Table of Content

20 February 2014, Volume 22 Issue 2 Previous Issue    Next Issue

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Comprehensive Strategy for Currency Risk Hedging in Global Investment YIN Li-bo, HAN Li-yan 2014, 22 (2):  1-9.  Abstract ( 2391 )   PDF (1455KB) ( 2478 )   Save Multi-currency risks are involved in global investment, but traditional hedging methods with currency futures take high cost. Potential benefits of the Chinese Yuan Index (CNYX) futures as an investment and risk management vehicle are analyzed in this paper referred to US dollar index experience. Results presented in empirical experiments indicate that investment in the CNYX futures can offer comparable returns with lower risk parameters, and stronger risk bearing ability of diversified portfolios consisting of domestic and international stock and bond indices over the sample period. The CNYX futures prove to be a good investment vehicle to increase the risk-adjusted return and an effective tool to hedge foreign currency exposure for RMB-based investors. It serves as a more efficient structured product in risk mitigation compared to a basket of foreign currencies, especially in developed equity markets. Dynamic hedging strategies based on exponential weighted moving average (EWMA) model also yield some economic value. Moreover, the performance of the CNYX futures during periods of extreme movements in stock and bond indices is also investigated. It can be found that the CNYX is negatively correlated with stock indices during market extremes, which is an attractive property from a diversification perspective. The CNYX is relatively uncorrelated with bond indices in both market extremes and periods of relative calm. References | Related Articles | Metrics

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Continuous Optimal Liquidation of the Single Hedged Stock under Arithmetic Brownian Movements without Drift TANG Yan-wei, CHEN Gang, LIU Xi-hua 2014, 22 (2):  10-15.  Abstract ( 2623 )   PDF (1464KB) ( 1956 )   Save A hedging strategy without considering transaction cost is uncompleted which would bring risk to the portfolio. Considering the investor has mean-variance utility, the stock and index futures is the arithmetic Brownian movements without drift and market impact is linear, the continuous liquidation trajectory of the single hedged stock is derived under given time span. The parameters analysis shows that the investors are likely to trade quickly if they are more risk aversion or the portfolio's variance is larger; if the correlation coefficient is negative, they want to execute more quickly and vice versa; the liquidation velocity changes opposite to the correlation coefficient under the given hedging ratio. References | Related Articles | Metrics

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Model Specification for the Price Processes in China Stock Market SHEN Gen-xiang, HU Zhi-jun 2014, 22 (2):  16-23.  Abstract ( 2003 )   PDF (960KB) ( 2297 )   Save With nonparametric methods for stochastic process inference based on high-frequency financial data developed recent years, model specification tests for price process in China stock market are implemented in this paper. The test statistics are built based on the asymptotic behaviors of realized power variation and realized threshold power variaton with different power, threshold and sampling frequency. Evidences from empirical studies on Shanghai Stock Exchange Index, Shenzhen Stock Exchange Component Index, and CSI300 imply that processes for these three indices in China Stock Market all contain Brownian motion diffusion, Poisson jump process and Levy jump process. These results provide foundational and empirical conclusiom for relative researches. References | Related Articles | Metrics

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A Study for the Control of Closed-end Fund Price Based on Two Stage Decision with the Limited Amount of Initial Investment WANG Liang, FENG Tao 2014, 22 (2):  24-31.  Abstract ( 2390 )   PDF (1047KB) ( 1917 )   Save During the trading process of closed-end fund, some investors who have large amount of money may control the price of fund. On the basis of some given assumption, considering the condition that the "banker" investor for closed-end fund holding limited amount of initial investment at the beginning of a certain trade period, the fund price control process are divided into two stages. For the first stage, a single goal model which is transformed from a two goal model is gained with the known expected revenue ratio of every time of fund trade period, it can be solved by the Kuhn-Tucker condition. In the second stage, a model is constructed with minimum cash payment. It is a nonlinear program problem and the optimal price control order with an improved genetic algorithm is obtained. The calculating results of the simulation conforms with the "banker" investors' high selling and low buying process. It is valuable for the financial department to strengthen the supervision to the closed-end fund market, and it effectively prevents the excessively manipulation of fund price behavior for the closed-end funds trading. References | Related Articles | Metrics

