Table of Content

30 October 2013, Volume 21 Issue 5 Previous Issue    Next Issue

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Capital Asset Pricing Model Based on Liquidity Risk ZHOU Fang, ZHANG Wei, ZHOU Bing 2013, 21 (5):  1-7.  Abstract ( 3863 )   PDF (1237KB) ( 3676 )   Save Based on the recent asset pricing theories, the pricing of risky asset with liquidity risk is studied in this paper. Firstly, the pricing of liquidity risk under no-arbitrage is dissussed, and the market price of liquidity risk is pbtained and the efficient frontier of a portfolio with one risk-free asset is gived. Then, from the perspective of risk composition, the measure and the market price of liquidity risk is proposed, and liquidity risk-based capital asset pricing model with two types of expression(LBCAPM with the relative amount of risk and LBCAPM with the absolute volume of risk)is induced, which describes the process of asset expected return formation. In the end,the possible application of the asset pricing model is indicated. References | Related Articles | Metrics

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Pricing of Inter-temporal Multi-events Triggered Cat Bond Under Stochastic Interest Rates Model LI Yong, HU Shuai, FAN Bei 2013, 21 (5):  8-14.  Abstract ( 2443 )   PDF (1388KB) ( 2137 )   Save Catastrophe bond (Cat bond) can be used to hedging catastrophe risks while it is also a kind of high return rate zero-beta bond. Multi-event triggered Cat bond can only be triggered when two or more indexes are met at the same time, making it of lower risks comparing to those single-event triggered ones. In order to pricing a two indexes triggered Cat bond, firstly the joint distribution of indexes is fitted by using a Copula method. Then, based on representative agent pricing model under stochastic interest rates driven by Vasicek model,the pricing model is proposed. The impacts of interest rate on Cat bond's intertemporal pricing results can be measured properly in this way. The model proposed in this paper is a impetus to the pricing of multi-events triggered Cat bond considering stochastic interest rates and will help to understand how interest rates affect Cat bonds' prices. References | Related Articles | Metrics

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The Effects of Sectoral Shocks and Aggregate Shocks——Based on the Simulation of an Improved 7-sector DSGE Model WANG Jia, WANG Wen-zhou, ZHANG Jin-shui 2013, 21 (5):  15-22.  Abstract ( 2280 )   PDF (2208KB) ( 2514 )   Save In this paper,an improved 7-sector DSGE model is established in which the unsubstitutability of construction's capital and manufacturing's capital, the incomplete substitutability of labor inputs and sectoral shock are introduced. With impulse response analysis, the transmission mechanisms of sectoral shocks are analysed in detail. It is concluded that aggregate shock is mainly account for the comovement in business cycles. Further,as a result,it is indicated that using one-sector model to simulate aggregate output is a feasible simplification. References | Related Articles | Metrics

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Impact of Risk Cognition Difference on Credit Rationing of Commercial Banks MA Li, LIU Yang, NIU Yong 2013, 21 (5):  23-28.  Abstract ( 2410 )   PDF (1108KB) ( 2390 )   Save Discussion about how to alleviate commercial banks' credit rationing and to meet the enterprises' demand for loans at the maximum extent is a topic with great realistic significance. In this paper, the cognition difference is introduced in investment project's risk between banks and enterprises into the model to analyze the relationship between cognition difference in risk and the degree of credit rationing. Then the model is simulated and the result shows these two are positively correlated. Thus, an effective way to relieve the credit rationing is to avoid the cognitive differences in the project's risk between banks and enterprises. References | Related Articles | Metrics

