Table of Content

20 January 2014, Volume 22 Issue 1 Previous Issue    Next Issue

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Expected Utility Maximization Optimal Portfolio Selection Based on Nonparametric Estimation Framework YAO Hai-xiang, LI Zhong-fei 2014, 22 (1):  1-9.  Abstract ( 2262 )   PDF (945KB) ( 2438 )   Save An optimal portfolio selection problem based on the expected utility maximization and nonparametric estimation framework is investigated in this paper. Unlike most studies in which the assets' returns are supposed to obey some special distribution forms, any assumption about the distributions of the asset returns are not required in this paper. Firstly in case of general utility function, using the nonparametric estimation of the portfolio return's density function, the basis nonparametric calculated formula for expected utility is given, and the basic framework for expected utility maximization portfolio selection problem is established. Then, under the assumption that investors hold the power utility function, the specific nonparametric estimated formula for expected utility is obtained, and the specific numerical algorithms for the optimal investment strategy of the utility maximization model is proposed. Finally, a numerical example based on real daily return data of 11 stocks from Chinese stock market is given to illustrate the usefulness and effectiveness of our results. The nonparametric estimation framework introduced in this paper is general and adaptive. It can be used to investigate the portfolio selection model under various realistic conditions, such as inequality constraints and transaction costs. References | Related Articles | Metrics

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Infinite Markov-switching VAR Model and Application to Analysis of China Stock Market Return CAI Wei-hong, TANG Qi-ming 2014, 22 (1):  10-19.  Abstract ( 1886 )   PDF (1719KB) ( 1961 )   Save A new Markov-switching VAR model is developed in which the number of the regimes is driven by data. The model is inferenced with Bayesian methods, and estimated with block sampling based MCMC method. With the studying of weekly return data of Shanghai A share market, five contrasted regimes are identified using the proposed model which are differenciated by return volatility. Before April 1992, market volatility is extremely low and since then there are two periods and three regimes are switching in each period. References | Related Articles | Metrics

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Catastrophe Index Options Pricing Using Esscher-Transformation and Numerical Simulation CHENG Cheng, SHI Xiao-jun, ZHANG Shun-ming 2014, 22 (1):  20-28.  Abstract ( 2019 )   PDF (1501KB) ( 1595 )   Save Catastrophe index options are kinds of the most important catastrophe derivatives at present and hence have large potential in China. However, a major obstacle in the usage of this instrument in China is how to price it under given limited market information as there is not yet an actively traded market for it in China. A closed-form formula of the catastrophe index options pricing based on Esscher transformation is proposed in this paper which has a sound theoretical foundation. Three major features of the catastrophe index: jumping, two periods and two caps can be captured by the proposed method. Moreover, the flexibility of Esscher transformation allaws the method to apply to various distributions. Thus formulas of catastrophe index options pricing are obtained under shifted Poisson, shifted Gamma and Wiener processes respectively in this paper. Simulation part compares the different formulas with the standard Black-Scholes theorem as well as historical PCS catastrophe loss indices, which indicates that the shifted Gamma process is a good candidate for the implied stochastic process of the catastrophe index options pricing. The exploration of catastrophe index option and application of our method is of practical relevance in China. References | Related Articles | Metrics

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The Optimal Investment Decision to the Inattentive Behaviour RAN Zhao, WANG Yuan-chang 2014, 22 (1):  29-36.  Abstract ( 2014 )   PDF (839KB) ( 1601 )   Save Consumption and investment decisions of agents in the presence of costs of acquiring, absorbing and processing information are studied in this paper. As the optimal decision, the agents will choose to adjust their plans at a pre-set date and keep inattentive between the adjustment. The rational inattentive behavior will directly affect the investment decision, and makes an interpretation to the limited participation, disposition effect and the high saving rate in the household's decision-making. It makes clear about the ways and degree of the effect to the investors' decision-making by the factors as costs and wealth etc., and provides a feasible theoretical basis and policy suggestions to how to guide rational behavior of different investors, improve the capital market mechanism, and perfect the diversified financial service system. At the same time, compared to the related research results, it can be found that investors in the domestic market are mainly being short-term inattentive investors, which provides a new way to study the price movements and the effect of policy under information delay. References | Related Articles | Metrics

