Table of Content

28 October 2005, Volume 13 Issue 5 Previous Issue    Next Issue

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The Distribution about Numbers of Claims on Homogeneous Policyholders under NCD System and Stop Loss Insurance MAO Ze-chun, LIU Jin-e 2005, (5):  1-5.  Abstract ( 2294 )   PDF (2071KB) ( 2581 )   Save The effect on numbers of claims has been analyzed under non-claims discount system and stop loss insurance in this paper.By comparing the difference between risk events and claim events,a distribution on claims numbers to homogeneous policyholders has been studied.Moreover,parameters estimation on the distribution is exhibited and some examples are given. References | Related Articles | Metrics

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The Mean-Spectral Measures of Risk Efficient Frontier of Portfolio and Its Empirical Test LI Xiao-ping, LIU Xiao-mao 2005, (5):  6-11.  Abstract ( 2134 )   PDF (2263KB) ( 2040 )   Save Based on the Spectral Measures of Risk(M)-a new approach of coherent risk measures introduced by Acerbi(2002),this paper discusses some properties of Spectral Measures of Risk and one especial cases of this kind of risk,principally studies the Mean-M efficient frontier of portfolio and examines the economic implications under the assumption of normality of risk securities.Moreover,the comparison between the Mean-M efficient frontier,the Mean-Variance efficient frontier and the Mean-ES efficient frontier is provided.Some interesting and practical results are obtained.At the same time,as a generic case,the result of ES accords with that of M corresponsively.Finally,this paper gives the Mean-M efficient frontier of portfolio selected from Shanghai and Shenzhen stock markets using foregoing conclusion. References | Related Articles | Metrics

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A Study of Funds Performance Evaluation Based on a Conditional Two-Factor Measure Model YU Xiang-qian, SHEN Tuan-ying, WAN Wei-wu1 2005, (5):  12-17.  Abstract ( 2085 )   PDF (1554KB) ( 2240 )   Save The excellent funds managers not only have the micro-ability to stock selecting but also have the macro-ability to market timing.The existing models of funds performance evaluation are the single factor model in which benchmark is the excess return of stock index.In fact,funds managers have selecting right among stocks and bond and cash.This paper builds a conditional two-factor measure model,and proves the efficiency of this model using panel data regression skill.The samples are 54 Chinese close-end funds.The conclusion is that the conditional two-factor measure model not only has higher fitness butt also decreases the minus bias of market timing.In addition,Chinese funds managers have the micro-ability to stock selecting and the macro-ability to market timing. References | Related Articles | Metrics

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Research on Information Adjustment Speed of Stocks Price with Different Level of Trading Volume MA Chao-qun, ZHANG Hao 2005, (5):  18-22.  Abstract ( 2133 )   PDF (1899KB) ( 2006 )   Save In this article,we make detailed empirical research on the speed of adjustment to different kind of information among stocks with different level of trading volume.Firstly,we classify information into common information and firm-specific information and do empirical test separately.We find that stocks with high trading volume respond more rapidly to both common information and firm-specific information.But as to the latter one,the speed difference of adjustment is influenced by size of listed company.Secondly,we furthermore separate the common information into good news and bad news.We find that to both of them,the adjustment speed of high volume stocks is significantly higher than low volume stocks,which is different from that of the mature stock market abroad. References | Related Articles | Metrics

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Optimal Investment and Consumption Decisions Including Option GUO Wen-jing, GU Rong-bao 2005, (5):  23-28.  Abstract ( 2179 )   PDF (2269KB) ( 1823 )   Save When option is included in investment objects,how to arrange his(her)investment and consumption proportions is becoming a practical problem faced by all current investors.Under the market conditions supposed in Black-Scholes model and assumption that an investment object is a European call option,in this paper an investment-consumption problem is investigated.A utility maximization model is constructed.By applying the optimal control principle,the optimal investment consumption strategies for the exponential utility function are derived.In addition,the hedging strategies are also presented.The hedging strategies is compared with the optimal strategies,and their relation equation is obtained.Finally,a numerical example is given to verify that the optimal strategies are better than the hedging strategies. References | Related Articles | Metrics