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The Empirical Analysis of Jump Characteristics of China’s Stock Market Based on High Frequency Data TANG Yong, ZHANG Bo-xin 2013, 21 (5):  29-39.  Abstract ( 2697 )   PDF (2396KB) ( 2829 )   Save Studying the internal mechanism of jump and sorting out the different types of risk, is important for estimating and modeling volatility, which is the core content of risk management. Currently, based on high frequency data, the research in this field is still in its infancy, so there are quite rich contents looking forward to be explored. Based on non-parametric approach, the new jump variance and continuous sample path variance are constructed and jump variance is modeled by combining A-J jump detection statistic. With high frequency data from Shanghai composite index, the empirical analyses are carried out. It turns out that the jump variance show leptokurtic, heavy tail and volatility clusters; the contribution of jump variance to whole variance nearly equals for different sampling frequency; the positive jump and negative jump are asymmetry and the adjusted returns are nearly normal distribution; the correlation between jumps and economic information release is always positive. Further,some abnormal phenomenas are explained. This study can be applied to help investors optimize strategy of investment and provide regulatory basis for the regulatory authorities, according to complexity of the volatility and jump. References | Related Articles | Metrics

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China’s Basic Implicit Pension Debt Trends Analysis——Based on the Improved Actuarial Calculation Model Empirical Study ZHANG Ying-bin, LIU Zhi-xin, BAI Man-ying, LUO Qi-yao 2013, 21 (5):  40-49.  Abstract ( 2455 )   PDF (2061KB) ( 2575 )   Save The implicit debt problems is the important issue of the pension system reform process. The drawbacks of previous studies, that in the data selection, parameter setting, latest institutional applications are pointed out in this paper. Then implicit debt study is extended from three aspects: improving calculation model combined with the latest regulations, modifying pension adjustment factor, considering the difference between the wage growth rate and the historical rate of wage growth. Further,considercing the transitional pension and fundamental pension differences in the calculation model, empirical analysis of the latest and the most reasonable data is carried out. The results show that keeping a reasonable level of several key factors can ensure the actual controlled the size of the hidden liabilities and the total fiscal revenue and GDP ratio within safe limits.To this end, this paper proposes to maintain moderate wage growth, control of a reasonable level of interest rates, take a variety of channels to increase the social pool fund balance. In the end,several suggestions are made in this paper:maintaining moderate wage growth meanwhile banlancing implicit debt and socia welfare;increasing rate of return on pension insurace investment meanwhile balancing advantages and disadvantages of yield rate and implicit debt. References | Related Articles | Metrics

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The Decision Making of Manufacturers for Collection and Remanufacturing Based on Premium and Penalty Mechanism under Competition Environment WANG Wen-bin, DA Qing-li 2013, 21 (5):  50-56.  Abstract ( 2490 )   PDF (1732KB) ( 2512 )   Save Waste product take-back is growing regulated by countries to protect the environment. The problem of collection and remanufacturing decision making based on premium and penalty mechanism is studies under manufacture competition environment in this paper. Two cases are discussed, one case is that only one manufacturer implements collection and remanufacturing,the other one is that two manufacturers implement collection and remanufacturing. Several conclusions are gained. For the manufacturer who collects and remanufactures old products, collection rate increases under premium and penalty mechanism. No matter the manufacturer collects and remanufacturers old products or not, new product's price is lower than the price without the premium and penalty mechanism. The consumer can benefit from the mechanism. The competition between manufactures is beneficial to the mechanism for leading manufacturers to increase collection rates. The collection rate increases with the remanufacturing rate. No matter the other manufacturer collects and remanufacturers old products or not, the profit of the remanufacturer who collects and remanufactures old products increases with the premium and penalty degree, and decreases with the target collection rate's increasing, furthermore, with the increase of the degree, the decrease trend become more obvious. Above conclusions are proved by the numerical analysis. References | Related Articles | Metrics

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The Designing of Supply Chain Contract with Demand Forecast LI Wu-qiang, LIU Shu-lin, SUN Rong-ting, LI Yi-bin 2013, 21 (5):  57-67.  Abstract ( 2445 )   PDF (1251KB) ( 2320 )   Save The supply chain system composed of a manufacturer and a newsvendor retailer is the focus of this paper. In such system, the point is how to design contracts which aim at maximizing the manufacturer's expected revenue by incenting the retailer's demand forecast decision. A static game model is developed for the contract designing. It is found that the contract with demand forecast can lead to higher expected revenue with low forecasting cost in the centralized supply chain. As in the decentralize supply chain, the manufacturer bears the cost entirely and its expected revenue is negatively related to forecasting cost when the contract with demand forecast is selected, but the manufacturer's expected revenue is nondecreasing as forecasting cost increase when the contract without demand forecast is selected. Moreover, the optimal strategy about which contract can maximize the manufacturer's expected revenue is given. References | Related Articles | Metrics