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The Decision of Manufacturer’s Quality Investment and Retailer’s Selling Effort under Bilateral Uncertainty SHI Kui-ran, SHENG Zhao-han, MA Hu-jie 2014, 22 (1):  37-44.  Abstract ( 1816 )   PDF (1671KB) ( 2031 )   Save Few researches take both the product quality signal transfer of the manufacturer and the selling effort adjustment of the retailer into consideration in existing literature. So this paper, a two-echelon supply chain is considered in which the retailer's selling effort can change the market demand leading to the manufacturer bearing a certain scale of the selling effort. The manufacturer decides whether to invest in improving product quality and both parties hold prior beliefs about the manufacturer's type in case of investment. The retailer revises his belief according to the selling contract offered by the manufacturer, and then decides his selling price and selling effort. Quality investment decision, selling effort decision, pricing decision and the determination of cost allocation proportion of the players are analyzed by proposing the game model. It is shown that the manufacturer invests in product can lead to Pareto optimal when the investment is costless. In order to incentive the retailer's optimal selling effort, the manufacturer will stipulate a certain scale of the selling effort and penalty in the contract. However, in order to avoid the retailer from telling the lie, the retailer has to bear a smaller scale of selling effort than the optimal scale. Furthermore, higher scale of selling effort the manufacturer bears is not always helpful for the retailer, which means that scale over a certain range will hurt the retailer. References | Related Articles | Metrics

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Machine Scheduling Disruption Management with Sequence Dependent Setup Times LIU Feng, WANG Jian-jun, RAO Wei-zhen, YANG De-li 2014, 22 (1):  45-54.  Abstract ( 1796 )   PDF (1749KB) ( 1626 )   Save In this paper, a disruption management problem on single machine scheduling with sequence dependent setup times 1|sij|Cmax is studied. It is originated from practical situations where jobs come from different job families, and during the implementation of initial schedule the priority of certain job would be suddenly upgraded, causing disruption to the original plan. This makes it necessary to consider jobs' sequence deviation from original plan during rescheduling, which is calculated based on job i's relative position to job j in the revised schedule. In this paper, a bi-objective rescheduling model is built, considering both Cmax and sequence deviation. In order to effectively solve the model, local search is combined with global search and a two-stage approach is designed. In stage 1 construction heuristic based on mixed Nearest Neighbor and Insertion is used to obtain good initial solutions for stage 2 to make extension search along the Pareto front. Computational study shows that the proposed approach outperforms the widely applied NSGA-Ⅱ in both proximity and diversity metrics. And for decision-makers, better decision alternatives could be provided for the trade-off between production cost and deviation of disruption. The research sets an example for applying hybrid metaheuristic to deal with disruption in machine scheduling and computational results could serve as comparison for further studies of this problem. References | Related Articles | Metrics

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Decision-Making for Emergency Materials Dynamic Dispatching Based on Fuzzy Demand and Supply WANG Hai-jun, WANG Jing, MA Shi-hua, DU Li-jing 2014, 22 (1):  55-64.  Abstract ( 2337 )   PDF (1206KB) ( 1859 )   Save In order to solve the emergency material dispatching problem for major disasters, based on three-level network of the supply points, supply hubs and demand points, the fuzzy demand and supply conditions and intermodal transportation are studied in this paper. Firstly,a multi-objective nonlinear programming model is proposed with the objectives of total transportation time and cost on the condition of maximizing demand fulfillment rate. It considers two situations of oversupply and short supply. The materials of short supply are supplied with priority Furthermore, the most likely value method is used to determine the weight of fuzzy number and level of confidence. Triangular fuzzy number is converted to determine value with the average weight method. It provides defuzzification strategies and specific algorithm. Decision-makers dynamically give weights to both the objectives thus the flexibility of the model is improved. It finally designs a simulation example according the background of Wenchuan earthquake and verifies the validity of the model with the example. References | Related Articles | Metrics

