Table of Content

28 April 2006, Volume 14 Issue 2 Previous Issue    Next Issue

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Gradual Disclosure and Risky Asset Pricing WU Wei-xing 2006, (2):  1-6.  Abstract ( 2047 )   PDF (1482KB) ( 1717 )   Save The insiders of public company who have more information about the company than other investors should disclose their information to all the investors,and they will disclose their information in the interest of themselves.Different from the early models,we assume the information that the insiders disclosed should be correct and full.In the same time,we assume that the insiders can disclose the information during a certain time period.This paper derived the equilibrium price of risk asset in this setting. References | Related Articles | Metrics

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Optimization of the Mean Semi-absolute Deviation Portfolio Selection Model with the Restricted Short Selling Based on the Pivoting Algorithm ZHANG Peng, ZHANG Zhong-zhen, YUE Chao-yuan 2006, (2):  7-11.  Abstract ( 2138 )   PDF (1076KB) ( 2073 )   Save We propose a mean semi-absolute deviation portfolio selection model with the restricted short selling.The model is a linear programming problem and is solved by the pivoting algorithm.At last,we prove the algorithm is highly effective and the restricted short selling can increase the efficiency of the security market by an example. References | Related Articles | Metrics

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The Study of A Mean-VaR Portfolio Model including Riskfree Security AN Qi-Guang, WANG Hou-Jie 2006, (2):  12-15.  Abstract ( 2250 )   PDF (1248KB) ( 2149 )   Save According to Markowitz's analysis of mean-VaR portfolio model and the constraint of investment chance model,under the assumption that the rates of return of portfolio are normal random variables,a mean-VaR portfolio model including riskfree securities is established under constraint of investment chance.Existence and uniqueness of the model's optimal solution are discussed on the base of mean-VaR model's effective border.We introduce the constraint of investment chance and obtained the explicit representation of the optimal solution. References | Related Articles | Metrics

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Management Short-horizon,Investor Sentiment and Corporate Investment Distortion in China Stock Market LIU Duan, CHEN Shou 2006, (2):  16-23.  Abstract ( 2248 )   PDF (2299KB) ( 2480 )   Save This paper investigates the direct effects of investor valuations on China corporation investments under management short-horizon resulted from stockholder short-horizon.By comparing usual-used market valuation index,marketto-book ratio,with new misprice index,non-equilibrium price,this paper analyzes the effects of investor sentiment on corporate long-turn investment,short-turn investment and total investment under different management short-horizon levels.And it also surveys the mix effects of market misprice and management short-horizon on corporate investment distortion.It concludes that the higher the market misprice is,the more corporation invests,and if the level of management short-horizon is higher,the investment is more sensitive to market valuation.Furthermore,long-turn investments are more sensitive to market valuations expressed by non-equilibrium price,and short-turn investments are more sensitive to market valuations expressed by market-to-book ratio.The latter sensitivity shows that China stock market is not efficient,and market-to-book ratio can reflect investor irrational valuation psychology. References | Related Articles | Metrics

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Review on Continuous-Time Equity Return Models in Financial Engineering HU Su-hua, ZHANG Shi-ying, ZHANG Tong 2006, (2):  24-32.  Abstract ( 2168 )   PDF (2539KB) ( 3400 )   Save Firstly,this paper surveys and assesses the development and main fruits of continuous-time equity return models during the last 30 years.Then it discusses the estimation methods of these models,and mainly studies the McMC method.In the end,we also point out the new areas of future research along these lines. References | Related Articles | Metrics

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Bayesian Credibility Model for Experience Rating Based on MCMC Method LIN Jing, HAN Yu-qi, ZHU Hui-ming 2006, (2):  33-38.  Abstract ( 2235 )   PDF (2331KB) ( 1959 )   Save B黨lmann-Straub model is one of the most famous applications of the Bayesian method for the experience rate making.However,by the traditional B黨lmann-Straub model one cannot get the unbiased posterior estimation of the parameters when there is not sufficient prior information for the structural parameters;What's more,the difficult of computing high dimension numeration limits the application of Bayesian method.This paper introduces the Markov chain Monte Carlo simulaton method based on the Gibbs sampling after analyzing the structure of the B黨lmann-Straub model and sets up the Bayesian credibility model for estimating the predictive risk premium.Also by using the results of the numeration analysis,this paper proves that from this model one can get the posterior distributions of the parameters dynamically and the posterior estimation of the censoring parameters in the situation that exists unknown parameters,as well as improve the precision of the numeration,which can be helpful to find the heterogeneity of the premium. References | Related Articles | Metrics

