
)
PDF
(1183KB) (
3031
)
Save
Stock price is the result of effects of a large number of factors The rule of price change is too complex to learn by neural network This paper uses wavelet packet theory to decompose price series into several subseries whose rule is relatively easy to learn by NN So the task of forecasting stock price is decomposed into forecasting in the decomposed series using NN The result of case study shows that the model of wavelet packet integrated neural network is more effect than same neural network model and wavelet integrated neural network model.
References
|
Related Articles
|
Metrics
Select
VaR Method and Its Empirical Research
MA Chao-qun, LI Hong-quan, ZHOU En, YANG Xiao-guang, XU Shan-ying, ZHANG Yin-qi
2001, (
5
): 16-23.
Abstract
(
2111
)
PDF
(1156KB) (
2796
)
Save
This article aims at discussing VaR model,and introduces two new models called semi parametric method and total parametric method to calculate VaR,which is in essence the mixture of historical simulation method and extreme value theory, or the combination of parametric method and extreme value theory.Empirical research in stock market shows that these new models gain an advantage over RiskMetrics which is a popular parametric method.
References
|
Related Articles
|
Metrics
Select
Study on Risk Analysis and Monitoring within Virtual Enterprises
FENG Wei-dong, CHEN Jian
2001, (
5
): 24-31.
Abstract
(
2177
)
PDF
(613KB) (
2295
)
Save
In this paper,the risk within virtual enterprises is analyzed Then a sorting game list for risk pre control is presented Moreover,a risk checklist is designed for virtual enterprises,and a framework of risk checklist based on Web is proposed for the risk real time monitoring within virtual enterprises.
References
|
Related Articles
|
Metrics
Select
Aggregation Analysis on Group Decision Making and Single Decision Making
CHENG Qi-yue, QIU Wan-hua
2001, (
5
): 32-37.
Abstract
(
2239
)
PDF
(1042KB) (
2375
)
Save
In this paper,aiming at aggregation question based on group decision making and a sngle decision making, the theory of entropy is applied to the set pair analysis The notion relation entropy and transferable entropy of a system is put forward The character is studied Potential of the relation entropy and transferable entropy are defined, which is the consistency measure on the group decision and single decision making A new aggregation effective definition on the group misjudge is obtained.
References
|
Related Articles
|
Metrics
Select
Morbidity Problem in Grey Model
ZHENG Zhao-ning, WU Yu-ying, BAO Han-ling
2001, (
5
): 38-44.
Abstract
(
2338
)
PDF
(2283KB) (
2010
)
Save
This paper points out that the sysstem of equations of grey model(GM model)has very serious morbidity problem We discuss the reasons why GM model has morbidity problem:1)Matrices are composed of accumulating numbers which have very large scalar difference among them;2)Degeneration in some grey model makes very large scalar difference among elements of matrices;3)The way to build matrices in grey model let us hardly reduce morbidity of the system of equations A widely referrenced example is analyiedin this paper At the end,we suggest that it must be careful to use grey model.
References
|
Related Articles
|
Metrics
Select
Optimal Capital Structures in a Kind of Joint Ventures
WU Wen-ming
2001, (
5
): 45-48.
Abstract
(
2191
)
PDF
(1171KB) (
2097
)
Save
In fhis paper we investigate the distribution of shares in joint ventures and the relation between the joint venture and its parent companies We provide a simple model which can explain the optimal capital structure in joint ventures Our conclusion is that the optimal capital structure in joint ventures is 1:1 under some assumptions.
References
|
Related Articles
|
Metrics
Select
The Identification of the Efficient Market Portfolio
TU Xin-shu
2001, (
5
): 49-55.
Abstract
(
3407
)
PDF
(1878KB) (
2393
)
Save
The capital asset pricing model(CAPM)discovered by Sharp(1964),Lintner(1965)and Mossin(1966)is a general equilibrium model It not only allows improved understanding of market behavior,but also provides practical benefits At the same time,it also provides a practical mechanism for evaluating performance in a risk adjusted mode This model thus provides the initial basis for the practical implementation of the many aspects of portfolio analysis However,Richard Roll(1977) had directed some biting criticism at the tests in affirming the CAPM This criticism is aimed at one of the critical notions the identification of the efficient market portfolio This paper solves the highly difficult problem by a geometrical way It first expresses the efficient frontier of Markowitz model with the weights vector of portfolio Then,it expresses the capital market line(CML)with the weights vector too By the definition of the CML,the efficient market portfolio thus can be identified.
References
|
Related Articles
|
Metrics
Select
Decisions and A Game Analysis on the Education Expenditures of Multilevel Governments
XIAO Tiao-jun, WU Guang-mou, SHENG Zhao-han
2001, (
5
): 56-61.
Abstract
(
1998
)
PDF
(1157KB) (
1364
)
Save
This paper studies a three level government model on the education expenditures by employing a dynamic game of complete information,coming up with decisions for governments,respectively.In the model,the municipal government firstly acts,and then provincial government,central government act Successively.First of all,it describes the basic model.Secondly,it analyzes the education expenditures employing a dynamic game.Finally,it gives the algorithm of the optimal solution and provides an example that shows the governments how to make decisions.
References
|
Related Articles
|
Metrics
Select
Consumers’ Evaluations of Brand Extensions:Testing Aaker and Keller Model by Residual Centering Method
FU Guo-qun
2001, (
5
): 62-67.
Abstract
(
2315
)
PDF
(1205KB) (
2482
)
Save
This paper re examined A&K brand extension model by using China’s data and "Residual Centering Method".The RCM is considered to be effective in dealing with "multicllinearity" problem existed in the previous studies.The findings show that consumers’ attitudes towards brand estensions are driven primarily by the main variables and moderated via interaction terms in A&K model.Finally,brief discussions of the findings are presented.
References
|
Related Articles
|
Metrics
Select
A Cross-National Comparison of Critical Success Factor of Small Enterprises
CHEN Jin, S.K.CHAWLA
2001, (
5
): 68-73.
Abstract
(
2235
)
PDF
(786KB) (
2103
)
Save
This paper is the summary of critical success factors by the insight of small business owners in china.During the research,a comparison with US result was made.The Critical success factors of small business in China varied with the different life cycle,factor structure,demand for capital and regions.There are little evidence on the impact of critical success factors on the life cycle.
References
|
Related Articles
|
Metrics
Select
On Effectiveness of Executive Stock Option Iucentive
ZHENG Chang-de
2001, (
5
): 74-80.
Abstract
(
2316
)
PDF
(1250KB) (
2246
)
Save
This paper analyzes the degree and efectiveness of incentive provided by Executive Stock Option (ESO). First it gives definition and character of ESO system, points out that ESO is in fact a bull option based on company’s stock, and sets up an analysis model. The basic conclusion of the model is the following: ESO is exactly playing an incentive role to the president of a company, but it is limited; and it is effected by many factors, such as market environment, enterprises’ risk features, and so on; it is conditional, such as, stock market should be efficient, and under these conditions the pricing function of stock market then plays a correct and full role. At the end, with a USA’s data an empirical evidence for the basic conclusion of the model is given.
References
|
Related Articles
|
Metrics