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Optimization Model of Downside Skewness Minimum on Loans Portfolio LIU Yan-ping, QU Lei-lei 2014, 22 (2):  32-39.  Abstract ( 2202 )   PDF (1381KB) ( 2404 )   Save Based on the theory that combination partial moment can depict credit risk, an optimization model of downside skewness minimum on loans portfolio is set up. Portfolio downside skewness minimum of profits is introduced as objective function to reduce the probability of great loss's occurrence of commercial bank,value at risk is seen as constraint of assets's risk to control the overall risk of loans portfolio. The result demonstrates that the downside skewness don't demand that the loan's yield is normal distribution. and it can not only reflect the "left rail" of the loan's yield primely, but also reduce the probability of serious losses of commercial bank. At the same time, measuring loans risk by the downside skewness could meet the investor's psychology, reflect the relationship among loans and resolve the problem that the existing model analytical ability of existing model is poor. References | Related Articles | Metrics

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Decision Making Method for Multi-attribute Two-Sided Matching Problem between Venture Capitalists and Investment Enterprises with Different Kinds of Information WAN Shu-ping, LI Deng-feng 2014, 22 (2):  40-47.  Abstract ( 2364 )   PDF (1378KB) ( 2569 )   Save According to the character of two-sided matching problem between venture capitalists and investment enterprises in real-life, the two-sided matching model between venture capitalists and investment enterprises with multiple attributes and different kinds of information is constructed and a corresponding decision method is proposed. Due to the uncertainty of market environment and complexity of objective things, real numbers, intervals, triangular fuzzy numbers, linguistic variables and intuitionistic fuzzy numbers are used to represent the evaluation information. Taking the expectation levels as the reference points, the gain or loss relative to the reference points for each attribute value is computed according to prospect theory. Considering the loss aversion trait of the decision maker's psychological behavior, the comprehensively perceived values of venture capitalists and investment enterprises are calculated by using TODIM (an acronym in Portuguese of Interactive and Multicriteria Decision Making) method.The multi-objective optimization model which maximizes the comprehensively perceived values of venture capitalists and investment enterprises and the income of investment intermediary is established. The maxmin method is proposed to solve this model and then the matching results can be obtained. The example analysis shows the effectiveness and reasonability of the method. References | Related Articles | Metrics

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Research on the Competition of Closed-loop Supply Chains and Coordinative Contract Design within Supply Chain under Determinant Functions of Product Demand and Used Product Supply XU Bing, YANG Jin-mei 2014, 22 (2):  48-55.  Abstract ( 2046 )   PDF (884KB) ( 2403 )   Save Considering two closed-loop supply chains consisting of one manufacturer and one retailer respectively, where the retailers recover used products, three models such as EPEC (Equilibrium Problems with Equilibrium Constrains) model, Nash equilibrium model and MPEC (Mathematical Programs with Equilibrium Constrains) model are set up together with their solving processes by using the game theory and equilibrium analysis method, which respectively correspond to three situations that two closed-loop SCs are decentralized SCs or centralized SCs or one decentralized SC and one centralized SC. The comparison of three models shows that the centralized control mode is a dominative strategy under SC competition. Then a wholesale price plus recovery subsidy contract is put forward to coordinate decentralized SC obtaining centralized SC under SC competition. Finally, a numerical example and sensitive analysis is performed, which shows the rationality of models, the validity of the contract mentioned above and the affection of related parameters. References | Related Articles | Metrics

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IT Investment Strategy of a Duopoly with Sequential Entry for B2B E-commerce Website XIE Zhao-xia, LI Li 2014, 22 (2):  56-64.  Abstract ( 2003 )   PDF (1121KB) ( 1976 )   Save In the competitive market of B2B E-commerce website, as user switching costs and network externalities could prevent users to switch to later entrant, the earlier entrant has the advantage to build and retain its market share. However, the declining cost of information technology (IT) over time provides the later entrant a cost advantage. In order to maintain competitive advantage, what should the early and late entrant's investment strategies be in the presence of user switching costs, network externalities, and declining IT cost? To analyze this question, considering these three factors, information investment strategy model of a duopoly with sequentia entry l is developed and the impact of these three factors on IT investment strategy is discussed. The results show that, with the declining IT cost, the early entrant may increase its investment in quality, adopting an aggressive investment strategy when switching costs are high. Otherwise, the later entrant may increase its investment in quality, adopting an aggressive investment strategy, and could offer a higher-quality system and capture a higher market share when switching costs are low. With the enhancement of network externality, the early entrant may increase its investment in quality, adopting an aggressive investment strategy, the later entrant may decrease its investment in quality, adopting a defensive investment strategy. References | Related Articles | Metrics