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Evaluation of Enterprise's Credit Risk Based on Mixed Integer Programming Approach XUE Feng, KE Kong-lin 2006, (2):  39-44.  Abstract ( 2109 )   PDF (1967KB) ( 1986 )   Save Mixed integer programming approach is used to construct the evaluation model of enterprise's credit risk in this paper,and is applied to credit risk evaluation in commercial banks.The model is characterized by the non-parametric test,and don't require normal distribution and equality of matrix of covariance.With the method of two-staged classification process,the paper discriminated the credit conditions of enterprises.Empirical study shows that mixed integer programming approach has a higher predicting ability. References | Related Articles | Metrics

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Time-Satisfaction-Based Maximal Covering Location Problem MA Yun-feng, YANG Chao, ZHANG Min, HAO Chun-yan 2006, (2):  45-51.  Abstract ( 2284 )   PDF (1951KB) ( 4239 )   Save The classical facility location problems think little of time,which is a critical issue for a company to gain its competitive advantage nowadays.In the light of this situation,this paper defined the time satisfaction function and presented the Time-Satisfaction-Based Maximal Covering Location Problem(TSBMCLP).Given a discrete network G(V,A),we formulated TSBMCLP as an integer programming under the goal of maximizing the total satisfaction of customers to the service facility's response time.After investigating the characteristics of TSBMCLP,we provided a heuristic algorithm based on Lagrangian relaxation and coded the algorithm in MATLAB to solve the range of problems considered,the computational result was analyzed after experiment. References | Related Articles | Metrics

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Retail Shelf Linear Subsidy Policy and Supply Chain Coordination JIA Tao, XU Yu, ZHAO Liu-chao 2006, (2):  52-57.  Abstract ( 2207 )   PDF (1285KB) ( 1601 )   Save This paper considers a supply chain consisting of a supplier and a retailer.The supplier provides an item to the retailer facing demand assumed to be randomly increasing in the shelf space allocated to that product;the retailer's effort cost is a non-linear function as the shelf space is a limited resource.When the retailer chooses shelf space before observing demand,the shelf space subsidy policy may improve the efficiency of the channel;if the retailer chooses shelf space after observing demand,the subsidy policy reduce the efficiency.Because the level of retailer's effort is verifiable,coupling buy back with a linear subsidy mechanism for the shelf space,the supplier could coordinate the channel,which is based on the sequence of the inventory and the effort decision of the retailer.For the different sequence the supplier have to choose completely different coordinating procedure.Finally the results were analyzed by conducting numerical examples. References | Related Articles | Metrics

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Discrete Time/Cost Trade-offs in Project Scheduling with Time-switch Constraints ZHANG Jing-wen, XU Yu, HE Zheng-wen 2006, (2):  58-64.  Abstract ( 2339 )   PDF (1513KB) ( 2213 )   Save The discrete time-cost trade-offs problem(DTCTP,for short) is a most widely concerned with bi-criteria optimization model in project scheduling literatures,which has been studied under three possible objectives.(1)P1:the so-called deadline problem involves the scheduling of project activities in order to minimize the total cost of the project while meeting a given deadline.(2)P2:the budget problem aims at minimizing the project duration without exceeding a given budget.(3)P3: the time/cost profile problem involves the generation of the complete efficient time-cost profile over the set of feasible project durations.However,the literature on the DTCTP with time-switch constraints are sparsely paid attention.In this paper,we firstly introduce the problem description of time-switch constraints,and then build the arithmetic model of the DTCTPTSC_P2;From the point view of practicality,a genetic algorithm is developed to solve the model.Finally,a project example based on real-life situation is used to validate the model and the algorithm.At the same time,the results show that the model plays an instructional role for contractor to more closely control the project's scheduling. References | Related Articles | Metrics

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The Research to Second-level Earned Value Method For Improve Performance Measurement of Engineering Project CHANG Qing, JI Ge-di, LI Chang-qing 2006, (2):  65-70.  Abstract ( 2273 )   PDF (1143KB) ( 3175 )   Save Earned value method is widely used in project management in the world. This paper observes the disadvantages and limitations of traditional earned value method from project management point of view and puts forward a practical method,which is called second-level earned value method combined with project network diagram.It corrects the deviation derived from traditional earned value method when forecasting the duration and cost,and it supplies more analysis information than traditional earned value method. References | Related Articles | Metrics

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Group Decision-making for Risk Avoidance in Software Project Bidding Based on VPRS XIE Gang, ZHANG Jin-long 2006, (2):  71-76.  Abstract ( 2285 )   PDF (1139KB) ( 2002 )   Save This paper develops an algorithm based on variable precision rough set theory,which can be used to adjust classification error in decision table consiting of risk exposure(RE) of software project bidding.In order to reflect experts' ability,impartiality and carefulness roundly during the course of group decision-making,each expert is endowed a weight.Integrated risk exposure(IRE) of projects and risk indices is computed,then risk avoidnace measures,the rank of risk avoidance strength and risk avoidance methodology are discussed. References | Related Articles | Metrics