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A Further Study on the Use of the Generalized Sharpe Ratio HUANG Xue-ting 2005, (5):  29-32.  Abstract ( 1983 )   PDF (1078KB) ( 1322 )   Save The generalized Sharpe rule,considering the correlation between the prospective new asset and the existing protfolio held,is a more effective rule for investment decision-making.This paper analyzes the use of the generalized Sharpe rule further,discusses the range within which the prospective asset is worth acquiring,and the determination of optimal investment level,and obtains some important conclusions.This study has practical significance in guiding fund managers’ investment decision making. References | Related Articles | Metrics

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Strategy Research for Online Leasing Problem with Probability Distribution XU Wei-jun, XU Yin-feng 2005, (5):  33-38.  Abstract ( 1961 )   PDF (2315KB) ( 1833 )   Save In economic system,the decision making is representing the online characteristics.Dealing with online decision problem,the traditional Bayesian analysis often depends on the probabilitic assumptions so that it gives out the optimal result in the probability sense.However,there is coming a focus in the algorithmic fields in the recent years,which is the online algorithms and competitive analysis.It gives a new angle of view to deal with online problem,but this method always intentionally avoids probabilistic distribution.For the online leasing problem,beacuse its input structure has a simple and good statistical property,it would be a waste to ignore this knowledge which is precisely what the traditional competitive ratio does.In this paper,we introduce the information distribution of future input into the competitive analysis so as to build online leasing model with probability distribution,and obtain their optimal competitive strategies and competitive ratios. References | Related Articles | Metrics

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Research on Controllable Risk in BOT Projects ZHAO Li-li, TAN De-qing, HUANG Qing 2005, (5):  39-43.  Abstract ( 2139 )   PDF (887KB) ( 2070 )   Save BOT is an investment mode that high revenue and high risk coexist in.Under the condition that project company is unable to grasp uncontrollable risk including political risk,commercial risk,inflation risk,etc,how to avoid controllable capital structure risk,completion risk and revenue risk,etc seems to be more important.Based on the requirement quantitatively deciding project company capital structure,this paper gives the relevant conditions of avoiding the controllable risks through analyzing participation constraint and repay ment constraint. References | Related Articles | Metrics

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An Optimization Model for Combinatorial Double Auction Based on Integer Programming Method FAN Xiao-yong, LIANG Liang 2005, (5):  44-48.  Abstract ( 2145 )   PDF (1852KB) ( 2180 )   Save Combinatorial double auction(CDA) combines combinatorial auction and double auction.Compared with combinatorial auction and double auction,there is very litter documented research on CDA due to its complexity.An optimization model for combinatorial double auction based on integer programming method is established and transformed into single-sided auction,which will benefit to solve combinatorial double auction with the method used for single-sided auction and to make the problem much more easier. References | Related Articles | Metrics

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A Study on Inventory Control of Returned Logistics ZHAO Yi, PU Yun, YIN Chuan-zhong 2005, (5):  49-53.  Abstract ( 2302 )   PDF (1302KB) ( 2336 )   Save This paper deals with inventory systems with product return.Products storage covers both remanufactured product and those new ones in general production process,this makes optimal inventory systems extremely complicated.Some EOQ models are derived which determine the optimal production and reproduction lot sizes for different sort of policies.Moreover,a modified method is proposed to ensure discreteness of the number of orders for production or reproduction.With simple form and simple structure,this model is easy to apply in practice. References | Related Articles | Metrics

