Table of Content

28 February 2005, Volume 13 Issue 1 Previous Issue    Next Issue

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An Application of the TDBPNN Model Based on Bayes’ Regularization to Forecasting China’s Foreign Trade and Evaluation ZHU Shu-jin, LAI Ming-yong 2005, (1):  1-8.  Abstract ( 2309 )   PDF (1945KB) ( 2015 )   Save Based on nonlinear prediction ideas of reconstructing phase space,this paper presents a time delay BP neural network model,whose generalization is improved utilizing Bayes’ regularization.Furthermore the model is applied to forecast the import and export trades in China.The results show that the improved TDBPNN model has excellent generalization capabilities,which can not only learn the historical curve,but efficiently predict the trend of trade development.In contrast to conventional evaluation of forecasts,we assess the model by calculating the nonlinear characteristics of the predicted and original time series besides analyzing the precision of forecasting.The estimated values demonstrate that the dynamics of the system producing the original series has been reasonably captured in this model. References | Related Articles | Metrics

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Research on a Dynamic Investment Decision Model with Constraint of Investment Chance PENG Da-heng, YAO Yuan-duan 2005, (1):  9-13.  Abstract ( 2089 )   PDF (2265KB) ( 2031 )   Save In Black-Scholes type financial markets,the CaR dynamic portfolio decision model with constraint of investment chance is established as following: , where x is the initial wealth,P(t=(P1(t),,,Pd(t)c I Rd is the process of feasible portfolio,XP(T)is the terminal wealth, R is a positive wealth level given by investor and 0<β<1.The explicit solutions for this model are obtained in terms of the optimal constant rebalance strategy.The financial interpretations of the results include that,for portfolio decision with constraint of investment chance,the optimal constant rebalance strategy is pure bond investment strategy and the optimal Capital-at-Risk is zero in neutral risk markets,and the optimal constant rebalance strategy implies the mutual fund theorem in non-neutral risk markets. References | Related Articles | Metrics

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The Theoretical Explanation of CAPM Anomalies Based on Value Decomposition GUO Lei, WU Chong-feng 2005, (1):  14-18.  Abstract ( 2436 )   PDF (2125KB) ( 2640 )   Save This paper firstly decomposes the market value of stocks into intrinsic value and market-trading value.Then it is strictly deduced that the biases of empirical β of CAPM deviates from the real one contains scale bias and firm-specific ones which fundamentally conduce CAPM anomalies.Furthermore, it demonstrates the dynamic characters of bias structure of CAPM’s empirical β. In addition,appropriate theoretic explanation is supplied for Fama and French’s three-factor model. References | Related Articles | Metrics

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Estimation of Market Timing of Funds-A new Model and The Seemingly Unrelated Regression Equations SHEN Tuan-ying, QIU Chang-rong, LIU Hua-fang 2005, (1):  19-23.  Abstract ( 2305 )   PDF (1428KB) ( 2632 )   Save There is a bias in which market timing ability of funds is negative among all models estimating the performance of funds.This paper constructs the skewness adjustment conditional quadratic model based on the quadratic regression model of Treynor and Mazuy.By the empirical analysis of Chinese security investment funds,we prove that this model is more effective and erases the bias of negative market timing ability.Because there are series relations among the excess returns of security-investment funds,they are inefficient estimators using OLS or GLS for the time series of the excess returns of security investment funds.The paper evaluates the performance of Chinese funds using seemingly unrelated regression equations (SURE),and analyzes comparatively the estimators between OLS (GLS) and SURE.The result is the conclusion of SURE is much more efficient than that of OLS (GLS). References | Related Articles | Metrics

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The Weighting Function of Prospect Theory and Stock Returns Distributions DONG Da-yong, SHI Ben-shan, ZENG Zhao-you 2005, (1):  24-29.  Abstract ( 2278 )   PDF (1703KB) ( 2268 )   Save This paper put forward that the stock returns could generate some attributions such as "excess kurtosis and fat tail" etc.because of the effect of investor’s subjective probabilities.We set up the subjective probabilities of the returns distributions based on the weighting function of the prospect theory.We deduced the "fat tailed distributions",the middle shape and the whole shape special characters of the return distributions in our model.Furthermore,we analyzed empirically by using the distributions of the real returns of 441 stocks on Shenzhen Stock Market and got the result that empirical testing is consistent with the characters deduced from the model proposed by the paper. References | Related Articles | Metrics

