Table of Content

28 October 2004, Volume 12 Issue 5 Previous Issue    Next Issue

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A Study of the Effect of Relative Performance on the Risk-taking Behavior of Mutual Funds WANG Ming-hao, CHEN Zhong, CAI Xiao-yu 2004, (5):  1-5.  Abstract ( 2078 )   PDF (2254KB) ( 2127 )   Save In this paper,in order to theoretically study the effect of relative performance on the risk-taking be-havior of mutual funds,we view the mutual fund market as a series of tournaments and develop a game model.In the model,two funds with unequal midyear performances compete for new cash inflows,accordingly for more compensation at the end of year,when the tournament is ended.Contrary to people’s institution,we find that the fund with better midyear performance is more likely to choose a higher level of risk of protfolio than the fund with worse midyear performance.Moreover,the higher the midyear performance gap is,or the higher the risk as-set’s return or the lower risk asset’s volatility is,the larger the probability of choosing a higher level of risk of protfolio by the fund with better midyear performance;accordingly,the lower the probability of choosing a higher level of risk of protfolio by the fund with worse midyear performance.At last,according to the principle of game and the theory of behavior finance,we explain the results. References | Related Articles | Metrics

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Using Artificial Neural Networks to Evaluate the Grading of Stock Based on the Principle of Information Spread HUANG Yi-xiao, SHAO Pei-ji, LI Jing-jing 2004, (5):  6-11.  Abstract ( 2104 )   PDF (1723KB) ( 1786 )   Save This paper proposed the method of applying artificial neural Networks to evaluate the grading of stock.At first,we establish the criteria system to evaluate the grading of stock,and then evaluate the stock index of training sample in ANN.Second,optimize the result based on information spread and use the optimized result to train neural networks with the back propagation.When arriving the necessary precision,the training will be stopped.The artificial neural networks may evaluate the grading of stock.In the end of this paper,we give a practical example and the detailed calculation steps,to explain this method and the grading results of stock.Using this method to evaluate the grading of stock will be helpful to reduce the influences of subjectivity and the market changes. References | Related Articles | Metrics

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The Research of Predicting Financial Distress in Chinese Listed Firms Based on Expected Default Frequency Model LI Bing-xiang, 2004, (5):  12-16.  Abstract ( 2212 )   PDF (1422KB) ( 1473 )   Save According to modern capital structure theory and option theory,designating that the price of assets is less than debt received by listed firms as the indicator of financial distress(FD),the paper designs the Expected Default Frequency(EDF)model using publicly available financial data and the information index of the capital market,i.e.price of the stock.The model can dynamically predict FD in listed firms and overcome the weakness of statistics models. References | Related Articles | Metrics

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Study of Choosing a Substitute for the Market Portfolio of Risk Assets ZOU Hui-wen, TANG Bing-yong 2004, (5):  17-22.  Abstract ( 2222 )   PDF (2167KB) ( 2440 )   Save The problem of choosing a substitute for the market portfolio of risk assets in CAPM is discussed.It is pointed out that only the market index portfolio formed by arithmetic average index can properly replace the real market portfolio.By selecting s representatives of risk assets,the conditions of choosing a valid assets portfolio from the s representatives as a substitute for the real market protfolio are obtained.The new and comparatively complete proofs in which the two kinds of valid forward positions of asset portfolios are tangent have been shown. References | Related Articles | Metrics

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Study on Short-term Behavior of Overreaction of Chinese Stock Market LIANG Bing, GU Hai-ying 2004, (5):  23-29.  Abstract ( 1926 )   PDF (2126KB) ( 1837 )   Save This paper systematically compared A Share of Shanghai and Shenzhen in short-term behavior after overreaction using the data from Jan.1997to Oct,2003.The empirical study reveals that both Shanghai Stock Market and Shenzhen have overreaction in negative price shocks in short-term windows.But in positive price shocks there is only momentum effect.Our analysis highlights that there exists"March effects",not the common"January effects".The regression results indicate that,for both Shanghai and Shenzhen,the cumulative abnormal returns are not always strongly related to the levels of the shocks. References | Related Articles | Metrics

