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28 December 2006, Volume 14 Issue 6 Previous Issue    Next Issue

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The Nonparametric Estimation of Time-Dependent Diffusion Models PAN Wan-bin, TAO Li-bin, MIAO Bai-qi 2006, (6):  1-5.  Abstract ( 2096 )   PDF (1549KB) ( 2886 )   Save The time-dependent diffusion models can better capture the stochastic behavior of short-term interest rates.Nonparametric methods based on kernel regression are used to estimate the time-dependent CKLS model for China interbank market 7-day repo rates.The forecasting power of the time-dependent CKLS model and that of the time-homogeneous CKLS model are also compared.The results show that time-dependent CKLS model improves the forecasting precision of the interest rates. References | Related Articles | Metrics

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H∞ Control with State Feedback for a Kind of Portfolio Investment Problem LI Pei-pei 2006, (6):  6-10.  Abstract ( 2163 )   PDF (1934KB) ( 1583 )   Save A time-varying discrete systems'state-space model and a cost function in the form of quadratic function were proposed in order to study the portfolio investment problem.This problem was under the considering of the discreteness of practical systems and the time-variation of the parameters.The H∞ control theory with state feedback for time-varying discrete systems was applied to this new model.And a strategy of H∞ control with state feedback for portfolio investment was also given.By using it,the purpose of the incensement of total assets according to the expected one could be achieved. References | Related Articles | Metrics

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Ruin Probabilities of Stop-Loss Reinsurance with Diffusion JIANG Tao 2006, (6):  11-15.  Abstract ( 2000 )   PDF (1344KB) ( 2127 )   Save This paper researches ruin probabilities of insurance company and reinsurance company.Under the assumptions that the diffusion term is considered,in the case that claimsize is of exponential distribution,the relationship between deductible and ruin is obtained.The survival probabilities(so that ruin probabilities) are obtained on the corresponding insurance and reinsurance companies.The results not only extend the result of reference[1],but the methods used is also of independent value. References | Related Articles | Metrics

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Mean-WCVaR Fuzzy Portfolio Optimization Model of Risk Property Combination LIU Yan-chun, GAO Chuang 2006, (6):  16-21.  Abstract ( 2376 )   PDF (2265KB) ( 2961 )   Save Based on the mean-variance model framework the essay has established the Mean-WCVaR model with a worst-case VaR(WCVaR)to replace variance as a risk measurement indicator.Meanwhile,the logistic membership function is introduced into the model.The essay regards the maximization of portfolio return and the minimization of worst-case VaR as its goal and sets up a fuzzy selection model of investment portfolio which is satisfied with the logistic membership.It better reflects the value of intent given by the investor to the goal value.According to the actual data of Shanghai Security,we use the genetic algorithm to simulate and test the validity of the model. References | Related Articles | Metrics

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How to Fix the Price of the National Assets,the Game Theory in the TOT Project Finance YANG Chang 2006, (6):  22-28.  Abstract ( 2221 )   PDF (1470KB) ( 1703 )   Save By using the game theory and pointing to the TOT project finance,this article attempts to find the best way to distribute the increment of national assets rationally between the government and private capital.It concludes that the negotiations between the government and private capital are a series of complex games in the transference of national assets.The best choice for government is to invite a public bidding,at the same time the government can give some advantage to one firm.In this way,the government can get more benefit than in normal ways. References | Related Articles | Metrics

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Capital Structure Decision-Making Model Based on Variance Analysis ZHANG Li-ying, ZHANG Qiu-sheng 2006, (6):  29-33.  Abstract ( 2101 )   PDF (1669KB) ( 1775 )   Save According to the principles of statistics and risk decision analysis approach,this paper presents a new variance analysis method and a matrix model for capital structure decision-making.Compared with the existed methods,this method can balance the risk and the profit effectively,and make the capital structure decision-making more operatible.Thus it provides a scientific basis for the best capital structure decision-making. References | Related Articles | Metrics