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On Multidimensional Auctions Mechanism Design under Different Quality Preference Scoring Rule ZHANG Han, ZHOU Rong, WANG Hao 2006, (2):  77-81.  Abstract ( 1963 )   PDF (1134KB) ( 1703 )   Save This article studies the design of multidimensional auctions,when firms bid on both price and non-price(quality).We have built a new scoring rule on the basis of Che Model's by adding a parameter,and studied the equilibrium of the first-score auction and secondscore auction ulnder different quality preference.The results show that the first-score auction and second-score auction are equivalent no matter how the new parameter changes.Under the new scoring rule,the buyer can easily build the quality threshold and choose the firm according to his own quality preference.If the coordination mechanism exists after some firm wins,win-win will come true and it will maximize the social welfare. References | Related Articles | Metrics

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On Competitive Strategy Efficiency of Commercial Banks And the Modeling of Its Determination GE Qing-jun, XIAO Hong-jun, WU Chun-you 2006, (2):  82-89.  Abstract ( 2168 )   PDF (1145KB) ( 2066 )   Save The localization of the expository to bank convergence with the function efficiency theory and the difference of the same competitive strategy enforce drive the problem of competitive strategy efficiency to the frontline of study on the theory of commercial bank competition.The paper educes the important conclusion that the decided factors of competitive strategy efficiency of commercial banks are the three factors of resource,competence and environment based on the questionnaire investigation data and their multi-logistic analysis.Based on the above conclusion,we merge environment factor usually regarded as outside one into the determinative system of competitive strategy efficiency of commercial banks and present the logic model describing its determination course. References | Related Articles | Metrics

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First-best Social Interconnection Choice Game between Internet Backbone Providers WANG Qi, Lü Ting-jie 2006, (2):  90-93.  Abstract ( 2052 )   PDF (1528KB) ( 1502 )   Save Through dynamic game,we analyzed how networks asymmetric in size make a choice among interconnection models,transit or peering,and competed for users.Our paper presents that the interconnection modes of Internet backbone in our country should contain peering and transit,not only peering.Backbone networks are classified due to their different scale.The peering mode is applicable to the interconnection between backbones with similar scale,while the transit mode is better for that between backbones with asymmetric scale.Accordingly,at present,regulator should appropriately restrain the backbones with asymmetric scale adopting the peering mode,rather than promote it. References | Related Articles | Metrics

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Competitive Strategy Analysis for Online Leasing with Continuous Change of Purchasing Price and Renting Cost XU Yin-feng, ZHANG Wei-guo, HU Mao-lin 2006, (2):  94-99.  Abstract ( 2081 )   PDF (1490KB) ( 2056 )   Save In this paper,we use the method of competitive analysis to study a decision-making problem of online financial leasing.The previous research investigates the optimal investment strategies under the assumption that the purchasing price and the renting cost are constants.This paper studies the optimal investment strategies with the purchasing price and the renting cost that vary continuously in the bounded rangerespectively.We analyze competitive strategies without interest rate or with interest raterespectively,and obtain their upper and lower bounds. References | Related Articles | Metrics

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Service Supply Chain Management,Customer Satisfaction and Business Performance JIN Li-yin 2006, (2):  100-106.  Abstract ( 2559 )   PDF (1040KB) ( 3973 )   Save This study examined the impact of the service supply chain management activities on customer satisfaction and business performance used the data from aviation service industry.The structural equation modeling approach has been employed to analyze the research model and hypotheses.The results show that service leadership factor is the most important driver among the service supply management activities.The management activities such as strategic plan,process activity,and construction of the customer information system significantly influence customer satisfaction.In addition,customer satisfaction significantly related to the business performance. References | Related Articles | Metrics

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Study on Coordination Operations of Perishable Product Returns with Asymmetric Information ZHANG Qin-hong, ZHAO Quan-wu, XIONG Zhong-kai 2006, (2):  107-111.  Abstract ( 2191 )   PDF (2167KB) ( 1641 )   Save Manufacturers and distributors must cope with the increased flow of returned products from their customers.In response,many firms outsource their reverse logistics to TPL.If TPL handles returns faster,manufacturer can obtain more profit from returns,but leading to higher cost of TPL.So it is important to decide the optimal handling speed and allocation of total profit created by faster handling speed.In this paper we investigate the optimal handling speed by using the queueing model and discuss the factors influencing optimal handling speed.At last we establish a screening game model to get manufacturer's optimal strategy when he can't get the full information about TPL's handling cost type. References | Related Articles | Metrics