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The Bivariate GPSJ Class and Its Application in Insurance GAO Hong-zhong, REN Yan-yan 2004, (5):  30-34.  Abstract ( 2119 )   PDF (2093KB) ( 1961 )   Save The model presented in this paper is very useful in insurance,especially for frequencies of property claims/frequencies of liability claims model,frequencies of retention claims/frequencies of excess treaty claims model in reinsurance.We study a class of bivariate GPSJ distributions by extending the GPSJ class from the uni-variate case to the bivariate case.We also show how to obtain the recursive formula of its probabilities.The study typically extends the use of some bivariate distributions appeared in literatures.Finally we employ this class to an application and the fitting effect is satisfying. References | Related Articles | Metrics

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Induced Ordered Weighted Harmonic Averaging(IOWHA)Operator and Its Application to Combination Forecasting Method CHEN Hua-you, LIU Chunlin, SHENG Zhao-han 2004, (5):  35-40.  Abstract ( 2359 )   PDF (2242KB) ( 2149 )   Save On the basis of ordered weighted averaging(OWA)operators,two concepts of ordered weighted har-monic averaging(OWHA)operators and induced ordered weighted harmonic averaging(IOWHA)operators are proposed in this paper,and their properties are discussed.It is pointed out that there are some shortcomings in the weighting harmonic averaging combination forecasting model at present.Based on the concept of IOWHA op-erator,the new combination forecasting model is constructed,and its weights are calculated by a mathematical programming model.Finally,some examples show that the model can improve the combination forecasting accu-racy effectively. References | Related Articles | Metrics

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The Research of State-Owned Commercial Bank’s Internal Rating Model XIAO Bei-ming, LI Jin-lin 2004, (5):  41-47.  Abstract ( 2131 )   PDF (1901KB) ( 2870 )   Save On the basis of analyzing the shortcoming of state-owned commercial bank’s credit rating system and the relative achievement,this paper emphasizes the importance of internal rating model.Through factor anal-ysis,cluster analysis and so on,the paper establishes an internal rating model.The effectiveness of the model is tested. References | Related Articles | Metrics

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Comparative Study on Value of Product Development LI Xiang, YANG Shu-xia, QI Jian-xun 2004, (5):  48-52.  Abstract ( 2025 )   PDF (1221KB) ( 1639 )   Save Analyzed the phase of selecting the products,this paper brought forward the question of comparing the exploiting value of the products,basing on the sufficient argumentation of applying entropy weight to this ques-tion,compared the applicability of entropy weight and AHP for this question.Further if discussed the comparison results.Finally,studied the infection on the veracity of applying synchronously these two methods,and found the more scientific method of selecting the product designs. References | Related Articles | Metrics

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Study on the Application of Decision-Making and Optimization of an Enterprise’s Production and Management Based on the Hierarchical Production System’s Input-Output Model WU Hong-mei, LIN Xu-dong, SHEN Zu-zhi 2004, (5):  53-57.  Abstract ( 2080 )   PDF (1248KB) ( 1582 )   Save On the basis of the hierarchical production system’s input-output model,this paper sets up an opti-mal model of sales structure,taking a polyamide fibre factory as application background.And based on the model,it discuss several decision-making and optimization problems of management about the optimization of sales structure,fixing products’prices,and finding enterprises’inner potential,etc.Successful practice is also included in this paper. References | Related Articles | Metrics

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Coordinated Replenishment Problem of Rarely Used Spare Parts Based on Continue Production ZHANG Jin-long, WANG Lin, CHEN Tao, ZENG Yu-rong 2004, (5):  58-62.  Abstract ( 2129 )   PDF (1563KB) ( 2023 )   Save In most circumstances,the stock-out cost of spare parts can’t be confirmed exactly because of the spe-cial characters of continuous production.Service level constrained(s,c,S)inventory model with continuous re-view policy for coordinated replenishment is established.Comparing with(s,S)policy,its advantage is tested through practical case.At the same time,sensitivity analysis for the factors to the cost saving of coordinated re-plenishment is accomplished and corresponding methods for inventory optimality are put forward for this sort of spare part. References | Related Articles | Metrics