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A DEA Model of Determining the Scale Elasticity in Any Input-Output Combination LAN Bo-xiong, LU Guo-hua 2006, (6):  34-39.  Abstract ( 2363 )   PDF (2280KB) ( 2188 )   Save This paper discusses the estimation of returns to scale using data envelopment analysis.The previous researches mainly focus on calculating the scale elasticity with the same proportion changes of entire output and input combination.By introducing a more general model,it is possible to calculate the scale elasticity of any input-output combination.Based on this model,the key input components,which are in the dominant position to determine scale elasticity,can be determined.The investment of expanding input resources can be used in a more efficient way if only the key input components are expanded.With the best investment combination,we may receive maximum output utility with minimum input. References | Related Articles | Metrics

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Inventory Control Policy Based on Delayed Ordering Policy under Seasonal Demand JI Shou-feng, LI Jia, HUANG Xiao-yuan 2006, (6):  40-43.  Abstract ( 2077 )   PDF (1264KB) ( 1803 )   Save This paper investigates a deterministic inventory model in which demand follows a seasonal pattern that repeats itself after a short time interval,and ordering cycle is integral times of demand cycle,the quantities that can't be filled imply the delayed ordering policy.An algorithm is analyzed for determining an optimal reorder point,a shortage length and an order quantity so that the total profile per unit time is maximized.At last,we propose an example to see the possibility of this algorithm. References | Related Articles | Metrics

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The Decision-Making Analysis in Deciding Reverse Logistics System with Remanufacturing in Electronic Industry WANG Fa-hong, DA Qing-li 2006, (6):  44-49.  Abstract ( 2223 )   PDF (2246KB) ( 2631 )   Save The producer is always a leader in choosing its own reverse logistics system in electronic industry.In this paper,three reverse logistics models and their attributes are analyzed and proved.The attributes show that in view of incomes the producer should always choose building its own reverse logistics system in which can be gained the maximum incomes and the minimum prices.However,the return rate in this system may be the least one.It is also shown that the more remanufacturing rate of returns,the more return rate can be got.Conclusion shows that the best reverse logistics system should be decided by considering of environment and the acts,as well as the attributes of different models. References | Related Articles | Metrics

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A Research on Supply Chain Coordination under e-Marketplace and Contract Market GUO Qiong, YANG De-li, FAN Bo 2006, (6):  50-55.  Abstract ( 2112 )   PDF (1450KB) ( 1934 )   Save The supply chain members' decision models are built with the option contract between the contract market and e-marketplace firstly,after setting the pricing policy appropriately,the supplier can gain more advantage in the e-marketplace and profit from the contract market,which can also be an incentive to the retailer to order rationally and make the supply chain coordination realize the optimal pricing,capacity and order strategies in the equilibrium condition.In the end,according to different factors,the sensitivity of the decision models are simulated which confirms that option contracts can make the supply chain coordination be realized. References | Related Articles | Metrics

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Research on Optimal Equipment Allocation in Container Terminals by Using Closed Queueing Networks YANG Jing-lei, DING Yi-zhong 2006, (6):  56-60.  Abstract ( 2170 )   PDF (1885KB) ( 1787 )   Save In this paper we present a closed queueing network model for the gantry crane loading/unloading facility in container terminals.We use an approximate mean-value algorithm to evaluate the system performance in which the inter-arrivals cannot be a Poisson stream and the service time doesn't obey negative exponential distribution.The results from the simulation model show that the results from the queueing metwork analysis can support the decision about the optimal equipment allocation in container terminals. References | Related Articles | Metrics

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Coordinated Replenishment Problem in Assemble-to-Order System XIONG Yan-hua, SHEN Hou-cai 2006, (6):  61-65.  Abstract ( 2140 )   PDF (1107KB) ( 1708 )   Save Demand correlation among differemt inventory SKU is common in real-life multi-item inventory systems.However,this phenomenon has not received sufficient attention in the existing inventory literature.This paper deals with inventory models with correlated items demands in an assemble-to-order system.The explicit formula for the total cost leads to analytical solutions for the optimal values with independent replenishments and coordinated replenishments policies.Numerical results suggest coordinated replenishments can decrease total costs. References | Related Articles | Metrics