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A Long-Term Trend Forecasting Approach for Oil Price Based on Wavelet Analysis LIANG Qiang, FAN Ying, WEI Yi-ming 2005, (1):  30-36.  Abstract ( 2371 )   PDF (1263KB) ( 3894 )   Save This paper applies the wavelet method to the oil price long-term trend forecasing.By using the function of wavelet multi-scale analysi,we propose an approach which can accurately predict the future long-term trend of oil price according to the oil price time series.The advantage of the wavelet long-term trend forecast approach is that it can abstract the long-term trend of the oil price accurately and realize the non-linear characteristic of the oil price movements.Thus depending on the historical time series of the oil price,we can figure out the long-term multi-step forecast in a long future.The empirical research is constructed for an one-year long-term trend forecasing of the Brent oil price.By the comparison between the forecast result of this approach with the those of some other time series prediction approaches such as ARIMA,GARCH,Holt-Winters,we demonstrate that the predicted power of the wavelet long-term trend forecast approach in the oil price long-term trend prediction is much better than many other time series forecasting approaches. References | Related Articles | Metrics

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Supply Chain Coordination Model in Demand Forecast Update Conditions with Symmetric Information CHEN Jin-liang, XU Yu, JIA Tao 2005, (1):  37-41.  Abstract ( 2391 )   PDF (1387KB) ( 2364 )   Save Facing the lack of response to uncertain demand in traditional ordering mode,based on the model of the demand forecast update ordering mode,compared the profit of supply chain and the optimal ordering level of the two different mode.Then,in order to solve the double marginalization problem induced by the wholesale price contract in demand forecast update mode,the revenue sharing contract model was made,the solution to the problem and some useful conclusions were drawn. References | Related Articles | Metrics

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A Genetic Algorithm Approach to Location-Allocation Problem in Reverse Logistic Network ZHOU Gen-gui, CAO Zhen-yu 2005, (1):  42-47.  Abstract ( 2664 )   PDF (1471KB) ( 3768 )   Save Driven by growing environmental concern,legislative regulation and economic profitability,manufactures concern more and more about the physical design of the reverse logistic network,which is a problem belonging to a class of facility-location problems.This paper develops a capacitated location-allocation model with reverse logistics to find the location and capacity of return centers and distribution centers.Efficient GA is developed to solve the problem,compared with partly enumerated method. References | Related Articles | Metrics

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Study on the Technology Assessment Methods Matching Based on Analysis of Attributes XU Ming-qiang, TAN Yi, TONG Yun-huan 2005, (1):  48-52.  Abstract ( 2090 )   PDF (593KB) ( 1807 )   Save This paper gives a normative description framework on the attributes of different evaluation methods.With the analysis and construction of attribute table,the comparisons between different methods become easier,and this table offers a model to put various methods into database.The OOP description means offer a platform which is easy to add new attributes of methods into it.The attribute based,normative and extendable description way casts light on the settlement of the matching problem between evaluation objects and evaluation methods. References | Related Articles | Metrics

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Research on the Substitutable Product Inventory Model and Its Application SU Bing, XU Yu, CHEN Jin-liang, WU Jun 2005, (1):  53-59.  Abstract ( 1965 )   PDF (1605KB) ( 2080 )   Save A practical numerical analysis and simulation on the single-period double-persons game model for substitutable product inventory problem is given and a suggestion to policy-maker is also given based on compareing order strategies of different behaviors. References | Related Articles | Metrics

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An Optimization Model for Promotion Mix Strategy Based on RFM Analysis ZHAO Xiao-yu, HUANG Xiao-yuan, SUN Fu-quan 2005, (1):  60-64.  Abstract ( 2485 )   PDF (757KB) ( 3435 )   Save Promotion plays an important role in marketing strategy.In the past,each promotion campaign was usually planned separately and the target customers are selected blindly.To solve the above problems,an optimization model for promotion mix strategy based on RFM analysis is presented in this paper,multiple promotion campaign candidates are evaluated as a whole to select optimal promotion campaigns mix and target customers.The object of the model is to maximize the whole response rate and expected investment return. References | Related Articles | Metrics

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Study on Investment Decision Making in Upgrading Product YANG Yong, DA Qing-li 2005, (1):  65-70.  Abstract ( 1922 )   PDF (1747KB) ( 1835 )   Save In this paper,we study the problem on investment in upgrading product under duopoly market structure with options game theory.Optimal time of investment in upgrading product is analyzed under preemption equilibrium and simultaneous equilibrium.The result indicates that decreasing the price of product leads to a lower optimal investment threshold.The result is consistent with the intuition in the management practice.Thus theoretical guide to investment in upgrading product is proposed. References | Related Articles | Metrics

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Optimal Capacity Allocation Model of Ocean Shipping Container Revenue Management Considering Empty Container Transportation BU Xiang-zhi, ZHAO Quan-wu, HUANG Qing, WU Zhen-ye 2005, (1):  71-75.  Abstract ( 2164 )   PDF (1642KB) ( 3015 )   Save Based on revenue management,the capacity allocation problem of container ocean shipping industry is studied quantitatively under demand uncertainty.Firstly,the difference is described between container ocean shipping revenue management problem and airline revenue management problem.Then two stochastic programming models are developed on capacity allocation with and without empty containers transportation involved,and which are solved by the method of robust optimization.Finally we explained the application value of the models and methods to the container ocean shipping companies by digital simulation. References | Related Articles | Metrics