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Analysis on the Effect of Collaborative Forecasting in Supply Chain Wang Chuan-xu 2004, (5):  63-68.  Abstract ( 2128 )   PDF (1241KB) ( 1753 )   Save This paper makes a quantitative analysis on the alleviation of bullwhip effect in supply chain through collaborative forecasting.It shows the positive impact that collaborative forecasting utilized by members of a mul-ti-stage supply chain havs on order release quantity variation and demand forecast error variation.Based on the-oretical study and numerical analysis,this paper demonstrates that such fluctuations can be controlled through ef-fective information sharing and collaborative forecasting within the supply chain. References | Related Articles | Metrics

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A Measure Model for Individual Value of Human Resource:A Coefficient Method for Realized Value LIU Feng-xia, WANG Bo 2004, (5):  69-73.  Abstract ( 2178 )   PDF (1406KB) ( 1658 )   Save The value of human resource is difficult to measure because human resource possesses the features of complexity and uncertainty.However,the accurate measurement of human resource value,especially the individu-al value is the key factor of whether human resource accounting can be brought into operation or not.The paper establishes a measure model of the coefficient method for realized value of human resource in current period based on the former production.And the practicability of the measure model is proved by a sample. References | Related Articles | Metrics

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Adaptive Ant Colony Algorithm Based on Information Entropy for Real Estate Portfolio Optimization ZHOU Shu-jing, LI Yan-cang 2004, (5):  74-79.  Abstract ( 2185 )   PDF (1939KB) ( 1993 )   Save Portfolio is an import measure of risk distribution in real estate development.The theory and the algo-rithm of real estate have their shortcoming.We used information entropy to measure the risk.According to the deficiency of the basic Ant Colony Algorithm,specially it is easy to fall into the local extremum and its calculation is complicated.We proposed an improved Ant Colony Algorithm based on the information entropy.The informa-tion entropy is used to control the path selection and evolutional strategy by self-adjusting.Then the improved algorithm is introduced into the real estate portfolio.Application results have shown its efficiency and robustness in solving the real estate portfolio optimization problems. References | Related Articles | Metrics

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An Investigation of the Optimal Incentive Payment Scheme on Principal-Agent Relations between Owners and Managers ———Discussion of the Relationship between Industrial Types of an Enterprise and Output-Payment GUO Bin, ZHANG Shi-ying, GUO Yan, LENG Yong-gang 2004, (5):  80-84.  Abstract ( 2189 )   PDF (2214KB) ( 2643 )   Save In order to solve the problem of managers’adverse selection and moral hazard brought by the principal-agent relationships of modern firms,owners should establish a set of optimal incentive payment schemes to ex-cite and restrict their behaviors,and hence managers can take effective action for owners in terms of their own benefits.The optimal incentive payment scheme contains five components:fixed-income,informational rent,risk compensation,incentive compensation and the managers’market price.The output-payment of manager is re-lated with the industrial types of an enterprise. References | Related Articles | Metrics

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The Research on Methods of Enterprises’Human Capital to Share Residual Claim GUAN Jun, DUAN Xin-min 2004, (5):  85-90.  Abstract ( 2278 )   PDF (1491KB) ( 2048 )   Save On the basis of broad definition of the concept’human capital’,the paper offers the methods to deter-mine the proportion of human capital’s sharing in the residual claim,then the problem of the form and methods of reallocating the residual claim between entrepreneur human capital and non-entrepreneur human capital is discussed.Thus a new route that can be referred when we research the problem and the related ones is provided. References | Related Articles | Metrics

