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30 October 2010, Volume 18 Issue 5 Previous Issue    Next Issue

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Dynamic Portfolio Selection Under Parameter Uncertainty and Utility Maximization YUAN Zi-jia, LI Zhong-fei 2010, 18 (5):  1-6.  Abstract ( 2449 )   PDF (501KB) ( 1640 )   Save The standard portfolio selection theory assumes that investors exactly know the security parameters,neglecting the effect of estimation risk induced by parameter uncertainty on asset portfolios.This paper investigates a continuoustime portfolio selection problem with parameter uncertainty and learning for aninvestor with CRRA utility.By using the martingale method,we derive a closeform expression for the optimal portfolio strategy.Based on the result,by combining a comparative static analysis with the data of China Security Market,we study the effect of the investment horizon and the initial belief of the investor on the optimalstrategy. Related Articles | Metrics

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Empirical Study on Value Functions of Stock Markets WEN Feng-hua, RAO Gui-tian, YANG Xiao-guang 2010, 18 (5):  7-13.  Abstract ( 2178 )   PDF (1009KB) ( 1544 )   Save As a core component of prospect theory,value function is employed to characterize the subjective experience of a decision-maker's gain and loss.Previous empirical studies of prospect theory were largely carried out through psychological experiments on individual decision-makers.In this paper,taking a whole stock market as an entire entity,we use the flow of information extracted by EGARCH Model as the proxy variable of change in wealth,and then use a two-stage power function as the representation of the value function to study the daily return data from stock market of 10 countries or regions Empirical results show that the value functions of all the 10 stock markets present the shape of inverse-S,instead of the S-Shape of value function generated by most individual- based psychological experiments. Related Articles | Metrics

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The Pricing Model and Decomposition Measure of Stock Price:Based on the Perspective of Input-output Conversion and Relative Pricing YI Rong-hua, LI Bi-jing 2010, 18 (5):  14-20.  Abstract ( 1967 )   PDF (601KB) ( 1433 )   Save To examine the market efficiency based on excess returns statistical tests and to study indirectly financial asset pricing based on the mean-variance portfolio theory,the classical method and paradigm is facing sharp questions and challenges.From the perspective of input-output conversion and relative pricing,this paper analyzes stock pricing mechanism and presents the stock pricing model,which covers four types of pricing factors and integrates the intrinsic value and relative value,as well as gives the measurement model of the various components of stock price.Finally,nine multi-listed firm's stocks demon strates the effectiveness of the proposed method. Related Articles | Metrics

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Research on Loan-to-value Ratio of Inventory Financing When Demand Is Stochastic ZHANG Qin-hong, ZHAO Quan-wu 2010, 18 (5):  21-27.  Abstract ( 2288 )   PDF (564KB) ( 1558 )   Save The risk caused by demand fluctuation is the main risk of inventory financing that differs from other kind of financing.The decision of loan-to-value ratio of inventory financing is analyzed under the assumptions of endogenous default risk and stochastic demand.Firstly,the optimal loan-to-value ratios of the bank under different risk preference are given.It is proved that the optimal decisions under risk averse and loss averse are all smaller than that of risk neutral.Then,we derive the optimal loan-to-value of the bank when his decision will influence the firm's inventory decision.Finally,the numerical study is given to demonst rate the conclusions. Related Articles | Metrics

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A Robust Weighted Adaptive Lp LS-SVM Method for Credit Risk Assessment LIU Jing-li, LI Jian-ping, XU Wei-xuan, SHI Yong 2010, 18 (5):  28-33.  Abstract ( 2258 )   PDF (462KB) ( 1248 )   Save Consumer credit risk assessment is an important aspect of financial risk management and credit industry competition.Credit database often contains noisy data,which makes the data uncertain.Least squares support vector machines,a widely used binary classification model,is simple and easy to be applied.In this paper,we propose a robust weighted adaptive Lp least squares support vector machines,which can deal with unbalanced data sets and noisy data.The empirical test on simulation and three credit data sets have shown the model has out standing robustness and generalization ability. Related Articles | Metrics

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Empirical Study on Mechanism of the Earthquake Catastrophe Option Pricing in China DING Bo, BA Shu-song 2010, 18 (5):  34-39.  Abstract ( 2104 )   PDF (524KB) ( 1265 )   Save China is one of the countries suffering most serious earthquake disasters.Earthquake in Yushu,Qinghai Province makes the issue of catastrophe risk management be placed in front of the researchers and policy makers once again.This paper analyzes the development status of the earthquake catastrophe options in China,builds the China's earthquake catastrophe option pricing model and carries out some relevant empirical measurement and discussion,by referring to and improving research findings home and abroad.Through the empirical research of pricing mechanism,this papermakes the necessary policy recommendations to promote development of the earthquake catastrophe options in China. Related Articles | Metrics