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Study on Investment Strategies for Online Advertising Based on Internet Environment of Enterprise LIN Hong-wei, SHAO Pei-ji 2014, 22 (2):  65-74.  Abstract ( 2145 )   PDF (973KB) ( 2230 )   Save With the increasing popularity of online advertising, the choice of appropriate online advertising has been the key of successful publishing. Enterprises are faced with dilemma when they select the investment between the portal online advertising and the long tail online advertising. Presently, however, there are no theories and methods aim to the portal online advertising and the long tail online advertising for publishing. Therefore, it is urgent to cry for the theories, methods, and models of online advertising publishing to instruct effectively the operation and management and create more value for enterprises. In this paper, Cobb-Douglas sales function S（a，q）=α-βa-γq-δ is introduced and non-cooperative static Nash investment model, cooperative static Nash investment model and Stackelberg investment model with game theory are built based on the portal online advertising and the long tail online advertising, through the analysis of model equilibrium to get the conditions that advertising investment gain big return from a small investment. In the condition of Stackelberg game model, the conditions are obtained that the long tail online advertising get big revenues from a small investment and the portal online advertising get big revenues from a small investment when they are successively invested respectively. Compared Stackelberg Equilibrium with non-cooperative Nash Equilibrium, the prior investment of online advertising gets big revenues from a small investment and subsequent investment gets small return from a big investment, and the relation of total investment and profits are uncertain. Compared with the non-cooperative online advertising investment model and Stackelberg game online advertising investment model, only the advertising investment based on cooperative Nash Equilibrium strategy can get the maximum profit. Furthermore, it verifies the validity of conclusion with a numerical example. The study conclusions solve dilemma for enterprises when they are faced with the investment between the portal online advertising and the long tail online advertising, it also provides enterprises a new theoretical basis and decision-making method for online advertising investment. References | Related Articles | Metrics

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Fuzzy Non-radial DEA/PS Model with Assurance Regions——an Empirical Analysis based on 24 Institutes of CAS ZHOU Zhong-bao, SUN Liang, LIU De-bin, MA Chao-qun, Liu Wen-bin 2014, 22 (2):  75-84.  Abstract ( 2227 )   PDF (1140KB) ( 1789 )   Save Data Envelopment Analysis (DEA) is a non-parametric approach for performance assessment of a set of homogeneous Decision Making Units (DMUs), which use similar inputs to produce similar outputs. Crisp data are commonly used in non-radial DEA models. However, inputs and outputs have been observed imprecise in many applications. At the same time, multipliers must be maintained at given levels for the production mechanism to work in reality. In this paper, a fuzzy non-radial DEA/PS model is proposed, which can deal with fuzzy data and decision maker's preference. The lower and upper bounds of fuzzy efficiency scores at different levels are determined based on α cuts. The proposed model and algorithm are used to evaluate the performance of 24 institutes of Chinese Academy of Sciences in the end. References | Related Articles | Metrics

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Decision in Professional’s Rank Based on Customers Queuing Behavior ZHOU Hua, ZHOU Sui-yin 2014, 22 (2):  85-93.  Abstract ( 1956 )   PDF (894KB) ( 1772 )   Save For professional service firm, the quality or value by the service is affected by the professionals' rank which is decided by the skill levels of service provider. Professionals with higher rank (skill levels of service) can efficiently diagnose the customers' potential problem types and the services required treating these problems. Upon the better diagnosing by higher rank of professionals, the customers would acquire higher value of rewards from the service and the professional service firm would extract higher revenue from the service. Ignoring the service cost, it's optimal for the firm to hire highest rank of professional. However, professionals with higher rank call for higher cost of professional service, which mainly include paying higher salary to the professional. Tradeoffs such as this are most prevalent in professional service system. In this paper, the problem of balancing the incurred revenue against service cost is studied. To that end a professional services system is established where a firm as service provider hiring a professional provides service to homogenous, self-interested customers. The professional service firm's objective is to maximize the profit margin by selecting optimal rank of professional. Furthermore, the influence of income characteristics of the professional market is also considered. Results demonstrate that the optimal decision for the professional's rank is depend on the differentiation of the professional's ability and the income characteristics of the professional market. References | Related Articles | Metrics