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Optimization Research on the Development Mode of Chinese Sustainable Development Based on the Multi-Objective Programming CHEN Chang-jie, MA Xiao-wei, WEI Yi-ming, FU Xiao-feng 2004, (5):  91-96.  Abstract ( 2146 )   PDF (1992KB) ( 1614 )   Save The PREEST system model has been put forward based on the population,resource,economy,envi-ronment and science&technology.Then,the integrated evaluation of the sustainable development level in China has been completed during1987～2001by dint of the principal component analysis.At the same time,a multi-objective integrated model for the sustainable development of China has been formulated according to the theory of the multi-objective programming,and a demonstration analysis about the programming research of Chinese sustainable development is introduced with the goal of Chinese10 th Five-Year Plan.Finally,some advice has been given based on the contrast analysis between the traditional development mode and the programming devel-opment mode. References | Related Articles | Metrics

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Study on Education-Economy Input-occupancy-Output Model and Its Application ZHANG Hong-xia, CHEN Xi-kang 2004, (5):  97-101.  Abstract ( 2248 )   PDF (781KB) ( 2244 )   Save In this paper,education-economy input-occupancy-output model is given.Based on the detailed study on the properties of production systems of human capital,the model is applicable in practice.The main con-tents are as follows:(1)Design the education-economy input-occupancy-output table.The production is di-vided into two subsystems,human capital production sector and other sectors.Human capital production sector here is only includes the education sector,and it is reflected by both value flows and physical flows.(2)Input-occupancy-output models about human capital production and allocation and its relationship with other sectors are built,including static and dynamic models. References | Related Articles | Metrics

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Research on High Education Optimal Investment Bilevel Programming Models LI Xia, LIU Jia-zhuang, RONG Xiao-xia 2004, (5):  102-106.  Abstract ( 2174 )   PDF (2102KB) ( 1860 )   Save The investment problem on high education has bilevel characteristic,where the upper level is provincial government and the lower level are colleges.Under the assumption of omitting the support of self-financing de-veloping funds of colleges,one bilevel programming model for high education optimal investment is given using bilevel programming theory.Some important results including existence and equivalent expression of its optimal solution are discussed.An algorithm to find the optimal solution and its complexity analysis are given also.By us-ing the model established,provincial government as well as colleges can get the optimal investment solutions si-multaneously.Some remarks on methods of establishing the optimal investment models and finding their optimal solutions at two different cases,based on considering self-financing developing funds of colleges,are studied also in this paper. References | Related Articles | Metrics

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The Multilevel Gray Evaluation of Total-Property of the Ground-to-Air Missile LI Da-jian, WANG Feng-shan 2004, (5):  107-110.  Abstract ( 2070 )   PDF (1182KB) ( 2184 )   Save According to the tactical and technical demands for the the system of Ground-to-Air Missile,a hierar-chical structure model of the evaluation index system for the total-property is established,and the analytic hierar-chy process(AHP)is applied to calculate the weight on the evaluation indicators.On this basis,a new method for evaluating the total-property of the Ground-to-Air Missile is presented on the principle of the gray system.The method combines the qualitative analysis with the quantitative analysis,with the focus on the latter.The applica-tion of the method shows that the evaluation methos is practical and makes the evaluation for the total-property of the Ground-to-Air Missile more scientific and reasonable. References | Related Articles | Metrics

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Model Analysis of Transparency Level of Knowledge Capital in Learning Alliance WU Hai-bin, LI Yuan, XIE En 2004, (5):  111-115.  Abstract ( 2151 )   PDF (829KB) ( 1614 )   Save In recent years,learning alliance became the most important form of cooperation between firms be-cause of intensive competition and environmental uncertainty.But how to choose the transparency level puzzled the manager of learning alliance.In this paper,on the basis of analyzing the interaction between partners,we use the mathematic model to explain how the transparency affects the investment and profit of alliance and how to choose the best transparency level. References | Related Articles | Metrics

