Table of Content

28 June 2004, Volume 12 Issue 3 Previous Issue    Next Issue

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The Analysis of a Term Structure Model for Defaultable Bonds LIANG Shi-dong, GUO Bing, FANG Zhao-ben 2004, (3):  1-6.  Abstract ( 2235 )   PDF (1906KB) ( 1609 )   Save Under the condition of stochastic default intensity,correlation of default intensity and default-free interest rate,and market value recovery of risk-free bonds,we constructed the discrete term structure model of defaultable bonds.This model belongs to the Intensity Model Category. References | Related Articles | Metrics

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Linear Mining Algorithms Design for Outliers in Financial Time Series and its Authentic Proofs YANG Hu, LI Qiang 2004, (3):  7-11.  Abstract ( 2528 )   PDF (1367KB) ( 5399 )   Save Owing to the internal relations,the data in financial market usually manifest as the interrelated time series.This paper mainly discusses how to simplify time series models in financial market into relevant linear models and how to examine the existence of outliers and differentiate innovation outliers from additive outliers with traditional linear models.The mining of innovation outliers has not only the theoretical significance but also a great practical significance in the research on financial risk.Besides,the two algorithms proposed in this paper are analyzed with authentic proofs;in this way,the two methods in the study of financial market are proved feasible and effective. References | Related Articles | Metrics

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Evaluation on the Pricing Norm and Relative Investment Value of New Listing Security Based on Data Envelopment Analysis YI Rong-hua, DA Qing-li 2004, (3):  12-17.  Abstract ( 2167 )   PDF (2173KB) ( 1792 )   Save The thesis aims at the problem on pricing new listing security.Based on DEA non-parameters input-output functing,we develop two models of evaluation on acquired value grade and pricing norm for new listing security,along with corresponding guideline.Taking Chinese fund market for example,the proof-test result indicates that the models are effective. References | Related Articles | Metrics

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The Strategic Analysis Framework for Project Investment Portfolio Based on Real Option ZHANG Qing-hua, TIAN Zeng-rui, Wang Jing 2004, (3):  18-21.  Abstract ( 2259 )   PDF (756KB) ( 2135 )   Save This paper exploits a framwork to apply option space to improve strategic decision making based on the option pricing and an example is provided to show the investment strategy for each type of option. References | Related Articles | Metrics

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Study on the Evaluation of R&D Projects Based on the Binomial Option Tree Model MA Meng-meng, CAI Chen, WANG Zhao-xiang 2004, (3):  22-27.  Abstract ( 2203 )   PDF (1133KB) ( 2853 )   Save This article introduces the Real Options Theory into the field of R&D project management.On the basis of Stagegate NPD Model,the application of binomial option tree model to evaluating the R&D is discussed.After comparison,it is concluded that the value of the R&D project will be underestimated because the NPV mistreated the risk in R&D,which would undermine the corporate investment decision. References | Related Articles | Metrics

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Control Rights Transferring of Listed Companies in the Merger and Acquisition:An Empirical Study on the Market Performance ZHU Qi, HUANG Zu-hui 2004, (3):  28-33.  Abstract ( 2176 )   PDF (1278KB) ( 2187 )   Save 282 samples about the control rights transferring in the mergers and acquisitions of listing companies between 1997 and 2001 were selected.Average abnormal returns(AR) and cumulative abnormal returns(CAR) during the course of announcement on the control rights transferring were analysed empirically.The results were shown as follows:(1)Information signalling effects in the interval of [-2,2]about control rights transferring of listing companies mergers and acquisitions were achieved completely.(2)Returns changing trends hold:returns were positive significantly in the announcement information signalling periods;With times passing by,returns were negative significantly from the eyes of the medium and long run;On the whole,performances weren’t improved during the course of control rights transferring of the listing companies mergers and acquisitions.(3)Statistical tests about the results as above were very significant. References | Related Articles | Metrics

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Study of Herding Based on Irrational Behavior:A Simple Model LI Ping, ZENG Yong 2004, (3):  34-37.  Abstract ( 2493 )   PDF (921KB) ( 2696 )   Save In this paper,we establish a simple model to study how the irrational behavior can originate herding in security market within the sequential trading framework.The result indicates that herding never occurs in market if all the participants are perfectly rational;On the contrary,even if uncertainty has one dimension,irrational behavior of trader may induce herding in the market. References | Related Articles | Metrics

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Empirical Test of China’s Monetary Policy:1996-2003 HUANG Chang-li, REN Ruo-en 2004, (3):  38-43.  Abstract ( 2354 )   PDF (1206KB) ( 2007 )   Save In this paper,we mainly apply cointegration test and Granger causality test to make empirical research on the effectiveness of China’s monetary policy in the period from 1996 to 2003.We find that monetary policy has low effectiveness to real economy.Some reasons are discussed. References | Related Articles | Metrics