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The Equilibrium of Closed-loop Supply Chain Network with Dual Channel and Imperfect Product ZHANG Gui-tao, HU Jin-song, SUN Hao, DONG Yue 2013, 21 (5):  68-79.  Abstract ( 2649 )   PDF (1224KB) ( 2470 )   Save Previous work which dealing with supply chain network equilibrium is expanded in this paper to the field of closed-loop supply chain network equilibrium with dual channel and imperfect products. The closed-loop supply chain network equilibrium model consists of the supply market, manufacture market, the retail market, the consumer market, and recovery market. The suppliers provide the manufacturers raw material, the manufacturers make products and some of which includes flaw, the products satisfying consumers are sold by retailers channel and electronic channel, the used products in consumer market are returned to manufacturers by recovery centers. Firstly,bBased on finite-dimensional variational inequalities and complementary theory, the mathematic model of the closed-loop supply chain network is built and the equilibrium conditions is obtained. Then,the logarithmic-quadratic proximal prediction-correction (LQP-PC) algorithm is designed to solve the equilibrium state of the network model presented. Further,a numerical example considering different situations is used to illuminate the effects of parameters including remanufacturing rate, products flaw rate and dual channel on the equilibrium. The results indicate that when introducing the electronic channel, the electronic channel may affect the traditional channel; when the remanufacturing rate increases, the profit of manufacturers increases remarkably and the profit of the whole supply chain enhance too; when the imperfect products rate decreases, the increment rate of manufacturers' profit is less than that of the whole supply chain's profit. The conclusions obtained in this paper provide meaningful insights that lead into a number of areas for future research on network equilibrium in closed-loop supply chains with dual channel. References | Related Articles | Metrics

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Optimization Model of Supply Chain Flexibility Contract for Buyers’ Market’s Timeliness Product YANG Jian-hua, NIU Kun, YU Bei-hai, Fan De-ming 2013, 21 (5):  80-85.  Abstract ( 2247 )   PDF (1149KB) ( 2313 )   Save As the environment of buyers' market, product has more and more timeliness, and its life cycle is more and more short. In order to avoid risk, dealers often don't book their order at the actual predicted quantity. In this paper, considering the fact and the idea of existing quantity flexibility contract , in view of incentive compatibility theory and SCM theory, buyback contract method is introduced, then a optimization model of supply chain flexibility contract is put forward which can incent dealer and make up the deficiency of single flexibility contract. An example is given to test the hypothesis model. The results show that, through adjusting wholesale price and rebate proportion to guide dealer's order tendency, when dealer's most order quantity by the expected profit equal market average demand, dealers would estimate objectively future demand then report the manufacture accurately, on this basis, the manufacture still determine the wholesale price and rebate proportion to make its maximum profits. This method can drive that manufacturer and dealer share the market risk in the supply chain, and make great efforts to optimize their whole supply chain together. References | Related Articles | Metrics

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A Decision-Making Model of Concession Period for Refuse-Incineration Power Generation BOT Projects SONG Jin-bo, SONG Dan-rong, TAN Chong-mei 2013, 21 (5):  86-93.  Abstract ( 2245 )   PDF (2025KB) ( 2804 )   Save BOT mode has been widely used in refuse-incineration power generation projects all over the country. Concession period as a key parameter in BOT projects has captured the attention of government, companies and publics. Under the circumstances, influencing factors of concession period in refuse-incineration power generation BOT projects is analyzed, and a concession period decision-making model is proposed in this paper. Based on Monte-Carlo simulation method, NPV of every year is calculated. By adopting cumulative probability under different levels of IRR as the objective function, the reasonable concession period is determined. In addition, to provide a reference for the government and companies, the impact of heat value and handling capacity on the concession period is also analyzed in this paper. References | Related Articles | Metrics