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Estimation of Mixed Weibull Distribution Parameters Using SCEM-UA Algorithm GONG Zhe-jun 2006, (6):  66-70.  Abstract ( 2268 )   PDF (1377KB) ( 1903 )   Save In this paper,the SCEM-UA algorithm is used to estimate the parameters of mixed Weibull distribution in automotive reliability analysis,and the results using SCEM-UA algorithm are compared with the results using Maximum Likelihood Estimation(MLE).The comparison shows that the SCEM-UA can obtain more accurate results than MLE. References | Related Articles | Metrics

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A New Method on Hybrid Multiple Attribute Decision-Making Problem for Choosing the Supplier LIANG Chang-yong, WU Jian, LU Wen-xing, DING Yong 2006, (6):  71-76.  Abstract ( 2029 )   PDF (1600KB) ( 2546 )   Save This paper studies the hybrid multiple attribute decision-making problem,in which the information about attribute weights is completely unknown.For easing computation,we turn interval numbers and fuzzy numbers into precise numbers.A model with adjustability is proposed to seek objective weight based on entropy and then subjective weight and objective weight are integrated into general weight linearly.Rules are set up to estimate the rationality of objective weight and general weight.Finally,a numerical example is given to illustrate the developed method. References | Related Articles | Metrics

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Research on the Selection model of Manufacture Partner for the Production Type of Virtual Enterprise LIU Shu-qing, DONG Ya-wen 2006, (6):  77-85.  Abstract ( 2239 )   PDF (2349KB) ( 1883 )   Save Based on studying the situation and the questions of the manufacture cooperation partner selection for virtual enterprise,combing the all steps' characteristics of product forming process,the paper firstly puts forward the progress model of manufacture cooperation partner selection for virtual enterprise.Secondly discusses the principles of cooperation partner appraisal for virtual enterprise,and using Delphi method to make circulation investigation and index modification,by the correlation degree appraisal method,this paper confirms the appraisal index system of manufacture cooperation partner for virtual enterprise.And then designs the three phases and four steps appraisal model and the filtration scheme of manufacture cooperation partner.Lastly combining a certain road construction machinery enterprise,the demonstration is given and the detailed suggestion is put forward. References | Related Articles | Metrics

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Interval Programming Model of Partner Selection Problem in Virtual Enterprise and Its Solution CAO Hong-yi 2006, (6):  86-91.  Abstract ( 2009 )   PDF (2205KB) ( 1559 )   Save Partner selection and risk management are important decision problems in virtual enterprise.In some cases,failure probability cannot be given precisely,it is reasonable to denote this type of problem by uncertain programming.An interval programming model for partner selection is presented,in which members' failure probabilities are treated as interval coefficients.This model is transformed into equivalent bi-objective precise model by the definition of order relation between interval numbers and the theorem proved by Nakahara and Ishibuchi.A genetic algorithm with self-adaptive fitness function is proposed to find all Pareto solutions.Simulation results show that this approach is efficient. References | Related Articles | Metrics

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The Coordination Strategy Analysis of a Kind of Supply Chain on VMI ZHONG Lei-gang, HU yong, ZHANG Cui-hua 2006, (6):  92-97.  Abstract ( 2376 )   PDF (1695KB) ( 2957 )   Save For a kind of salable goods,supply chain model of vendor management inventory(VMI)is established,on the basis of definite demand and a ready source of initial stock,but in short supply now.Then,this paper firstly deduces the optimum inventory replenishment quantities and profit function of each member under three supply chain contracts:non-coordination,integrated control,and VMI,and the implementation of VMI is proved that the profit of vendor may decrease.After that,VMI quantity discounts contract under symmetric and asymmetric information is designed by principal-agent theory.Finally,a numeric exapmple illustrates this coordination strategy is conductive in the implementation of VMI. References | Related Articles | Metrics