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Optimal Dynamic Asset Allocation Strategy for Occupational Pension Fund in Accumulate Phase ZHAI Yong-hui, WANG Xiao-fang, YAN Hai-feng 2010, 18 (5):  40-48.  Abstract ( 1984 )   PDF (1147KB) ( 1164 )   Save Replacement rate is one of the most important indicators to evaluate the investment effectiveness for occupational pension fund.The target fund linked with the replacement rate is constructed and the target-based optimal asset allocation model for occupational pension fund is established in this paper.Then,the optimal strategy is obtained by using stochastic dynamic programming.The optimal asset allocation strategy in different financial market and for different colony is investigated by using Monte Carlo simulation technique.Furthermore,sensitivity analysis for controllable parameters in the model is researched.The results show that the optimal asset allocation strategy is affected by the parameter in the model and the optimal asset allocation strategies for different colony in different financial market are different.Never theless,the weight of optimal allocation strategy to be invested into the high-risk asset decreases over time on all accounts. Related Articles | Metrics

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Study on the Introduction of Foreign Strategic Investors to Affect the Efficiency of Chinese Commercial Banks HE Jiao, FU Qiang, PAN Lu 2010, 18 (5):  49-57.  Abstract ( 2119 )   PDF (725KB) ( 1664 )   Save In the current significant acceleration of Chinese banking to introduce foreign strategic investors,this paper wants to answer the question,after the introduction of foreign strategic investors,whether the impact of the efficiency of commercial banks has important theoretical significance and practical value.The equity structure of commercial banks can be divided into three class.Based on the theoretical model of stochastic frontier method and the amendment output method a cost and profit equation is built.The empirical study of the efficiency of commorciol Danks with foreign strategic investor in China is qloew Empiricalre sults show that:the introduction of foreign strategic investors,not only improves the bank's cost efficiency and promotes greater efficiency in the banking profits.The research also shows that.The implemantation of "financial rest ructuring-the intro duction of strategic investors-market-improving governance system" improves the efficiency of the banking industry. Related Articles | Metrics

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Joint Decision on Timing and Pricing for Ordering under Information Updating in a Supply Chain WU Jiang-hua, ZHAI Xin, HE Yu-hong 2010, 18 (5):  58-65.  Abstract ( 2210 )   PDF (613KB) ( 1096 )   Save This paper considers the joint decision on timing and pricing for ordering in a supply chain consisting of one manufacturer and one retailer with continuous information updating on retailer's side.The manufacturer offers a menu with multiple choices on timing and pricing for ordering.Before selling season starts,according to the menu,the retailer decides when to place an order and enjoys the corresponding price.We consider timing for ordering as decision variable with respect to its effects on the degree of information updating,which extends the existing literature by removing the constraint of fixed ordering time.We study each entity's profit under both centralized and decent ralized systems.In the decentralized system,we incorpo rate revenue sharing contract to find Pareto improvement.Numerical examples are also provided to illust rate the effectiveness of our coordinating mechanism. Related Articles | Metrics

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Supply Coordination Model of Two-suppliers and One-manufacturer System Based on Different Delivery Policies LI Guo, ZHANG Xiang, MA Shi-hua 2010, 18 (5):  66-75.  Abstract ( 2169 )   PDF (697KB) ( 1545 )   Save Supply coordination model of two-suppliers and one-manufacturer based on different delivery policies is established.After analysis and description of agreed delivery date based on delivery window(called policy 1) and controllable delivery date based on cost sharing(called policy 2),the Stackelberg model of two-suppliers and one-manufacturer system based on agreed delivery date under delivery window is constructed,according to policy 1 and the optimal decision of each side.According to policy 2 the optimization and collaboration model of two suppliers and one manufacturer system,based on controllable delivety date under cost sharing mechanism,is built up,and the algorithm of optimal solution is given Then,range of the cost sharing coefficient is given after analysis of the situation that policy 2 is superior to policy 1,and the coordination policy of asymmetric Nash Equilibrium is put forward based on adapted ideal point Finally,the two delivery policies are compared and the sharing collabo rative policy is proved effective in numerical example. Related Articles | Metrics