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Multi-Period Online Leasing Problem Based on Performance Ratio and Contract Constraint YANG Xing-yu, ZHANG Wei-guo, XU Wei-jun, ZHANG Yong 2014, 22 (2):  94-100.  Abstract ( 2099 )   PDF (853KB) ( 1736 )   Save Signing leasing contracts is an important method to obtain the temporary using right of an equipment. The decision maker has to decide the number of the leasing days without knowing the number of the actual days he needs the equipment, and it is an online decision problem. Based on the performance ratio analysis and the linear fractional programming method, the single-period and multi-period online leasing problems are successively studied under contract constraint, and optimal leasing strategies and their performance ratios, are obtained respectively in this paper. Thanks to numerical examples, the effects of the daily return, the leasing fee and the loss fee on the optimal leasing strategies and their performance ratios are discussed. The results may instruct the online decision makers in determining the number of the leasing days, and the lessors in determining the leasing fee, the loss fee and so on. References | Related Articles | Metrics

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Stochastic Differential Game Models of Vertical Cooperative Mitigation in Duopoly Electricity Market HUANG Shou-jun, REN Yu-long, SUN Rui, YU Ji-hui 2014, 22 (2):  101-111.  Abstract ( 3153 )   PDF (1338KB) ( 2968 )   Save Considering the channel structure of a grid corporation and two power suppliers,stochastic differential game models of vertical cooperative mitigation are developed.The cooperation is heterogeneous and advantage-advantage,in which the power suppliers invest mitigation and the grid corporation invests utilization,and the feedback equilibria in the decentralized and integrated decision are investigated successively.Based on the comparison between the Stackelberg game and cooperative game,the share of the system's incremental profit under a profit-sharing contract is discussed.The results indicate that the grid corporation would selectively undertake a potion of power suppliers' mitigation expenses in decentralized decision.The equilibrium mitigation of power suppliers,purchase price and mitigation allowance of grid corporation are correlated to the mitigation competition coefficient.The cooperative game helps to raise purchase price in a certain condition and range,and brings about greater risk for the attempt. References | Related Articles | Metrics

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Analysis of Functional Game Model Based on Grey Information Variable FANG Zhi-geng, WANG Chuan-hui, ZHANG Na, TAO Liang-yan, Liu Si-feng 2014, 22 (2):  112-118.  Abstract ( 2054 )   PDF (1110KB) ( 1586 )   Save In real social life, the game strategy or profits with players involved is a variables mapping problem, such as time, space, environment, system or other related variables. From the angle of grey information variable, in this paper, the concept is given and the representation of functional interval grey number is designed. What's more, comparison and arithmetic rules between them are provided. Analysing and describing the form and frame of uncertain information based functional game problems can show the game features, properties and strategic form. Using optimization theory and its related technology to design the optimization algorithm based on uncertain information, not only ways to solve uncertain information problem in real life are provided, but also gives a new method for reference is proposed to solve the practical problems. Finally, by means of computer simulation, a case of " piracy and anti-piracy " provides a detailed comparative analysis which illustrates the scientificity and the accuracy of the information based variable functional game model. References | Related Articles | Metrics