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Optimization of Supply Chain Scheduling in Mass Customization Based on Preference Decision YAO Jian-ming, PU Yun, ZHANG Xiu-min 2005, (5):  54-60.  Abstract ( 2016 )   PDF (1943KB) ( 1736 )   Save Based on the stochastic demand and stochastic resources restriction,primary contradictions contained in the supply chain scheduling process in mass customization(MC) are analyzed.It is presented that the rational decision of cooperators’ dynamic profits satisfaction preference is one of the key factors to settle these contradictions effectively.Its subjective and objective factors that effect and decide the preference are defined,the corresponding qualitative and quantitative analysis are carried out,and a profit preference decision model based on the cooperators’ satisfaction benefits is established.It is finally introduced into the MC optimization model.Through the numerical example,analysis approach of this article and validity of the model are verified. References | Related Articles | Metrics

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Game and Incentives in the Information Sharing among Supply Chain Members WANG Ying 2005, (5):  61-66.  Abstract ( 2209 )   PDF (1462KB) ( 2437 )   Save Considering the fact that each of the supply chain members grasps asymmetric information on demanding and supplying,the author analyzes the preconidtions to realize the information sharing among the members.A game model is suggested to share information on demand and cost.The change between the expected profit before sharing and that after sharing is discussed and an incentive mechanism is also proposed to promote the information sharing among the manufactures and the distributors.This incentive mechanism modifies the profit distributed at the point of balanced Nash solution and therefore,with a favorable price and a one-time allowance,the benefits brought by the information sharing of all the supply chain members have been increased. References | Related Articles | Metrics

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Rebate Games between the Supplier and the Retailer in a Two-Stage Supply Chain with Revenue-Sharing Contract WANG Zhuo, L? Ben-fu, DONG Ji-chang 2005, (5):  67-70.  Abstract ( 1942 )   PDF (759KB) ( 1708 )   Save Deciding the rebate between the supplier and the retailer in a two-stage supply chain is a common problem.Supplier’s brand and retailer’s network scale are the two main factors in deciding bargaining power.In this paper,a model containing these two and other important factors is developed and analyzed.Furthermore,a kind of adverse selection resulted from asymmetry information is extended from the result of the model. References | Related Articles | Metrics

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Analyses on the Impact of Game Structure to the Performance of Supply Chain of VMI TANG Hong-xiang, YI Rong-hua, ZHU Wei-ping 2005, (5):  71-78.  Abstract ( 1901 )   PDF (2120KB) ( 1950 )   Save By constructing a multi-phase game model,how the game structure of retailer and supplier will give impact to the performance of supply chian in VMI is analyzed and investigated.The result indicates that when retailer and supplier play a static Nash game in which retailer and supplier make decision simultaneously,the performance of supply chain will become worst,and when one player makes decision first in the game,the performance of supply chain will get improved obviously.In the end,a numerical example is provided to verify the conclusion. References | Related Articles | Metrics

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Practice of Applying Knowledge Flow Model in the Astronautic Enterprise ZHOU Mi, CHENG Wen, HAN Li-yan, ZHANG Hai-feng 2005, (5):  79-86.  Abstract ( 2030 )   PDF (1061KB) ( 2004 )   Save The theories and practices of Knowledge Management(KM)have drawn the attentions of many scholars and enterpreneurs.But they fail to come to consensus on the way of practising KM.Knowledge is the object that needs to be managed.To understand,monitor or even contol the flow of knowledge are the basis of successfully accomplishing KM project.The researches of knowledge flow are focused on describing concepts or modelling the knowledge of patents or cites of paper through the statistical analysis or investigations.Petri Nets is used to model knowledge flow which can not only describe the topology of knowledge distribution,but also be used to calculate the storage,flux and velocity of knowledge flow.With these characteristics,the managers can monitor and manage the flow of knowledge much easilier.Then the knowledge model based on Petri Nets is applied in astronautic enterprise.In the empirical research,this model’s ability on depicting knowledge flow is illustrated.Through the analysis of the current statue,ways could be found to improve the efficiency of knowledge flow to reach the goals of KM. References | Related Articles | Metrics