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Water Inventory Coordination of South-to-North Water Transfer Project Supply Chain Based on the Theory of VMI ZHU Jiu-long, TAO Xiao-yan, WANG Shi-jun 2006, (6):  98-103.  Abstract ( 2147 )   PDF (1043KB) ( 2407 )   Save Coordination and control on water inventory of the node lake is an important content in operation and management of South-to-North Water Transfer Project.By introducing inventory control theory of supply chain,simple water supply chain consisting of the pumping mouth at the Changjiang River and a single node lake is studied in the article.Then optimal water ordering quantity model of the node lake,profit models of the pumping mouth and the node lake under centralized decision,independent decision and VMI decision of water inventory are established.After that,transfer payment coordination strategy of water inventory management under VMI strategy is advanced and the validity of the coordination strategy is calculated.Finally,the conclusions are validated by simulation testing. References | Related Articles | Metrics

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A Method for Group Decision Making with Multi-Granularity Linguistic Preference Relations JIANG Yan-ping, FAN Zhi-ping 2006, (6):  104-108.  Abstract ( 2219 )   PDF (2196KB) ( 1929 )   Save With respect to the group decision making problem with multi-granularity linguistic preference relations,a method based on two-tuple linguistic information processing for aggregating individual preference relations is proposed.In the method,firstly,the definition of multi-granularity linguistic preference relation is given.Then,a transformation function is given to uniform the multi-granularity linguistic preference relation into the format of two-tuple linguistic information assessed in basic linguistic term set.Based on the two-tuple weighted average aggregation operator and the linguistic dominance degree developed recently,the unified preference information is aggregated into the group preference and the most desirable alternatives is selected.Finally,an example is used to illustrate the use of the proposed approach. References | Related Articles | Metrics

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The Improvements of Forecasting Method in GM(1,1) Model Based on Quadratic Interpolation TANG Wan-mei, XIANG Chang-he 2006, (6):  109-112.  Abstract ( 2331 )   PDF (864KB) ( 2144 )   Save In this paper,we analyse the background value calculation in GM(1,1) model,and point out that the structure method of background value using the Newton-Cotes formula in is irreliable,and propose a new method to build the background value based on quadratic interpolation,at the same time,by using the least square method we imporve the initial value in the forecasting formula,and conduct a short-term prediction by the improving method.Both the analysis in theory and the simulation result show the effectiveness of the proposed approach,and give a new way to improve the prediction accuracy. References | Related Articles | Metrics

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Application of the Improved Particle Swarm Optimization Algorithm in the Generation Expansion Planning LI Xiang, NIU Dong-xiao, YANG Shang-dong 2006, (6):  113-118.  Abstract ( 2413 )   PDF (825KB) ( 2296 )   Save The generation expansion planning is a complex non-linear and combinatorial optimization problem.With the plan time lengthening and the factors considered increasing,the traditional optimization methods can not make the satisfactory result.And also so,it's applications in the practice are limited.Firstly,the model of the generation expansion was set up.Then,the paper improved the iteration tactic of the particle swarm optimization.It proposed a hybrid algorithm which combined genetic algorithm with particle swarm optimizaion(GPHA).Considering the various factors concerned,the paper introduced fictitious variables to briefly describe generation expansion planning problem in the optimization process.For the fitness function,the paper used penalty function to enhance the effect.In the end of this paper,it chose actual load forecast and the system load actual data of some province,quoted in the similar question regarding correlation parameter supposition,and compared the algorithm with the ordinary genetic algorithms,particle swarm optimization algorithm and the traditional dynamic programming algorithm.The result proves that the new algorithm has done well in the aspects of optimization and speed. References | Related Articles | Metrics

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Options Pricing of the Convenience Yield for Futures and Its Demonstration AN Ning, LIU Zhi-xin 2006, (6):  119-123.  Abstract ( 2357 )   PDF (991KB) ( 2656 )   Save This article applies an extension of the Black-Scholes option pricing model,which is based on the foreign theory of convenience yield,to portray the character of convenience yield in Chinese futures market.The results show that the convenience yield can be seen as a call option in characters and priced by option pricing model.Futhermore,the convenience yield in Chinese futures market shows some specialties different from the theory. References | Related Articles | Metrics