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Application of Factor Model in the Risk Budgeting Analysis DU Ben-feng 2004, (3):  44-47.  Abstract ( 2000 )   PDF (1302KB) ( 2664 )   Save Risk budget is winning academic circle,pension fund and assets management field a lot of extensive concern abroad,and considered as a kind of innovation of portfolio management.Domestic investors realize the important meaning of portfolio risk control day by day,and it is close to the first important task.This paper passes the budget of the risk for n investment management and control technology of risk.We utilize the factor model to disuss the factor risk of investment portfolio and carry on the example analysis. References | Related Articles | Metrics

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Identification and Early Warning Study on Investment Regional Risks of Projects JIA Xiao-xia, YANG Nai-ding, JIANG Ji-jiao 2004, (3):  48-53.  Abstract ( 1993 )   PDF (1160KB) ( 1851 )   Save This research pointed out the importance of identification and early warning on regional risks of investment projects.The six kinds of regional risks are identified systematically.An early warning prototype model of regional risks based on interface integrity was established,which emphasizes the synthesis of strategies,organization,methodology,information,culture and process.Factors’ coupling relationships are also given and modeled quantitatively with management entropy,realizing measurement of regional risks. References | Related Articles | Metrics

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The Analysis of the Formation of Relationships in Alliances and Value Networks:From the Perspective of Matches of Participants’ Utilities DONG Guang-mao, LI Yuan 2004, (3):  54-59.  Abstract ( 2172 )   PDF (1458KB) ( 2092 )   Save Too much attention to value appropriation impedes us to understand the essence of the relationships,that is,value creation, alliances and value networks.We think that the relationships should be based on a kind of utility systems among participants in alliances and value networks,which reflects a state at which the matches of the participants’ utilities make each participant to get what he needs.In order to establish the utility systems,the participant(s) may concede to each other when questing for value appropriation,if each participant’s utility space is not confined only to the utility from value appropriation.In this paper,a specific model is proposed to support our arguments,and we find that the conflicts arising from value appropriation may be resolved in a self-enfocing way,when possible. References | Related Articles | Metrics

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An Analysis about Firms’ Optimal Behavior under Different Objectives MENG Qing-chun, ZHAO Bing-xin 2004, (3):  60-63.  Abstract ( 2126 )   PDF (1035KB) ( 1389 )   Save Through changing the hypothesis about price, the paper gives four optimal models with different objectives,then considers their equilibrium conditions,at last analyzes their optimal outputs on the base of reference[5]. The conclusions partly cover the results in[5]. References | Related Articles | Metrics

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Study on Product Pricing of Successive Monopolistic Upstream and Downstream Firms under Different Price Regulations LIU Wei, TANG Xiao-wo, MA Yong-kai 2004, (3):  64-68.  Abstract ( 2210 )   PDF (802KB) ( 2384 )   Save This paper,based on double marginalization problem of successive monopolistic upstream and downstream firms,analyses the pricing behavior of these firms under price-cap regulation and rate-of-return regulation when they aren’t suitable to integrating vertically because of high transaction cost.The authors think that the price of product will decrease under price-cap regulation and the price of product will increase under rate-of-return regulation.So they propose that quantity regulation is very important under rate-of-return regulation. References | Related Articles | Metrics

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Cooperative Promotion and Pricing in a Supply Chain ZHONG Bao-song, LI Kui, LI Hong-yu 2004, (3):  69-74.  Abstract ( 2301 )   PDF (2270KB) ( 2283 )   Save A game theory approach is used to discuss the cooperative promotion programs between the manufacturer and retailer in a supply chain.We develop three strategic models to determine the equilibrium fees of cooperative promotion.The first is the traditional Stackelberg model where the manufacturer is the leader.Then,incorporating the trend of retailing power shifting from manufacturer to retailer,we analyze a model where the retailer is the leader.In the third model,we discuss a Pareto efficient cooperative promotion program.Finally we use Nash bargaining approach and utility theory in the Pareto efficient scheme to determine the best cooperative program. References | Related Articles | Metrics

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Research on Implementation of E-Supply Chain Management SUN Tao, DING Rong-gui, LIU Gang, SONG Cheng-yu 2004, (3):  75-80.  Abstract ( 2015 )   PDF (716KB) ( 2430 )   Save E-supply chain management is a new supply chain management model in e-commerce environment,but the main obstacle to the application of e-supply chain is the communication and coordination costs between its members.In this paper,the characteristics of e-supply chain are summarized,and the implementing model and procedure of e-supply chain are discussed.Lastly,the solution to construction of the e-supply chain is introduced. References | Related Articles | Metrics