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Research on TOU Rate Design Optimization Model LIU Yan, TAN Zhong-fu, QI Jian-xun 2005, (5):  87-92.  Abstract ( 2872 )   PDF (992KB) ( 4154 )   Save As one special time-of-use(TOU)rate,peak and valley time price is one of the measures for implementing demand side management(DSM) and beneficial to flattening the load curve if the peak and valley time periods are partitioned appropriately.The economical significance for the power suppliers and customers,the structure of TOU rate based on peak-valley,and the peak and valley time period partition approach are expounded by using price theory and economics theory.A TOU price target model is proposed based on the previous analysis,a model of the customer demand response to the TOU is thus presented from many references to a general customer demand response model.A new approach to peak-valley time-period partitioning and TOU rate setting is thus presented by optimizing the TOU price model as above of performance function in DSM.The numerical simulation results show that the method is feasible and reasonable. References | Related Articles | Metrics

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An Integrated and Dynamic Multi-Object Trade-Off Mechanism Model Based on Process Management in Construction Project CHEN Jian-hua, LIN Ming, MA Shi-hua 2005, (5):  93-99.  Abstract ( 2129 )   PDF (1848KB) ( 2261 )   Save Aiming at practical requirments of present project management and control,the paper presented to construct integrated multi-object trade-off model based on project process management,so as to actualize integrated and dynamic trade-off of the multi-object system of project.Based on analyzing basic principle of dynamic controlling and integrated multi-object trade-off system process,the paper integrated method of cybernetics and network technology,through monitoring on some critical reference points according to the control objects,emphatically discussed the integrated and dynamic multi-object tradeoff model and corresponding rules and mechanism in order to realize integration of process management and trade-off of multi-object system. References | Related Articles | Metrics

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Utility Function of Alliance Number and Its Solution under Project Cooperation Based on Resources WANG Liang, YANG Nai-ding 2005, (5):  100-104.  Abstract ( 2065 )   PDF (2245KB) ( 1554 )   Save In this paper,from the angel of project,it is first assumed that alliancing members’ work together to process a project with equipment,labor force and capital.The greatest output of project could be forecasted.Afterwards,on the basis of constructing utility function of profit,resources constraint,resources input risk,asynthetical utility function is obtained.With above work,another utility function model is established under the condition of many cooperate members.Finally,using one kind of new neural network,we have carried on the imitation resolution as the variable value of the latter model. References | Related Articles | Metrics

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Network Externalities,Differentiation Competition And Dominant Tactics WANG Guo-cai 2005, (5):  105-110.  Abstract ( 2064 )   PDF (2196KB) ( 1921 )   Save The paper analyzes an extended Hotelling model with network externalities,and carries out the research on the impacts that network externalities put on competition tactics of companies.The paper puts forward and demonstrates undermentioned theoretic propositions:market share(not quality) is not only the focus of competition,but also the key of market success.Finally,the paper gives the details about dominant tactics. References | Related Articles | Metrics

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The Stability of R&D Alliance:the Perspective of Learning and the Dynamic of Complementary Capability REN Sheng-ce, XUAN Guo-liang 2005, (5):  111-115.  Abstract ( 1916 )   PDF (904KB) ( 1760 )   Save R&D cooperation becomes the common strategic choice to pursue innovation,but the usual phenomenon is the collaboration lasting only for short period,and the formation of the cooperation organization is more loosing nowadays.On the basis of the Sinha & Cusumano’s(1991)model,this paper incorporates the factor of learning into the model,further the analysis of complementary factor.Finally comes the conclusion that learning is a key factorto influence the stability of the collaboration. References | Related Articles | Metrics

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The Classification and Research Progress of Supply Chain Management Model GAO Jun-jun, WANG Ying-jun, GUO Ya-jun, LÜ Qin 2005, (5):  116-125.  Abstract ( 2399 )   PDF (2459KB) ( 3612 )   Save This paper first classifies supply chain management(SCM)models according to the following two layers based on the SCM literatures.The first layer is to determine the research direction and modeling methods and the second layer is to determine the concrete research contents in SCM modeling.Then,the research scenarios and research progress of the main problems in SCM are reviewed,which conclude the inventory problems in SCM,the information flow and its value in SCM,supply chain coordination and contract problems.Finally,some open problems and research interests about SCM models are proposed. References | Related Articles | Metrics