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The Optimal Pricing Policy for Remanufactured Products Considering Luxury and Green Preferences in the Market DING Xue-feng, DAN Bin, HE Wei-jun, ZHENG Hao-hao 2013, 21 (5):  94-102.  Abstract ( 2666 )   PDF (1214KB) ( 2247 )   Save In the market there exist three type consumers:the luxury,the green and the price-sensitive. the luxury one prefer to buy the new products when both the remanufactured products and new products will be sold,the green one is benefit of ‘green image’ from remanufactured products, and the sensitive one depend on the price of which is lower.Considering that,in this paper optimal pricing for remanufactured products is studied. It is founded that,price for remanufactured products vary with different market segment and the price discrimination policy can make manufacturer achieve more profits than single-price policy. When the segment of luxury consumers and green consumers exists functional relationships, the remanufacturing recovers acquire the same profit with discriminating price, which make one way for them protecting environment and undertaking responsibility of source saving. According to the characteristics of the different market structures, manufacturers implement proper price discrimination policy is recommended in this paper.At last, the results was tested by numerical example. References | Related Articles | Metrics

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Network DEA for Matrix-type Organization with Application CHENG Yun, YANG Yin-sheng 2013, 21 (5):  103-109.  Abstract ( 2857 )   PDF (1493KB) ( 2084 )   Save Considering the problem that traditional DEA model cannot evaluate the relative performance of the matrix-type system effectively, the production possibility set is defined and the network DEA model is established for matrix-type system in this paper. It is proved that the DMUs are weak DEA efficiency if and only if all subsystems of the DMUs are weak DEA efficiency. Using data of ten electric power companies in the United States of America, the network DEA model is tested. The results show that the new model can make up for the drawbacks of the traditional DEA model on ignoring the internal structures. The new model can also evaluate divisional efficiency scores, which can help decision makers to detect the sub-processes needed to be evaluated. Furthermore, the new model provides a new idea for evaluating the relative performance of the complex systems. References | Related Articles | Metrics

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A Method for Multiple Criteria Group Decision Making with Uncertain Preference Ordinals YOU Tian-hui, LI Hong-yan, LIU Cai-na 2013, 21 (5):  110-114.  Abstract ( 2668 )   PDF (904KB) ( 2411 )   Save A method to solve the multiple criteria group decision making (MCGDM) problem with uncertain preference ordinals is proposed, in this paper. The MCGDM problem with uncertain preference ordinals is described first, and then the calculation formula for votes transformed from uncertain preference ordinals is given. Furthermore, according to the fundamental idea of Bernardo method, the corresponding votes are calculated and the group voting matrix is constructed based on the the uncertain preference ordinals given by expers. An 0-1 integer programming model is built based on the group voting matrix and the alternatives can be ranked by solving the model. At last, though a numerical study and comparatively analysis with previous method, the proposed method is proved to be feasible and effective. References | Related Articles | Metrics

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Research on Dynamic Performance Fuzzy Assessment in Group Decision Making based on Non-uniformity Additive Linguistic Evaluation Scale and DLWA Operator YU Shun-kun, WANG Qiao-lian 2013, 21 (5):  115-120.  Abstract ( 2328 )   PDF (949KB) ( 2576 )   Save Considering the uncertainty, randomness, fuzziness of data raised from functional management's annual performance assessment and excellent selection process in enterprises' HRM system. This article aims to optimize performance assessment activities in Functional Management by designing a quarterly multi-dimensional fuzzy evaluation system and adopting term-wise and qualitative evaluation method which is based on non-uniformity additive linguistic evaluation scale, a constructing dynamic additive linguistic judgment matrix model is constructed to optimize performance assessment activities in functional management.Using linguistic information aggregation operators like DLWA, subjects' evaluation data in various performance indicators and different period and different subjects' preference degree are integrated, all of which can reflect function management departments' performance comprehensively. References | Related Articles | Metrics