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Study on the Information Sharing Performance Based on the Vertical Monopolization YANG Bo, TANG Xiao-wo, AI Xing-zheng 2005, (1):  76-81.  Abstract ( 2359 )   PDF (1255KB) ( 2553 )   Save At the hypothesis of vertical monopolization,this paper studied the information sharing performance under two vary supplies contract,The one only stipulated the supplies price.the other synchronously stipulated the price and quantities.Also we got the perfect sequential equilibrium. References | Related Articles | Metrics

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Market Power Analysis of Different Price Decision System in Oligopoly Market YANG Li-jun, QI Jian-Xun, TAN Zhong-fu, LIU Yan 2005, (1):  82-89.  Abstract ( 2470 )   PDF (2414KB) ( 4168 )   Save This paper builds three new game models of price decision systems in oligopoly market and figures out equilibrium results of them.Then calculates the market power of each system based on its equilibrium price and analyzes the market power of different systems contrastively,besides,construes effects of different factors on market power of different systems by example in order to find out important factors and the trends of market power development.Studying results will be expected to recognize and restrain the market power in oligopoly market effectively used by regulation organization. References | Related Articles | Metrics

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Members Dynamic Selection Based on Simulated Annealing Algorithm in Virtual Enterprise SU Shi-bin, HUANG Rui-hua 2005, (1):  90-94.  Abstract ( 2103 )   PDF (708KB) ( 1761 )   Save To comply with the need of competition in the era of knowledge-dominated 21st century, appears advanced manufacturing model of virtual enterprises in manufacture industry,which makes the study on virtual enterprise as one of hot topics in academy.At present,the study on partners selection of virtual enterprises focuses in the selection as constructing virtual enterprise,it is a tacit selection,which is unfit for the "agile" characteristic of virtual enterprises.Because of the intangibleness,spillover,non-terrain of knowledge and competitive collaboration among partners,intellectual assets conflict will happen in virtual enterprise inevitably,which give rise to the dynamic iteration of partners in virtual enterprise.Therefore,based on the minds of Simulated Annealing Algorithm,the article designs an algorithm to resolve dynamic selection for the members in dynamic alliance,the algorithm solves the question how to select and eliminate the members in virtual enterprise well,the case indicates that the algorithm is fit to the operation in fact.Of course,when applying simulated annealing algorithm,there some new problems which should be studied further. References | Related Articles | Metrics

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Variable Precision Rough Sets Methodology for Probabilistic Rules Discovery from a Multi-Criteria Decision Table PAN Yu, JIAN Li-rong, DA Qing-li 2005, (1):  95-100.  Abstract ( 2060 )   PDF (2331KB) ( 1903 )   Save An extension of variable precision rough sets model is proposed by dominance relation instead of indiscernibility relation,which can derive probabilistic rules from multi-criteria decision tables.The model can deal with possible inconsistencies in multi-criteria decision tables,obtain probabilistic decision rules made up of preference actions.Based on these rules,a preference model from example decision systems is inferred.Research results show that the minimal set of probabilistic decision rules obtained from a multi-criteria decision table by dominance relation has a smaller number of stronger rules and a smaller number of conditions. References | Related Articles | Metrics

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Study on the Method for Grey Incidence Decision-Making LUO Dang, LIU Si-feng 2005, (1):  101-106.  Abstract ( 2498 )   PDF (2304KB) ( 3363 )   Save This paper discusses the advantage and disadvantage of classical grey incidence decision-making.Firstly,it introduces a method based on ideal project for maximum grey incidence degree;a method based on critical project for minimum grey incidence degree,and integrated incidence degree method together with some relational concepts based on both ideal and critical projects,which consists of incidence degree coefficient formula and relative incidence degree coefficient formula for interval grey numbers.Secondly,three types of incidence degree decision-making arithmetic mentioned above are put forward.Then,it points out that incidence degree coefficient formula for interval grey number and maximum incidence degree method are generalizations of classic incidence degree coefficient formula and grey incidence decision-making,respectively,while methods for minimum grey incidence degree and integrated incidence degree are generalizations of method for grey incidence decision-making.Finally,an example shows the rationality of grey incidence decision-making and the validity of the arithmetic mentioned above. References | Related Articles | Metrics