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Three-level Supply Chain Model for Deteriorating Items With Time-varying Demand Based on the Third-party Logistics Provider CHEN Xiao-xu, WANG Yong, YU Hai-long 2014, 22 (1):  65-73.  Abstract ( 1884 )   PDF (925KB) ( 1793 )   Save With the development of modern logistics industry, business process outsourcing for example transporting and so on has been the trend of enterprise for market competition nowadays. Supply chain models including the third-party logistics service provider (3PL) is more practical and theoretical significance.But the existing literatures rarely consider the effect of the 3PL provider to the supply chain for the deteriorating items with time-varying. Based on this, a three-level supply chain model including the 3PL for deteriorating items with time-varying demand model is developed. Dynamic game theory is used to solve the decentralized optimal solution. The research shows that compared with the transportation costs borne separately by the manufacturer,the transportation costs borne by the 3PL provider will make the order cycle shorter and will reduce the quantity of order in a single cycle. Optimal solutions under the decentralized and the centralized are compared, the conclusion implies that considering the total system profit,the centralized decision can't make this supply chain reach coordination. Finally, a numerical example is provided to support the findings. References | Related Articles | Metrics

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A Research for Multi-stage Facility Layout Problem of Production System Based on Hybrid Ant Colony Optimization Algorithm LI Hui, ZHU Lian-yu, QI Er-shi 2014, 22 (1):  74-83.  Abstract ( 1964 )   PDF (1812KB) ( 1742 )   Save Facility layout problem mainly studies the layouts of manufacturing facilities, which aims at reducing the material handling costs in the plant. An effective facility layout method can contribute to improve the overall operation efficiencies during the process of manufacturing. With the increasingly fierce competition in the market, the market environment is constantly changing. Manufacturing enterprises must continuously redesign the facility layout so as to adapt the changing production demands and reduce the cost. This problem requires the solution of Dynamic facility layout problem (DFLP). In this paper, an improved hybrid ant colony optimization (HACO) is proposed to solve the DFLP with budget constraints. The HACO algorithm proposed by this paper can show good performance both for small and for large scale facility layout problems. There exists great gap between HACO and the other algorithms on solving large scale facility layout problems. Therefore, HACO is an effective method to solve dynamic facility layout problem with budget constraints. References | Related Articles | Metrics

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Pricing and Coordination Research of Dual-channel Supply Chain under Price Comparison SHEN Cheng-ran, XIONG Zhong-kai, YAN Wei 2014, 22 (1):  84-93.  Abstract ( 2596 )   PDF (2030KB) ( 2788 )   Save With the rapid development of mobile internet,the consumers can instantly compare the price of the commodity in the internet channels and retail channels, and select the appropriate channel to purchase products. Considering the price comparison behavior of some consumers who preferred to purchase products in the internet channels, a single channel and dual channel decentralized decision-making model is established in this paper. After obtaining the equilibrium solution of the single (dual) supply chain, the pricing strategies of the supply chain parties are analyzed. The results show that the presence of online consumers undermines the retailer revenue, and increase channel conflict. Finally, the coordination mechanisms for the dual-channel supply chain are designed in the case of the online consumers,and the dual-channel supply chain coordination is realized. References | Related Articles | Metrics