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"Inverse-U" Shape Hypothesis Testing on Equity Restriction and Value-creating Ability of Companies ——Empirical Results based on Panel Data Model RUAN Su-mei, DING Zhon-ming, LIU Yin-guo, YANG Shan-lin 2014, 22 (2):  119-128.  Abstract ( 2185 )   PDF (1730KB) ( 2445 )   Save According to the theory of the modern enterprise, equity restriction and interest control will exert obvious influence on the corporate ability to create. However, it have not yet reached consensus on research of its influential modes and effects. In some empirical researches, the linear equation is used mostly to discuss its linear influence, sometimes polynomial equation is resorted to discuss its nolinear influence. The results of the above researches are sometimes widely divergent because different models and various sample ranges are selected. Therefore, based on some linear unbalanced panel data models, a study is conducted on this topic in this paper. Different influential modes of equity restriction ratio are discussed on the corporate ability to create values: linearity and nonlinearity and corresponding model selection methods are proposed. The model proposed in this paper can solve key problems from three aspects. Firstly, the determination of influential models which equity restriction ratio and interest control will exert on the corporate ability to create values are based on the F test statistics. Secondly, the influential elements on the corporate ability to create values and the effect from those elements on the optimal equity restriction ratio can be confirmed by the extreme point of nonlinear function. Thirdly, the measurement of Period effect of the corporate ability to create values can reveal its dynamic fluctuation rule. Finally, empirical research is carried out on 6674 data samples from 214 public listed companies of A share market of China from the year of 2000 to 2011, its result reveals that the effect of equity restriction ratio on the corporate ability to create values is in a quadratic parabola nonlinear influential model and appears an inverse-U shape changing regular pattern. Moreover, the influence from some other elements will change the optimal equity restriction ratio, which provide theoretical basis to find further main influential factors of the dimensions of the optimal equity restriction ratio, and decision support to implement effective corporate governance. References | Related Articles | Metrics

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Computational Solving and Parameters Analysis of Bargaining Pricing for Properties Based on the Wealth Utility YANG Zhong-zhi, SUN Hao-chen, PENG Jun-wei 2014, 22 (2):  129-134.  Abstract ( 1975 )   PDF (9002KB) ( 1406 )   Save By means of a case study, a wealth utility function of profit gained from the property bargaining is constructed in this paper based on the wealth preference of people. The models of bargaining for property pricing are constructed and the weighted marginal utility zero-sum equation of solving equilibrium price of bargaining are derived. By numerical computation of a case, the effects of individual's preferences, base prices, bargaining power and information on the property equilibrium price are analyzed. Furthermore, the influence of personal wealth amount change on the property equilibrium price or wealth effect is explored. The results obtained in this paper might provide the theoretic basis for the mechanism designs of bargaining for property pricing. References | Related Articles | Metrics

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Research on a Aggregated Model of Double Uncertain Information based on Bayesian Network HU Ming-li, ZHANG Cai-fen, ZHU Jian-jun 2014, 22 (2):  135-141.  Abstract ( 2100 )   PDF (995KB) ( 2333 )   Save The decision making model of aggregating information based on Bayesian network is put forward aiming at a kind of uncertain multi-attribute decision making problems. The interval of each comprehensive evaluated value is calculated according to the information given by the decision maker. Then the expression of comprehensive evaluated value is inferred by the information of the Bayesian network. Finally, the comprehensive evaluated value of each alternative is calculated by the aggregated model of this paper. An example is presented and the validity and feasibility of this model is verified. References | Related Articles | Metrics

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An Empirical Study on the Factors Influencing Firm Performance in IT Outsourcing LIU Xu-feng, AI Shi-zhong 2014, 22 (2):  142-148.  Abstract ( 2149 )   PDF (1126KB) ( 2067 )   Save On the basis of existing literature about relational governance and firm performance, three relational governance attributes, i. e. harmonious confict resolution, mutual dependence, and relational norms are identified, and a conceptual model of the factors influencing firm performance in IT outsourcing is built. After investigating more than 20 IT outsourcing companies in Beijing, Shanghai and Xi'an, structural equation modeling approach is employed to analyse the conceptual model and hypotheses. The empirical research result shows that trust, commitment and knowledge sharing have significant positive effects on firm performance, and trust's and commitment's effect on firm performance are both the direct and indirect effect, and knowledge sharing's effet on firm performance is the direct effect. Trust, commitment and knowledge sharing have strong mediating effects, and harmonious conflict resolution and mutual dependence have indirect effects on firm performance with the mediating role of trust, commitment and knowledge sharing constructs, and relational norms has indirect effects on firm performance with the mediating role of commitment and knowledge sharing constructs. References | Related Articles | Metrics