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A Game Model Description and Anlysis on the Quality of Independent Audit of Chinese Listed Companies REN Xia-yi, LIU Xing 2006, (6):  124-130.  Abstract ( 2384 )   PDF (1173KB) ( 1772 )   Save The following passage has precisely analyzed the game relationship in the auditing,which is involved in four aspects: the accounting firm,the management of entity,Independent director and the supervision of the authorities.Furthermore,it has also made an in-depth analysis on the choices of game tactics under the conditions of dissymmetrical information.And aim at the influence factor of the each parties' game put forward the strategy to improve independent auditing quality,which is very significant for the current listed companies to achieve the auditing administration! References | Related Articles | Metrics

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Study of Effectiveness Evaluation of Maintenance Support System Based on Set Pair Analysis YANG Yi, WU Chang, QI Sheng-li 2006, (6):  131-134.  Abstract ( 2006 )   PDF (1187KB) ( 2371 )   Save The effectiveness evaluation index system of maintenance support system is established.Utilizing set pair analysis method,the multi-factorial evaluation model to assess the effectiveness of maintenance support system is established. Making a comprehensive evaluation of effectiveness by using quantitative result,and compared with the results of AHP and catastrophe evaluation,it is found that there is an accordant conclusion.It provides a new method for effectiveness evaluation of maintenance support system and provides quantitative gist for decision. References | Related Articles | Metrics

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A Study of Strategic R&D Investment Timing of Firms with Asymmetric Innovation Capability WU Jian-zu, XUAN Hui-yu 2006, (6):  135-139.  Abstract ( 2486 )   PDF (1079KB) ( 1433 )   Save In an asymmetric duopoly option game-theoretic framework,this paper investigates the impacts of innovation capability asymmetry and the first-move advantage on firms′ strategic R&D investment timing and derives the conditions for the preemptive,sequential and simultaneous equilibrium.We show that when the first-move advantage is significant,the high-capability firm preempts the lower-capability firm.In the situation where the asymmetry between firms becomes sufficiently large,the firms invest sequentially.When the asymmetry among firms is relatively small and so is the first-move advantage,the firms invest simultaneously.We also show that,with the innovation capability increasing,the possibility of simultaneous equilibrium and sequential equilibrium decreases,but that of preemptive equilibrium increases. References | Related Articles | Metrics

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A Study on the Chaotic Characteristics for Interbank Rate Based on Phrase Space Reconstruction LI Yu-suo, QI Zhong-ying 2006, (6):  140-143.  Abstract ( 2061 )   PDF (954KB) ( 1844 )   Save Interbank rates have important effects on other interest rates in the financial market,and therefore it is very important to research the fluctuation of interbank rate.Based on phrase space reconstruction,the paper gives empirical analysis on chaos in China interbank offered rate.The paper analyzes chaotic characteristics of China interbank offered rate by correlation dimension and Kolmogorov entropy.The results demonstrate that interbank rate has chaotic properties,which make the long term forecast impossible. References | Related Articles | Metrics

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Research on SPIPRO' Path of Technological Leapfrogging CHEN De-zhi, HU Dai-ping 2006, (6):  144-148.  Abstract ( 2208 )   PDF (1114KB) ( 1866 )   Save Technological leapfrogging is technological advancing behavior of technological laggard to catch up with or exceed the technological leader.Because of the difference in industrial technology,the competence of using the resources for the laggard.the path selection of catching-up and leapfrogging will directly influence the difficulty and feasibility.If the technological laggard has acquired the enough resources to reach the target at the start of leapfrogging,he will select the direct path.If the condition is not enough,he will take SPIPRO strategy to realize the leapfrogging.Selecting the strategy is based on the resources,competence,actual conditions.Based on the theoretically analysis,this paper has studied two cases. References | Related Articles | Metrics