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Dynamic Model of Knowledge Alliance Based on Knowledge Spillover and Absorptive Capability WANG Juan-ru, ZHAO Song-zheng, YANG Jin 2005, (1):  107-110.  Abstract ( 2100 )   PDF (824KB) ( 2404 )   Save This paper discusses the relationship between absorptive capability and R&D investment,establishes two phases dynamic non-cooperation game of R&D activities based on knowledge spillover and absorptive capability in knowledge alliance,then the conditions for the existence and the uniqueness of Nash equilibrium are put forward,and the importance of absorptive capability for R&D activities in knowledge alliance is analyzed. References | Related Articles | Metrics

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Research on the Integrated Intelligent Comprehensive Evaluation System for the Development Level of Free Trade Zones in China WANG Zong-jun, CUI Xin, GUO Zong-lin, ZHOU Qing-wei 2005, (1):  111-116.  Abstract ( 2286 )   PDF (1048KB) ( 1765 )   Save On the basis of the theory and methods of decision support system,by comprehensively using artificial intelligence,experts system,fuzzy sets,factor analysis and so on,this paper has proposed a comprehensive evaluation index system for development level of Free Trade Zones in China,presented the basic structure framework of the Integrated Intelligent Comprehensive Evaluation System(IICES) for development level of Free Trade Zones in China,discusses the implementation techniques and methods of IICES,and gives the application example of IICES. References | Related Articles | Metrics

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The Analysis on the Principal-Agent Model of a Product Line Design LI Shan-liang, ZUO Min, ZHU Dao-li 2005, (1):  117-121.  Abstract ( 2192 )   PDF (1212KB) ( 1662 )   Save In the competition strategy,an important question is how a firm can optimally design and price a product.In this paper,we make a detailed analysis about how a firm design the screening contract to find the best solution in the circumstance of information asymmetry and derive the general conclusion. References | Related Articles | Metrics

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Value Analysis on Non-Material Incentive in Combination Incentive to Managers CHEN Shuang-ying, TANG Xiao-wo, NI De-bing, MA Yong-kai 2005, (1):  122-126.  Abstract ( 2100 )   PDF (934KB) ( 2789 )   Save The paper discusses the value of non-material incentive to managers with all portions of material incentive to managers and risk aversion based on combination incentive to manager,according to manager as risk aversion and the portions of the material incentive as exogenous variable.There are theoretical value and practical value. References | Related Articles | Metrics

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Manager’s Over-Investment and Stock Incentives:A Contract Model WANG Yan, SUN Pei-yuan, YANG Zhong-zhi 2005, (1):  127-131.  Abstract ( 2042 )   PDF (1468KB) ( 2836 )   Save There exist agent costs because of different targets between shareholders and managers.Managers own private information on investment due to information asymmetry.Managers will over-invest in the specific investment for purpose of entrenchment to realize control benefits,which damages the benefit of shareholders.In this paper we build a simple contract model between shareholders and managers.Shareholders offer part of shares to the managers for effective incentives.After obtaining the perfect share ratio to managers,we discuss the comparative static analysis on perfect share ratio and over-investment when risk attitude of managers,investment risk and ability gap between current managers and alternative managers happen to change. References | Related Articles | Metrics

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The GM Models that x(1)(n) be Taken as Initial Value DANG Yao-guo, LIU Si-feng, LIU Bin 2005, (1):  132-135.  Abstract ( 2384 )   PDF (820KB) ( 3160 )   Save Since grey system theories were established by Prof.Deng,GM models and their improvement model all regarded the first vector of original sequence as the initialization,which resulted in deficiency using the latest information.Based on the principle in which new information should be used fully,we think it is a scientific way to pay more attention to the new information or endow them a more weight.So,this paper deals with the GM improvement in regarding the n-th vector as the initialization,and gets great improvement in forecasting precsision.Last,we validate the practicability and reliability of the models with examples. References | Related Articles | Metrics

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Study on Undergraduate Teaching Evaluation for Higher Education ZHANG Zhi-ying, ZHANG Yan-tong 2005, (1):  136-140.  Abstract ( 2218 )   PDF (611KB) ( 2099 )   Save College rankings and evaluation of higher education are becoming issues of more attention of people in the world.This paper looks back on the course of the evaluation for higher education in China,sets forth some existing problems,and presents some advice for perfecting quality assurance system for higher education. References | Related Articles | Metrics

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In Search of the Best Human Resource Practices in China’s Chain Stores LIU Shan-shi, ZHOU Qiao-xiao, CHAO Gang 2005, (1):  141-148.  Abstract ( 2861 )   PDF (1692KB) ( 4433 )   Save This paper analyzed a recent survey of human resource practices from 83 chain stores in China.It differentiated managerial staff (core) and operating employees according to different types of human resource configurations.It also identified high and low adoption based on bundling of HR practices using cluster analysis.The impact of HR practices alignment on enhancing firm performance was evaluated using high adoption cluster.The findings advance our knowledge in the HPWS literature and offer important insights for executives in formulating effective HRM strategies. References | Related Articles | Metrics