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A Production-pricing Strategy for Deteriorating Items with Partial Backlogging Over a Finite Horizon DUAN Yong-rui, LI Gui-ping, HUO Jia-zhen 2014, 22 (1):  94-103.  Abstract ( 1932 )   PDF (1098KB) ( 1825 )   Save With the development of science and technology, the upgrade rate of products is faster than ever, and the trend of popularity varies continuously. All of these lead to the shorter sales period and production planning horizon. In addition, more and more products are possessed of the characteristic of perishability and limited lifetime. Therefore, the influence of the sales period and perishability of the products on the production planning and pricing cannot be neglected anymore. The issue of joint production planning and pricing decision for perishable items over a finite horizon is studied in this paper. The finite horizon, H, is divided into several cycles with the same interval, and the length of each cycle is H/n. The production rate, R and the deterioration rate, θ, are constants. The demand rate of the products denoted by D(t,p) is dependent on time and price linearly, and D(t,p)=a+bt+cp (a≥0,b≠0,c<0). The unsatisfied demand is partially backlogged, and the backlogging rate B(τ)=K0e-K1τ, <1, k1≥0. The aim of this paper is to find a joint production and pricing policy maximizing the average profit over the finite horizon. The Box complex algorithm is presented to obtain the optimal solution of the proposed model. To illustrate the effectiveness of the model and algorithm, some numerical examples are presented and two demand patterns are considered respectively: the demand is increasing or decreasing over time. The optimal production and pricing policies in the two situations are developed through the Box complex algorithm. It is indicated that for products in the growth stage or at the beginning of sales season, the system should adopt the‘low-volume multi-batch’mode of production. However, for products in the decline stage or at the end of the sales season,‘multi-volume small batch’mode of production is preferred. In addition, the pricing strategies for products with different characteristics and demand patterns are different. For products with shorter sale horizon or higher deterioration rate, the price in the decline stage or at the end of the sales season is lower than that in the growth stage or at the beginning of sales season; however, for products with longer horizon or lower deterioration rate, the price in the decline stage or at the end of the sales season is higher than that in the growth stage or at the beginning of sales season. The model and algorithm addressed in this paper can be used to help making joint decision of production planning and pricing for enterprise producing perishable items. References | Related Articles | Metrics

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Research on Production-Distribution Collaborative Planning for Distributed Decision Environment JIANG Guo-rui, LI Qiang, HE Xi-jun 2014, 22 (1):  104-109.  Abstract ( 1975 )   PDF (869KB) ( 1828 )   Save In the production-distribution system with distributed decision environment, because of the ambiguous information among enterprises,the supply chain production-distribution collaborative planning process often leads to conflicts. These conflicts are not conducive to the optimal solution.At present, the supply chain production distribution collaborative planning under asymmetric information conditions has become hot problem. The multi-level supply chain production distribution collaborative planning based on negotiation mode is studied in this paper under the non-symmetric information. A satisfactory solution method for solving collaborative planning is designed based on the theory of multi level programming planning and interactive negotiation. The supply chain collaborative planning collaborative planning problem can be seen as a multi level programming problem. The concept of collaborative planning satisfactory solution is described and the negotiation algorithm is designed for solving the satisfactory solution. The validation of the model and the process are illustrated by using an simulation example. The results show that the model and the negotiation approach could effectively solve the conflict problem caused by asymmetric information in the process of supply chain production distribution collaborative planning. This research is helpful to extend the production distribution collaborative planning to the general supply chain structure, and it can also improve the collaborative efficiency and management level in supply chain under asymmetric information conditions. References | Related Articles | Metrics

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The Effect of Group Buying Stategy on Channel Performance under Linear Quantity Schedule CHEN Jing-xian, Ma Zhi-qiang, MENG Qing-feng 2014, 22 (1):  110-119.  Abstract ( 1997 )   PDF (1723KB) ( 2240 )   Save Considering a distribution channel that includes one supplier and two duopoly retailers, effects of group-buying strategy on channel performance are studied under the normal operations case and the demand disruption case. Firstly, some noncooperative game models are established to depict the individual-buying and group-buying strategy in the normal operation case. Thus, properties of each Nash equilibrium strategy are analyzed and the differences between both of them are compared. Effect of group-buying on channel profits, as well as its member's profits are concluded. In addition, comparative static analysis of quantity schedule's coefficients and the operational difference between two duopoly retailers to the Nash equilibrium strategy are given under the asymmetric retailer case and the symmetric retailer case. Secondly, the efficiency of group-buying strategy is analyzed when demands are disrupt. It concludes that: (1) group-buying strategy maybe improves channel performance under the normal operation case, while this result doesn't always exist when retailers are asymmetric; (2) properly allocating the deviation cost of the distribution channel will ensure that the channel performance always improve when retailers choose group-buying under demand disruption circumstance; (3) group-buying will make the product's price be more stable. References | Related Articles | Metrics