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Design and Analysis of Compensation Contract Model：Based on the Cumulative Prospect Theory LUO Biao, WANG Cheng-yuan 2013, 21 (5):  121-128.  Abstract ( 2334 )   PDF (2224KB) ( 2542 )   Save By introducing cumulative prospect theory,the compensation contract is reconstructed in this paper.It is proved by empirical and experimental researches that the risk decision behaviors of principal and agent are not in accord with expected utility theory but cumulative prospect theory By constructing the value function and decision weighting function,the reference point is set and the decision behavior is studied in the condition that the agents and pricipals are all have no obvious risk preference. Using continuous cumulative prospect theory, it is conchuded that when agent's reference point is 0, the optimal effort level is irrelevant to his own risk attitude coefficient or decision weight coefficient, and the optimal profit sharing coefficient made by the principal is completely decided by his risk attitude coefficient and decision weight coefficient. Consequently, series of countermeasures to optimize the incentive mechanism are proposed at the end. References | Related Articles | Metrics

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Optimistic Structures of Collective Innovation Networks in Different Stages ofIndustry Life Circle HUA Lei, WANG Wen-ping 2013, 21 (5):  129-140.  Abstract ( 2663 )   PDF (1704KB) ( 2219 )   Save The optimistic structures of collective innovation networks in different stages of industry life circle with simulation methods are explored in this paper. The result shows that in the initial stage of industry life circle, regular networks with high average clustering coefficient are the most efficient for innovation; In the growth stage of industry life circle, small-world networks with high small-world coefficient are the most efficient for innovation; In the developed stage of industry life circle, random networks with low average path lengths are the most efficient for innovation. With further analysis, the reasons of these results are discovered,which are divided into three hierarchies as below. Firstly, knowledge features and technical opportunities are different in different stages of industry life circle. Secondly, knowledge features influence the flows of knowledge and determines enterprises' ability of recombination of knowledge, whereas technical opportunities influence the seeking and discovering of innovation opportunities by enterprise. Thirdly, high average clustering coefficients of structures conduce to better knowledge flows, whereas short average shortest path lengths make innovation opportunities easier to find. At last, some important advices are proposed to innovation policy makers. References | Related Articles | Metrics

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A Carbon Dioxide Reduction Potential Model for Chemical Industry GU Bai-he, TAN Xian-chun, CHI Hong, WANG Yan-yan 2013, 21 (5):  141-148.  Abstract ( 2694 )   PDF (1336KB) ( 2803 )   Save Chemical industry is the main industry of global energy consumption and carbon emission, as the complex structure of its products, and so many influencing factors of emission reduction, the research of the carbon emission reduction potential and route become one of the research focuses. A comprehensive carbon dioxide reduction potential model is constructed in this paper for chemical industry. Firstly, combining with a wide variety of chemical industry products, a two stage accounting method based on industry level and product level respectively is established. On this basis, synthetically considered the factors of development scale, structure adjustment and technical progress of the chemical industry, a scenario analysis method is established for carbon dioxide emission reduction potential of chemical industry. Using this method, carbon emission reduction of the chemical industry in Chongqing is introduced as an application example, which is the only municipality in western China, one of the first national low-carbon pilot cities. The empirical results show that, with the development of petrochemical industry, the carbon dioxide emissions in Chongqing chemical industry will maintain rapid growth in future, the inflection point is difficult to achieve by 2020; meanwhile, with the increasing proportion of fine chemical products, and the improving of energy efficiency, the carbon dioxide emissions intensity will decrease significantly in future. Finally, the principles of product structure adjustment and technical progress are proposed to realize carbon emission reduction of chemical industry in China. References | Related Articles | Metrics

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Research on Coordination of the Enterprises in-kind Agreement Physical Reserves and Production Capacity Reserves Mode CHEN Tao, HUANG Jun, ZHANG Ling 2013, 21 (5):  149-156.  Abstract ( 2818 )   PDF (942KB) ( 2539 )   Save The coordination of the enterprise in-kind agreement physical reserves and production capacity reserves mode in the socialized emergency supplies reserves system are studied in this paper, which the thesis regards the government as the main responsibility for emergency supplies reserves safeguard. The model with maximizing the revenue of the enterprise in-kind agreement is established, and an "equilibrium price" is obtained according to analyzing the government procurement price. Combining with the highest purchase price and the "equilibrium price", the reserve strategy adjustment method are proposed in this paper, in order to adjust the forms and quantity of physical reserves and production capacity reserves, in the same time the example illustrates that the "equilibrium price" has a certain practical significance. This could guide the agreement enterprises which apply reasonable reserve ways to reserve emergency supplies for the government, and provide guidance for the co-reserve between government and the agreement enterprises. References | Related Articles | Metrics