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Game Dynamic Analysis about Incentive-Work-hard between Stockholder and Executive under Complete Information LI Shi-ming, TANG Xiao-wo 2004, (5):  116-119.  Abstract ( 1949 )   PDF (2227KB) ( 1858 )   Save An incentive-work-hard analyzing game model between stockholder and executive is founded based on the firm’s achievement linearizing model and motive linearizing model in this paper.The dynamic equilibrium of game model under complete information is discussed.The executive’s work-hard variable and stockholder incen-tive’s variable are explained and the selected scope and interrelationship about these variables are analyzed fargo-ing.Some useful references for designing executive’s motive mechanism are given. References | Related Articles | Metrics

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Modeling of Project Managerial Behaviors,Compensation and Enterprise’s Monitoring KONG Feng, LIU Hong-yan, QI Jian-xun 2004, (5):  120-123.  Abstract ( 1964 )   PDF (996KB) ( 2635 )   Save Project manager’s speculation behaviors can be relieved by monitoring or incentives.This paper sets up a principal-agent model between a firm and its project manager using game theory.The model is used to analyze managerial speculation behaviors and the relationship between managerial behaviors and firms’monitoring.The concept of firm’s comprehensive monitoring-punishment degree and its critical quantity are put forward.Sug-gestions are given on how to prevent project managers from speculating. References | Related Articles | Metrics

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Minimum Distance Method for Group Pairwise Comparison Judgments FENG Jun-wen 2004, (5):  124-130.  Abstract ( 2104 )   PDF (2230KB) ( 1919 )   Save The general distance concept proposed by Yu and Cook et al.is used to solve the group decision mak-ing problems.Based on the principle of AHP,the aggregation problem for group decision making is defined,the existing approaches of pairwise comparison judgments aggregation are reviewed,and a new aggregation method called Minimum Distance Method(MDM)for group decision making is proposed,and numerical illustrations are given to demonstrate the applicability of MDM.Finally,some possible future research directions in group decision making and AHP related areas are put forward. References | Related Articles | Metrics

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The Management of Outsourcing in Networking Times LIU Jing-jiang 2004, (5):  131-136.  Abstract ( 2037 )   PDF (911KB) ( 2451 )   Save This article comparatively analyzes the differences of outsourcing management between networking times and industry times,the distinctions between management mode of outsourcing of manufacture industry and service industry in networking times.considering china is in the later period of the industrialization as yet,the ac-celerating development of industrialization in China is being promoted by informatization of national economy,the author proposes five mode of outsourcing management which can be selected by enterprises. References | Related Articles | Metrics

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Studies on Corrdinated Evolwtion Laws between Indurty Poipulations and Impirical Analysis LI Wen-hua, HAN Fu-rong 2004, (5):  137-143.  Abstract ( 2333 )   PDF (1232KB) ( 2016 )   Save By defining the concepts of coexistenee,mutual favors,Coordinated evolution and their measurement for two different but some-extent-related industry populations,this paper analyzes the general coordinated evolu-tion law and the impact of continuous improvement,braking-through technological innovation and new techni-cal standard determination on corrdinated evolution and mutual promotion of two industry populations:hardware and software of computers,and puts forward four assumptions. References | Related Articles | Metrics

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Study on Model for Regulation and Control with Tax of Transboundary Water Pollution Dissensions ZHAO Lai-jun, LI Huai-zu 2004, (5):  144-148.  Abstract ( 1940 )   PDF (974KB) ( 1832 )   Save Many problems in management model of appointed quota of pollution reduction and emissions-charge system of China have been analyzed in the paper.Transboundary water pollution dissensions can be sovled by means of tax.Several basic hypotheses have been supposed,and model of structure description of transboundary water pollution is brought forward combining the Chinese circumstances.Stackelberg game model of regulation and control with tax is brought forward,and numerical method of game model is brought forward too.The con-clusion is that management model of regulation and control with tax is superior to that of appointed quota of pol-lution reduction by means of application to Huaihe River Valley.Some factors affecting management model have been analyzed in the end. References | Related Articles | Metrics