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Seasonal Product Supply Chain Coordination with Resource Constraints and Lost Sale Penalty Cost CHEN Ju-hong, GUO Fu-li, SHI Cheng-dong 2010, 18 (5):  76-81.  Abstract ( 2286 )   PDF (276KB) ( 1658 )   Save In seasonal product supply chain,the manufacturer's marginal cost increases with outputs with resources constraints,and the retailer would be charge with lost sale cost when shortages happen.In this paper,a two-stage supply chain consisted of single manufacturer and single retailer is chosen as the research object.Firstly both manufacturer's and retailer's optimal decision behaviors are analyzed under non-cooperative state.The manufacturer will determine the wholesale price according to order quantity.Then,the optimal decision behavior of the centralized supply chain is given.Secondly,a coor dination model based on the return policy is established and the decision making behaviors of both parties are analyzed under cooperative state.The results show that in the incentives of returning strategic,the retailer accepts the optimal production decision making on the whole,but the relationship between the manufacturer's who lesale price and discount factor need to satisfy positive change constraints within a certain range.At this point,the partners reached win win and thus the effective coordination of the supply chain can be obtained.Finally,we carry out umerical analysis to verify the validity of the results. Related Articles | Metrics

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Price and Quality Competition Between the New and Remanufactured Producer in the Closed-loop Supply Chain CAO jun, XIONG Zhong-kai, LIU Li-sha 2010, 18 (5):  82-90.  Abstract ( 2174 )   PDF (1432KB) ( 1230 )   Save Considering the relationship of quality level,quantity constrained,and consumers with heterogeneous price sensitivity,and based on the two stages dynamic game model,we use a single cost function class to study the price and quality competition between the manufacturer and remanufacturer under free recycling model in the closed-loop supply chain.The results indicate that when the remanufacturerd product enters the market at the same,the manufacturer has the largest profit in the event of the largest quality gap.We obtain the sufficient condition under which the remanufacturer has a lower limit equilibrium profit. Related Articles | Metrics

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Research on Adverse Selection of Supply Chain under the Control of Virtual Third-party ZHANG Huan, WANG Xian-yu 2010, 18 (5):  91-97.  Abstract ( 2160 )   PDF (834KB) ( 1057 )   Save On common adverse selection of supply chain,the agent can only gain basic retained earnings or poor information rents,so the agent can not be incentive enough.The paper analyzes the supply chain,consisting of only one supplier and one retailer,with the control of virtual third-party.The virtual plays the role of centralized control,represents the interests of the supply chain,designs and implements the incentive mechanism to adverse selection.At last,we establish the first best incentive contract,and all parners can gain some rents. Related Articles | Metrics

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Competitive Analysis for Keyword Advertising in Search Engine CHEN Li-gang, LI Yi-jun 2010, 18 (5):  98-105.  Abstract ( 2305 )   PDF (607KB) ( 1622 )   Save Sponsored search is a new online marketing method that achieves great success in recent years.In this paper,we analyze different auction mechanisms used by search engines,and present the bidding behaviors of advertisers in the condition that quality score is implemented.We first examine a single period and simultaneous move game,and show that in this game,both advertisers choose their best strategies without considering their opponents policy.Then,we consider a multi-period game.In this game,we provide and prove an optimal strategy for advertisers given their opponent using a minimum out bidding strategy.The proposed strategy is verified by empirical data.Besides,we propose three related corollaries that are meaning ful to search engines. Related Articles | Metrics

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The Model for Investment Threshold and Capacity Choice and Its Analysis in Oligopoly Generation Power Market ZHANG Xin-hua, LAI Ming-yong, YE Ze 2010, 18 (5):  106-112.  Abstract ( 2149 )   PDF (534KB) ( 1113 )   Save The excess or shortage of generation power capacity investment will lead to huge economic and social losses.In the paper,on the basis of bidding equilibrium of power producers,the model for investment threshold and capacity choice under uncertain power demand is presented,with real option and game theory.Then,the optimal investment threshold and capacity of investors are displayed by numerical simulation.The results indicate that,1) the investment threshold and optimal capacity are decreasing with the amount of investors,but increasing with the uncertainty of power demand; 2) to the whole power market,when the amount of power investors is smaller,the market efficiency is lower,but power supply is more adequate. Related Articles | Metrics

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Consumer Behavior in the Simultaneous Use of Online English Auction and the Posted Price Mechanism DU Li, HUA Gui-fen 2010, 18 (5):  113-121.  Abstract ( 2211 )   PDF (399KB) ( 1071 )   Save English auctions with posted prices are widely used in the Internet to sell identical items.We propose a weakly dominant bidding strategy.Consumer whose valuation is lower than the posted price should participate in the auction and it is optimal to bid his true valuation.Consumer whose valuation is higher than the posted price would make a decision between participating in the auction and buying at the posted price directly.It is optimal to bid the posted price if he participates in the auction.We find that his decision on whether to participate in the auction or buy at the posted price significantly depends on the time remaining to the end of the auction Finally,we make a numerical analysis on the impact of factors on his decision and obtain some conclusions. Related Articles | Metrics