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An Analysis of the Group Stability Based on Queuing Game ZHANG Xun, SHAO Yang, ZHANG Dong-ge 2013, 21 (5):  157-164.  Abstract ( 2356 )   PDF (1666KB) ( 2622 )   Save The mechanism of the evolution and occurrence of the unstable events of group based on queuing game are obtained in this paper. Further, the formulas about the unstable events of group under free-spreading and controlled conditions on the basis of the analysis of the conversion among various types of individuals are established. The solution shows that the quantities of the unstable units will be in exponential growth as time goes by, and by adjusting the control of the response time, the implementation intensity and the implementation time-consuming, the unstable events of group can be alleviated or prevented efficiently. References | Related Articles | Metrics

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Existence of NS Equilibrium Points in Generalized Games Under Generalized Uncertainty YANG Zhe, PU Yong-jian 2013, 21 (5):  165-171.  Abstract ( 2512 )   PDF (942KB) ( 2523 )   Save Uncertainty is introduced in generalized games is this paper. In the game, people's strategies are chteracted on each other, and can change the uncertain parameter variation range. What's more, payoff functions and feasible mappings of strategy are affected by uncertain parameters. This kindof game is defined by generalized games under generalized uncertainty. Further, NS equilibrium points in generalized games under generalized uncertainty are defined, and the existence theorem of NS equilibrium points is proved by mean of Fan-Glicksberg fixed point theorem. Finally, a numeric example is given to demonstrate the feasibility. References | Related Articles | Metrics

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Study on Classification and Analysis Method about Force Transfer Effect by Causal Chain Out-trees in System——Empirical Analysis on Force Transfer Effect of Five Countermeasures in New Rural Health Care System Reform of China JIA Qing-ping, JIA Ren-an, WANG Cui-xia, TU Guo-ping, XU Bing 2013, 21 (5):  172-183.  Abstract ( 2210 )   PDF (3006KB) ( 2354 )   Save The different stages of socio-economic systems development are constantly effected by the force of new countermeasures, policy, planning and project. In order to achieve efficient development, it is urgent to need a new system scientific methods to effectively reveal the direct effect generated by the force of system development, the indirect delayed effects between departments and the overall delayed effect. In this paper,based on the causal chain theory in system dynamics and tree theory in graph theory,new systematic force causal chain extremely out-trees which without considering the feedback effect are built, and causal chains out-trees are classified into direct effect tree branches, delayed effect tree branches among departments and balanced development effect tree branches. They can effectively reveal direct effect, delay effect among departments and overall effect of sustained development in system. The method is applied in the new rural health care system reform in China to reveal implementation effect of five health care reform countermeasures. A new analysis ideas and technology to analyze direct effect, delayed effect and overall effect of countermeasures are created. The method is also helpful for simulation effect analysis. References | Related Articles | Metrics

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Enterprise Strategy Three-dimensional Coordinate System and Risk Measurement DONG Xiao-lin 2013, 21 (5):  184-192.  Abstract ( 2326 )   PDF (1212KB) ( 2208 )   Save In recent years, to simplify the method that quantify measuring firm management practice, has been important theme for researchers concern in the developed countries. Previous measurement method based on tow-dimensional and complex, which is not advantageous for firm measurement, also cannot describe the firm management practices status comprehensively. Combining with the previous researchers achievements, the strategy theoretical model and strategy fusion degree new concepts are put forward in this paper. The three-dimensional measuring method is advantageous for the firm self measurement, and can comprehensively describe the firm management practice status and its risk. Based on the strategy model describing the case, what this paper study is a real case of a large firm management practice and grew. The strategy model and its measurement method which are established, realize the firm management practice measurement method innovation and enrich the research on. References | Related Articles | Metrics