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Study on Factors of Green Supply Chain Management among Chinese Manufacturers ZHU Qing-hua, GENG Yong 2004, (3):  81-85.  Abstract ( 2192 )   PDF (2215KB) ( 3310 )   Save With the economy globalization and after China’s entry into the WTO,green supply chain management has become an important strategy for Chinese manufacturing enterprises to improve their international competitiveness.However,green supply chain management is still at the embryonic step in China,lacking research to guide practices.This study developed a questionnaire on the basis of the literature in English and experts on environmental protection in China and did a survey among Chinese manufacturing enterprises.Through factor analysis by SPSS,this paper identifies main factors for pressure/drivers,practices and performances on green supply chain management.Analysis on data results is followed by conclusions and suggestions. References | Related Articles | Metrics

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An MINLP Model for the Single-Source and p-Median Distribution System Based on Time Constraints LI Yan-hui, MA Shi-hua 2004, (3):  86-90.  Abstract ( 2249 )   PDF (1385KB) ( 1798 )   Save Besides minimizing the total cost of the system,the design of distribution system should also meet the time requirements of the demand points.After listing the assumptions for modeling,a time-constrained mixed-integer nonlinear programming(MINLP)model of the single-source and p-median distribution system is built.According to the specific configuration,a heuristic algorithm programmed with Matlab for the model which can find the globally optimal solution is developed.Finally,a comparison among the branch and bound algorithm,rounded relaxation and the heuristic algorithm,on the software platforms of LINGO and Matlab,is presented.The result shows that the heuristic algorithm is better than the others at computing time and seeking for the globally optimal solution.At the end of this paper,a numerical example was given,in which the data were gained from the fieldwork. References | Related Articles | Metrics

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Game Analysis of Two-Stage Supply Chain for Perishable Goods under E-Marketplace ZHAO Quan-wu, XIONG Zhong-kai, LIN Ya, BU Xiang-zhi 2004, (3):  91-96.  Abstract ( 2240 )   PDF (1264KB) ( 2372 )   Save One supplier and M retailers compose a two-stage supply chain for perishable goods.In this system,the sales period of perishable goods is divided into two periods.Before the first period,retailers order perishable goods from the supplier directly,at the end of the first period,the retailers trade their inventories via E-marketplace according to the demand.This paper investigates the impact on the supplier of this trade mode,and compares with the traditional mode,points out the impact depends on the peculiarity of perishable goods and specialty of the customers.Experimental study proves the results too. References | Related Articles | Metrics

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A Genetic Algorithms-Based Approach to the Enterprise Resource Supply Chain Management Problem with Primary and Secondary Warehouses LI Xiu-fei, CAO Zhen-yu, ZHOU Gen-gui, LI Ying 2004, (3):  97-101.  Abstract ( 2184 )   PDF (1985KB) ( 1626 )   Save In this paper,we consider the enterprise resource supply chain management problem of allocating customer demands to primary and secondary warehouses with capacity restrictions.This problem is formulated as an integer programming model and solved by using a genetic algorithm.The application to a real world problem and numerical analysis show the effectiveness and practicality of the proposed method in dealing with such kind of problems. References | Related Articles | Metrics

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Study on the Three-Dimensional Evaluation Model and Demonstration of Core Competence for Enterprises SHI Xi-jie, WU Yu-hua 2004, (3):  102-106.  Abstract ( 2219 )   PDF (1054KB) ( 2160 )   Save In this paper,the core competence of enterprises is analyzed after summarizing the current research results.Then a three-dimensional evaluation model is proposed based on systematic thought to analyze the core competence of enterprises,as well as a method:optimum point.method The projection analysis of this model is further discussed.In the end,an example about security companies is run to describe the procedure of using this model. References | Related Articles | Metrics

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Research on the Collaboration Mechanism between Airline and Travel Agency CHEN Jian, XIAO Yong-bo, LIU Xiao-ling 2004, (3):  107-114.  Abstract ( 2307 )   PDF (2117KB) ( 2319 )   Save Travel agency is an important element in the airline’s ticket supply network.As a special ticket agent,the travel agency usually books tickets in advance from the airline in order to satisfy the passenger demand in the midseason.Preselling to the travel agency is an important way of reducing risk for the airline.Both parties have to make careful decisions when they transact with each other:the travel agency decides on how many to order;and the airline decides on how many to supply.This paper examines their optimal decisions respectively,and researches on the collaboration mechanism between them.We consider the shortage cost,overbooking and other factors in the model.The objective of collaboration is to achieve the maximal collective revenue and bring more benefit to both parties.We bring forward a price-adjustment collaboration mechanism and illustrate the feasibility and astringency of the mechanism. References | Related Articles | Metrics