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Cost Evaluating Model of Transport Performance Degradation in Urban Road Networks YIN Hong-ying, XU Li-qun 2010, 18 (5):  122-129.  Abstract ( 2187 )   PDF (1543KB) ( 1092 )   Save There are a lot of factors influencing road network and lead by transport performance degradation.The influencing factors and mechanism of road network transport performance degradation are analyzed.The cost evaluating process framework of road transport performance degradation and road disruption is given.Road network disruption performance degradation cost model is analyzed based on BPR link performance function and user equilibrium assignment theory.Finally,an example is used to explain the basic law that road network transport performance degradation influences the travel cost,and the specific process of road network transport performance degradation costevaluation The study shows that the road network transport performance degradation has agreat impact on the travel cost,and the transport performance degradation is significant positive correlation to the travel cost. Related Articles | Metrics

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A Study on Flight Altitude Discrepancy Base on the Fisher Ordinal Samples Cluster Method YU Ping, CHI Hong, TAN Xian-chun, XU Bao-guang, LIU Lei 2010, 18 (5):  130-136.  Abstract ( 2189 )   PDF (481KB) ( 1689 )   Save There now exists a discrepancy between the practical flight altitude and the one calculated by CFP(Computerized Flight Plan),which is unfavorable to security as well as cost-saving of flights.Along air route,flight altitude discrepancy is variable between segments.According to this character,this paper studies the flight altitude discrepancy based on air route segmentation.The study applies the weighted Fisher ordinal samples cluster method to cluster around those air route points with similar discrepancy level,meanwhile keeping their original order in air route,consequently carrying out air route segmentation.The out come cantell on which air route segments the discrepancy is striking and needs to be given special at tention,which is of benefit to improve the rationality of flight plan(takeoff fuel) and helps pilots support takeoff preparation. Related Articles | Metrics

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Study on the Uncertainties, Learning and Investment Decision in the Process of New Technology Commercialization XING Xiao-qiang, TONG Yun-huan 2010, 18 (5):  137-144.  Abstract ( 2023 )   PDF (1995KB) ( 1067 )   Save Taking into consideration of three different types of uncertainty embedded in new technology commercialization project,the paper analyzes the influencing mechanism of uncertainties on the optimal investment decision from the perspective of reducing or resolving uncertainties by learning.The paper adopts the real options approach and builds the valuation and decision models on the new technology commercialization sequential investment in which the optimal investment rule is also derived.And then,by using the comparative static analysis based on numerical simulation,the paper analyzes how the changes of different parameter values affect the value and investment threshold of new technology commercialization project,with the economic and manag erial implication discussed. Related Articles | Metrics

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Analysis of the Validity of Online Reputation Feedback Systems Based on the Lemon Theory JI Shu-xian, HU Pei 2010, 18 (5):  145-151.  Abstract ( 2007 )   PDF (800KB) ( 1265 )   Save Credit is one of the bottlenecks in the development of online auction.The online reputation feedback system has an important effect on eliminating information asymmetry and the adverse choice problems.The paper gives an analysis on the reason of adverse selection problems in online auction market first,and then sets up a mathematical model about reputation in online auction market based on repeated game theory.The results show that online reputation systems can incite the sellers to be honest,and reduce the adverse selection problems to some extent Analyze the mechanism of reputation in online auction market in order to offer a new thought for the online websites. Related Articles | Metrics

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Research on Capital Allocation Strategy of Companies Based on the Private Benefits of Controlling Shareholder DOU Zhong-qiang, LIU Xing, LIU Li 2010, 18 (5):  152-158.  Abstract ( 2067 )   PDF (639KB) ( 1347 )   Save Based on the theory of internal capital allocation in companies,from the perspective of fixed asset investment and long equity investment,this paper analyzes the effect of the private benefits of controlling shareholder on the internal capital allocation strategy.The conclusions show that,the private benefit of controlling shareholder is one of the most important reasons leading to distortion and inefficiency of capital allocation,and the level of distortion is nonlinear changing with the separation-degree between ownership and control.However,tendencies of change have two situations,which are determined by the rate of return on fixed assetinvestment and long equity investment. Related Articles | Metrics