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The Impact of Introducing Store-Brand Product on the Retailer-Dominant Supply Chain Members’ Strategies CAO Zong-hong, LIU Wen-xian, ZHOU Yong-wu 2014, 22 (1):  120-129.  Abstract ( 1684 )   PDF (1381KB) ( 1891 )   Save As the competition of retail market is becoming increasingly intense, more and more retailers are using the strategy of introducing store-brand (SB) product. First, under a uniformly distributed valuation of national-brand (NB) product accepted by consumers and the retailer-leader Stackelberg game framework, the condition of introducing SB product is obtained in integrated/decentralized/coordinated chain, respectively. Then, the effect of introducing SB product on pricing policies and its related profits is analyzed. Finally, the model is extended to a normal distribution through numerical examples. The result shows that the introduction of SB product can force the manufacturer to reduce NB product's wholesale price and weaken the negative effects of double marginalization caused by making decisions independently, and the retailer always benefits from introducing SB product not only in the decentralized supply chain but also in the coordinated supply chain. However, under a normal distribution, introducing SB product is advantageous for the manufacturer in the decentralized supply chain, and it is adverse for the manufacturer in the coordinated supply chain. References | Related Articles | Metrics

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R&D/Manufacturing/Marketing Cross-Functional Integration and New Product Development：Comparative Study based on Product Innovativeness QIN Jian 2014, 22 (1):  130-138.  Abstract ( 1888 )   PDF (823KB) ( 2079 )   Save Driven factors of R&D/Manufacturing/Marketing cross-functional integration and its' improvement mechanism on NPD performance are examined in this paper. The empirical results show that joint innovation reward, top management support, formalization, and product development dynamics are the important antecedent variables to enhance the effectiveness of cross-functional integration. cross-functional integration increase the product line synergy and NPD performance, and the latter two elements can also upgrade firm market performance, while the above path relationship are contingent depends on the product innovativeness. When the company develops low innovative products, the promote effects of top management support and formalization to cross-functional integration will more stronger compared with high innovative products, the similar effects also exists in the relationship of product line synergy to firm market performance. When the company develops high innovative products, the promote effects of joint innovation reward and product development dynamics to cross-functional integration and its' improvement effects for product line synergy and NPD performance will be more significant. References | Related Articles | Metrics

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The Spatial Patterns on the Diffusion and Imitation of Digital Content Product：An Empirical Analysis based on Spatial Panel Model LIU Xia, DONG Xiao-song, JIANG xu-ping 2014, 22 (1):  139-148.  Abstract ( 1979 )   PDF (845KB) ( 1804 )   Save The advances of new technology have dramatically changed our lives and given rise to a unique kind of products -digital goods -that gain more and more popularities across industry boundaries. Different from traditional types of goods, the digital goods are non-physical, thus their production and transaction enclose almost no cost caused by geographic distance. Firms need to study their diffusion pattern to make better marketing strategy. With the aim to contribute to knowledge about the mechanisms underlying the diffusion of digital goods, about how the adoption pattern differs between different regions in China, and about the role that imitation behavior among consumers play in generating demand for digital goods, using a spatial panel data model, the weekly sales data on one type of digital goods—ring-back tone—at provincial level are analyzed, and the spatial correlations and spatial fixed effect are examined in its Internet sale process. Empirically, a spatial fixed-effect panel model is established, in which the impacts on the diffusion of digital goods come from: previous adopters of the digital goods in the same region, previous adopters from the neighborhood regions, potential consumers in the same region, and new adopters in the neighborhood regions at the same time. The results show that for the diffusion of digital goods, the spatial correlations do not disappear in the cyberspace. The imitation behaviours among the consumers is the direct driving force behind the its sales within a provincial region, and the consumption growths among nearby regions synchronize with each other, which is in accordance with the fashion products nature of ring-back-tone. References | Related Articles | Metrics