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Optimization Designing of ISC Based on BPT with Multiple Mental Accounts JIANG Ji-jiao, YANG Nai-ding 2004, (3):  115-120.  Abstract ( 2185 )   PDF (1727KB) ( 2063 )   Save Focusing on the bounded rational fuzziness and dynamic characteristics of customers’ requirements,behavioral finance is introduced into ISC(Integrated Supply Chain)system.With the riddle of Friedman and Savage as a case,it’s indicated the pyramid structure of consumers’ mental accounts,which interprets many ISC empirical abnormity phenomena with bounded rational consumption fluctuation.Driven by customer satisfaction,customers’ requirements are transferred as the customer satisfaction degree evaluation of each ISC process.The weights of customers’ requirements on each ISC process are optimized with the value of fuzzy language.It’s defined the correlation functions among customer satisfactions and the relation function with each ISC process.Finally,it’s formed the customers’ satisfaction degree goal programming model with chance constrained attributes based on behavioral portfolio theory with multiple mental accounts. References | Related Articles | Metrics

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Study on Information Sharing of E-Government MU Xin, WANG Huan-chen, WANG Xiao-hua 2004, (3):  121-124.  Abstract ( 2333 )   PDF (1108KB) ( 2421 )   Save Government information integration and sharing is one of the keystones in e-government development.IT investment makes the information sharing possible,but it does not bring the effective information sharing.And at present, the study on the management aspect of government information sharing is very few.The research in this paper finds the prisoner’s dilemma in the government sharing through analyzing the game model of two government decision units.The method solving the problem lies in the equity of IT investment and civil servant training,the permanence of information sharing and providing information subsidy.The conclusions in the paper show that hardware investment and management in the development of e-government should be emphasized simultaneously.It would have been a practical significance to overcome the phenomenon of emphasizing hardware investment and ignoring management in e-government development. References | Related Articles | Metrics

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Evolutionary Game Analysis of Cournot Competition with Different Behavior Rule YI Yu-yin, SHENG Zhao-han, XIAO Tiao-jun 2004, (3):  125-129.  Abstract ( 2114 )   PDF (1228KB) ( 2208 )   Save An evolutionary game model of Cournot competition is studied.Two behavior rules can be selected by enterprise.One is"myopic"behavior rule,the other is Nash behavior rule.The probability of the enterprise choosing a certain behavioral rule is updated according to the replicator equation.Our results show that"myopic"behavior rule cannot be washed out by Nash behavior rule,and enterprise will select"myopic"behavior rule to make quantitative decision when it has certain rationality,and its rationality determines whether this game can reach equilibrium. References | Related Articles | Metrics

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Research on Evaluation of Enterprises’ Technological Innovation Performance under Network Environment DANG Xing-hua, WANG Yu-xiao, LIU Ze-shuang 2004, (3):  130-135.  Abstract ( 2297 )   PDF (1120KB) ( 2189 )   Save The goal of this paper is to give the norm system of performance evaluation model and set up performance evaluation model for enterprises’ technological innovation based on a BP network under network environment.According to a model based on ANN and used to analyzing relation between the performance and its influence factors,we can give key factors that influence performance of technological innovation under network environment,it provides guidance for performance control. References | Related Articles | Metrics

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Ownership Structure and Environmental Performance PENG Hai-zhen, REN Rong-ming 2004, (3):  136-140.  Abstract ( 2054 )   PDF (1066KB) ( 1965 )   Save The article analyses the difference of environmental performance under different ownership structure through a theoretical model.From the perceptive of ownership structure,it explores whether the development model of privatization could achieve a better balance point between pushing economic development and reducing environmental damage,and tries to find whether the development of private economy is effective for improving environmental quality,which is beneficial to promote environmentally economic sustainable development. References | Related Articles | Metrics

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Study on Communication and Coordination Issues in Software Developing Managment YANG Kun, WANG Er-ping 2004, (3):  141-148.  Abstract ( 2192 )   PDF (1966KB) ( 1786 )   Save Communication and coordination issues are important in software development,which will influence software productivity and usability.Based on the survey result of medium- and small-sized software organizations in China,the study focuses on:(1)Communication and coordination techniques which are often used among software teams;(2)Project characters which are influencing the use and value estimate of communication and coordination techniques;(3)The relationship between the quality of project output and the activities of communication and coordination.Suggestions of communication and coordination are made for medium-and small-sized software organizations in China. References | Related Articles | Metrics