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The Research on Measure Default Correlation of Related Corporations Controlled by an Enterprise Group CHEN Lin, ZHOU Zong-fang 2010, 18 (5):  159-164.  Abstract ( 2176 )   PDF (823KB) ( 1837 )   Save An enterprise group is a multi-corporate union.It may consist of a parent company,its subsidiaries,associates and branches.As the major client of commercial bank,a member of enterprise group defaults may lead to the default of the other member of enterprise group.This contagion effect exposes banks to huge cumulative credit risk.It is an important part for banks to control the correlative default risk in enterprise group.Based on the intensity model,we think that the variable of enterprise group's asset value is a public factor of the default intensity of the subsidiaries,and design a model for measuring the correlation of default of the related corporations under the control of parent company The research shows that default correlation of the related corporations positive with the ratio of equity holding by the parent company,but the impact of the change in equity holding ratio isn't significant. Related Articles | Metrics

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A Subjective and Objective Weights Integrated Method Based on 2-Tuple Linguistic for Group Decision Making DING Yong, LIANG Chang-yong, ZHU Jun-hong, LU Wen-xing 2010, 18 (5):  165-170.  Abstract ( 2362 )   PDF (286KB) ( 1456 )   Save A subjective and objective attribute weights integrated approach,based on 2-tuple linguistic information processing,for multi-attribute group decision making problem with linguistic attribute value and attribute weights value,is proposed.Firstly,subjective attribute weights are calculated by using the weighted averaging operator for linguistic 2-tuples.Secondly,an objective weights determining method based on the minimizing deviation is proposed.The deviation of attribute judgment of decision making group's calculated according to linguistic decision matrix.This deviation is larger,and it shows the disagreement of decision maker opinion is larger.Therefore,the at tribute weights value would be littler in order to enhance the consistency of group judgment.Then,subjective weight and objective weightare integrated into comprehensive weight.Finally,an example is given to illustrate that this method is effective and practicable. Related Articles | Metrics

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Evolutionary Game Analysis on Reverse Auction ZHOU Xue-guang, ZHANG Jian, DU Jian-guo 2010, 18 (5):  171-178.  Abstract ( 2265 )   PDF (1035KB) ( 2148 )   Save The reverse auctions have made great challenge to the operational model of the traditional supply chains.It is the most urgent task for buyers and suppliers to integrate this new tool into the operational process of enterprises in developing of e-business.Firstly,a non-cooperative static game is constructed to analyze how to achieve long-term cooperative conditions of supply chain,and which is the pure strategies Nash Equilibrium in this paper.Then,basing on that,the evolution of the paths and the influence of factors are analyzed with the idea of evolutionary game.At last,the influence of diversity decision-making parameters and variation of initial condition on evolution result through reliable numerical simulation. Related Articles | Metrics

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Study on Technological Innovation Diffusion in Industrial Cluster Based on Modified Bass Model CHEN Guo-hong, WANG Li-li, CAI You-hua 2010, 18 (5):  179-183.  Abstract ( 2172 )   PDF (1070KB) ( 2206 )   Save Technological innovation diffusion in industrial cluster is different from the technological innovation diffusion with many features,and the existed methods are difficult to analyze it.Based on the study of Bass model and technological diffusion innovation,this paper points out that there are limitations of Bass model in studying technological innovation diffusion in industrial cluster,thus expands and establishes the modified Bass model of technology innovation diffusion in industrial cluster.Finally,it analyzes the simulation results.The results show that the modified Bass model is more reasonable and effective than onginal Bass model,and the conclusion is more realistic.Thus,it can provide theoretical and met hodological support for the study of technology innovation diffusion in industrial cluster. Related Articles | Metrics

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Analysis and Development of DEA Game Model WU Hua-qing, LIANG Liang, WU Jie, YANG Feng 2010, 18 (5):  184-192.  Abstract ( 2612 )   PDF (401KB) ( 2371 )   Save There is a close relationship between Data Envelopment Analysis(DEA) and Game Theory.In traditional DEA models,the inter-relationship among decision making units(DMUs) is ignored,and the loose limit on weights makes it difficult to evaluate rationally the efficiency value of DMU.Therefore,introducing the Game Theory to DEA model and probing DEA Game research,will not only benefit the development of DEA theory,but greatly extend the research for the application of Game Theory.In the paper,three phases of DEA Game resear chare summarized and reviewed:(1) explanation of DEA with Game Theory;(2) DEA Game models and their application;(3) DEA Efficiency Game.Based on the in depth analy ses of important DEA Game models,the evolvement of DEA Game research is outlined to promote the development for the theory and application of DEA. Related Articles | Metrics