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Data warehouse based OLAP Application Research——Applied to an Appliance Company QI Gui-jie, REN Ji-fan, MIAO Qing-kai, SONG Cheng-yu 2006, (2):  112-116.  Abstract ( 2064 )   PDF (759KB) ( 2001 )   Save Data warehouse and OLAP are two of the significant new technologies in the database area.The positive results given by internal scholars lay particular emphasis on multidimensional model.This paper focuses on data analysis based OLAP technology and it is may be more useful to enterprise users.After giving basic concepts about OLAP and MDX,this paper illustrates the application procedure of multidimensional analysis technologies through an appliance wholesale company. References | Related Articles | Metrics

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Study on Multi-agent Absed Trading Platform Contract Electricity Market YU Shun-kun, YUAN Jia-hai 2006, (2):  117-123.  Abstract ( 2013 )   PDF (1229KB) ( 1597 )   Save The paper presents an evolutionary negotiation platform for power generating and power purchasing companies in contract market,which can support the free negotiation process as in real world.An intelligent agent implements the process by selecting a negotiation strategy based on learning mechanism.To realize the target of "applicablity",some special designs are as follows: negotiation strategy which is the base of automated negotiation is defined and fuzzy controller genetic algorithm for strategy learning is proposed.Aiming at the dynamics and enormous incomplete information,defeasible logic that if of flexibility and robustness is proposed as negotiation language and Protocol Operation Semantic(POS) is utilized in the system as communication protocol to meet with the requirement of sequence information exchange.Finally the paper presents the architecture of the agent design. References | Related Articles | Metrics

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Bullwhip Effect Analysis of ISC Based on Perceived Risk Measurement JIANG Ji-jiao, YANG Nai-ding 2006, (2):  124-128.  Abstract ( 2069 )   PDF (1437KB) ( 1528 )   Save In the paradigm of behavioral finance,hereis described the overconfidence mentality of integrated supply chain(ISC) participant by DHS(Daniel-Hirshleifer-Subrahmanyam)model.Then,it forms the ISC demand equilibrium model with the overconfidence mentality,which reveals operation mechanism of ISC bullwhip effect with loss probability and prospect loss based on perceived risk measurement.Considering bounded rational of ISC practices,it's proposed a new method for ISC bullwhip effect measurement with the behavioral finance paradigm. References | Related Articles | Metrics

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Study on Knowledge Flowing and Interorganizational Learning in Virtual Enterprise ZHANG Cheng-kao, WU Jia-bao, JI Yanguang 2006, (2):  129-135.  Abstract ( 2358 )   PDF (1227KB) ( 1895 )   Save Virtual enterprise is an efficient mode of knowledge transfer and interorganizational learning,and it is an important spring of organization obtaining external new knowledge.This article not only studies the law of knowledge flowing and the mechanism of interorganizational learning in the virtual enterprise,but also empirically analyses four factors that influence the knowledge flowing and interorganizational learning in Toyato's knowledge alliance. References | Related Articles | Metrics

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Fourth Party Logistics' Efforts-Influenced Subcontract Incentive Mechanism WANG Yong, LUO Fu-bi, LIN Lue 2006, (2):  136-140.  Abstract ( 2250 )   PDF (1835KB) ( 2376 )   Save This paper considers that the fourth party logistics makes great efforts to integrate logistics resources and the efforts influence the output of the third party logistics.This paper also researches on incentive mechanism of the fourth party logistics subcontract with principal-agent theory,and draws following conclusions:the more powerful the fourty parth logistics,the more great efforts makes;the more powerful third party logistics works harder than those which is weakness;the fourth party logistics gives more incentive payments to the more competitive third party logistics. References | Related Articles | Metrics

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The Evolution Model and Empirical Studies of Enterprises Cluster Symbiosis WANG Zi-long, TAN Qing-mei, XU Xiaodi 2006, (2):  141-148.  Abstract ( 2097 )   PDF (1591KB) ( 2335 )   Save The evolution of entrprises cluster is influenced mainly by the enterprise individual adaptability,the market environment and the symbiosis among the enterprises.The essence of evolving enterprises cluster is a complex system that the interaction between regional economy system and regional ecosystem.The development of regional enterprises cluster is double restricted by interest driven mechanism and ecological balance mechanism.Under the domination of the compounding mechanism,the evolution of regional enterprises cluster takes on complicated behavior and orbit.The evolution track of enterprises cluster of China's manufacturing industry was measured by the evolution model in 1985-2004.The conclusion indicates that the agglomeration level of China's manufacturing industry is rising continuously excluding ordinary machinery enterprises.Now enterprises clusters has entered the pullulating or mature period,such as medical and pharmeaceutical products,transport equipment enterprises,electric equipment and machinery enterprises,electronic and telecommunications equipment enterprises and instruments,cultrual and office enterprises and so on.The agglomeration elasticity can reflect the different influence that the changing of different agglomeration level brings on the development of economy;all these can offer the reference for appraising and developing industry cluster. References | Related Articles | Metrics