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Study of Multi-Factor Data Barycenter Forecasting and Applications ZHANG Qun, ZHANG Ji-lin 2005, (5):  126-129.  Abstract ( 2182 )   PDF (1230KB) ( 1603 )   Save A new and useful parameter estimation method was presented in light of the stability of gravity center of object in this paper.This method could deal with the fitting and forecasting of economy volume and could greatly decrease the errors of the fitting and forecasting results.Moreover,the strict hypothetical conditions in least squares method were not mecessary in the method presented in this paper,which overcame the shortcomings of least squares method and expanded the application of data barycentre method.Application to the steel consumption volume forecasting was presented in this paper.It is shown that the result of fitting and forecasting was satisfactory.From the comparison between data barycentre forecasting method and least squares method,we could conclude that the fitting and forecasting results using data barycentre method were more stable than that using least squares regression forecasting method,and the computation of data barycentre forecasting method was simpler than that of least squares method.As a result,the data barycentre method was convenient to use in technical economy. References | Related Articles | Metrics

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Qualitative Simulation for Nonprofit Group Behavior by Integrating CA and QSIM HU Bin, YIN Fang-fang 2005, (5):  130-136.  Abstract ( 2174 )   PDF (1366KB) ( 1766 )   Save A qualitative simulation for nonprofit group behavior is proposed by integrating QSIM(Qualitative SIMulation) and CA(Cellular Automata).CA based method is used in description for group behavior,characteristic of member and environmental factor.Based on it,transition of successor behavior state,filter and simulation engine are proposed in terms of notions in QSIM.The concept of fidelity-cost equilibrium is presented to design filter.The proposed method is coded by Visual Basic 6.0.Validation of the proposed method is tested by simulation with eight naive experimental designs.Simulation results in application show that the proposed method can be served as a virtual experiment tool for decision making in management of nonprofit group. References | Related Articles | Metrics

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Analysis on Small-Medium firms’ Technical Compatibility of Imitation Strategy ZHAO Zheng-long, CHEN Zhong, SUN Wujun, YANG Jian-xia 2005, (5):  137-141.  Abstract ( 2095 )   PDF (1492KB) ( 1594 )   Save The paper describes the technology imitation behavior by introducing the efficiency coefficient of imitation,converts the compatibility cost to endogenous cost of imitation and degree of compatibility.From the point of the compatibility,this paper analyzes the compatibility choice in the course of improving quality of product by imitation strategy in the market with network externalities.Results show that in the premise of indistinctive effect of imitation,small-medium firms are inclined to choose compatibility in order to share installed base for the sake of reducing the gap between large-scale firms and themslves.When efficiency of imitation satisfies the definite condition,there is the optimal degree of technical compatibility,which maximizes the samll-medium firms’ profit. References | Related Articles | Metrics

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An Empirical Research on the General Manager Overconfidence and Investment Decision for the Listed Companies HAO Ying, LIU Xing, LIN Chao-nan 2005, (5):  142-148.  Abstract ( 3986 )   PDF (1046KB) ( 5040 )   Save From the behavioral corporation finance viewpoint,this paper studies the relationship between the general manager’s overconfidence in Chinese listed company and the corporation investment decision with theoretical and empirical analysis.The conclusion is:(1)A quarter of general managers possess overconfidence characteristic in the listed company of actualizing stock incentive.(2)The general manager’s overconfidence is not only positive relativity with the corporation investment level,but also the investment level of them is more sensitive to cash flow than the level of moderate managers else.(3)The investment-cash flow sensitivity is positive relativity with the decreasing of equity capital financing.(4)The overconfident general manager is more likely to result in inefficient overinvestment behavior in corporation decisions,under the especial stock arrangement and corporation governance structure of Chinese listed company. References | Related Articles | Metrics