Table of Content

20 March 2014, Volume 22 Issue 3 Previous Issue    Next Issue

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Variable Structure Copula Models of Credit Risk Correlation under the Condition of Jump-Diffusion Process LUO Chang-qing, ZHU Hui-ming, OUYANG Zi-sheng 2014, 22 (3):  1-12.  Abstract ( 1707 )   PDF (2287KB) ( 1940 )   Save According to the shortcoming of the current literatures that stress more on the diffusion process, variable structure Copula models are constructed for credit risk correlation evaluation under the condition of jump-diffusion process. By applying the Chinese Listed Companies data from 1991 to 2010, the industry indexes of credit risk are calculated, and the empirical results show that the common factor and the industry idiosyncrasy factors lead the jump several times during the sample period. On the basis of identifying the variable structure points, the variable structure copula models are constructed. The results show that the models can describe the credit risk correlation accurately, and the dynamic correlation coefficients are above 0.5 for all industry match-up. Meanwhile, it can also found that the credit risk of different companies rise together, but it may not fall together. The models and conclusions are helpful to understand the credit risk correlation or contagion, thus they can provide more methods and instructions for the credit portfolio management and risk management. References | Related Articles | Metrics

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Rank-Reconstruction Based Constant Rebalanced Portfolios LIU Xue-wei, HE Chang-zheng, ZHU Bing 2014, 22 (3):  13-19.  Abstract ( 1834 )   PDF (1144KB) ( 1252 )   Save The Constant Rebalanced Portfolio (CRP) is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. The best CRP is optimal when the stock return time series is I.I.D.. However the unrealistic I.I.D. condition set the CRP back from application. By means of reconstructing the real financial data to be I.I.D., it is possible to apply the CRP to investment industry. The optimality of rank-reconstruction based Constant Rebalanced Portfolios (rankCRP proposed in this paper) is proved theoretically. And the empirical study on several markets shows the effective of rankCRP. The study sheds light on the relationship between CRP and non I.I.D. time series. References | Related Articles | Metrics

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GMM Estimation and Testing for B-CAPM Model ZHANG Wei-dong, GONG Jin-guo 2014, 22 (3):  20-25.  Abstract ( 1554 )   PDF (1401KB) ( 2415 )   Save B-CAPM model, one of development of capital asset price model (CAPM), should be more suitable to varying capital market. In this paper, firstly, the transform and theoretical implications from CAPM to B-CAPM are analyzed. Then using MLE, the zero-beta expected return of B-CAPM is calculated. Finally the estimation and testing for B-CAPM are constructed empirically using GMM by an example. The conclusion shows that B-CAPM fits to measure the risk and return in security market and to test the efficiency of security market. GMM is a more suitable method. References | Related Articles | Metrics

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Intelligent Integration Forecasting Method and Its Application ZHANG Jie-kuan 2014, 22 (3):  26-33.  Abstract ( 1856 )   PDF (1438KB) ( 1721 )   Save Artificial neural network has been an important role in grey system prediction with the excellent properties having any arbitrary precision approximation for any nonlinear function. On the basis of existed research, considering problems of low efficiency, local optimum and retardation of parameter modification in grey neural network evolution process, in this paper a new grey neural network model is established based on genetic algorithm and particle swarm optimization. Firstly, a mathematical grey neural network is proposed in order to use optimization algorithm to solve it. Secondly, a hybrid algorithm is given to optimize the neural network model, which takes both advantages of genetic algorithm and particle swarm optimization. Finally, through calculation analysis of sample about tourist quantity forecasting Japan to China, the prediction accuracy of new grey neural network, grey neural network, genetic algorithm grey neural network and particle swarm optimization grey neural network is compared. The simulation results show that the new grey neural network based on genetic algorithm and particle swarm optimization has better forecast performance, which can have a wide application prospect in social and economic fields. References | Related Articles | Metrics

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Service Level Guaranteed Emergency Repair Station Location Model and Solution YU Peng, JUAN Zhi-cai 2014, 22 (3):  34-41.  Abstract ( 1372 )   PDF (908KB) ( 1634 )   Save The problem of emergency repair station location for a kind of valuable equipments with low failure rate is investigated in this paper.Considering this problem, equipment failure frequencies and the travel time from emergency station to equipment are stochastic, and each equipment should be assigned to an emergency repair station, and the service level of entire emergency repair system should be above some standard level. The distribution of the total times of emergency repair teams be late when equipment be failed has been derived under several assumptions. The problem of emergency repair station location is characterized as 0-1 integer programming model, with minimization the whole setup cost of emergency repair stations as objective function, and equipments been covered, emergency repair assignment relation, entire system's service level as constraints. A lagrangian relaxation heuristic algorithm is proposed to solve the model by relaxing several constraints. The effective of the model and algorithm has been proved by calculating a large number of random examples. References | Related Articles | Metrics

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A New Risk Decision-making Theory：Based on Value and Risk WANG Qing, CHEN Guo, LIU Min 2014, 22 (3):  42-50.  Abstract ( 1448 )   PDF (910KB) ( 3469 )   Save Risk decision-making is an important research field of management, psychology and economics. By reviewing and analyzing the classical risk decision-making theories, multiple reference points, risk perception and multi-criteria decision-making are poposed as the theoretical basis. Then, the reference points in decision-making are categorized as expected reference point and disgusting reference point, and risk is defined as the negative deviation between the future state of decision incidents and the expectation reference point. In the light of the above, a risk decision-making theory based on value maximization and risk minimization, together with risk evaluation method and an integrated decision model based on expectation value and risk, is developed in this paper. Finally, the decision theory is tested on classical decision-making paradoxes and some decision-making examples. And the testing results prove the proposed risk decision-making theory is strongly explanatory to risk decision-making. References | Related Articles | Metrics

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Differential Pricing Strategy of Considering Retailer’s Fairness Concerns in the Closed-Loop Supply Chain ZHANG Ke-yong, WU Yan, HOU Shi-wang 2014, 22 (3):  51-58.  Abstract ( 1475 )   PDF (1915KB) ( 1566 )   Save In this paper, differential price strategies of the closed-loop supply chain for considering fairness concerns behavior are studied, and two different price models are constructed under two different situations in which the manufacturer considers retailer's behavior of fairness concerns or the manufacturer doesn't consider retailer's behavior of fairness concerns. Differential price models are analyzed by game theory. The results show that the retailer's fairness concerns behavior tendencies affect to some degree the differential price strategies as well as the profits of the retailer and manufacturer, and the end-of-life recycling quantity. The manufacturer makes more benefits when he considers the retailer's behavior of fairness concerns than he doesn't, and so on its will increase the amount of recycling waste products of the closed-loop supply chain system and in favor of resource recycling and reusing when the retailer is fairness concerns. The study shows that the behavior of fairness concerns is an effective measure for the retailer to obtain the channel distribution of gains, but the efficiency of the closed-loop supply chain decreases at the same time. References | Related Articles | Metrics

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Research on Problem of Scheduling of Helicopter Coordinated with Vehicle for Resources Distribution in Snowstorm QI Ming-liang, QIN Kai-jie, ZHAO Yan 2014, 22 (3):  59-67.  Abstract ( 1556 )   PDF (2116KB) ( 1403 )   Save Scheduling problem of helicopter coordinated with vehicle for relief distribution in snow disaster is the focus of this paper. With constraints of the ability of clearing snow in the road and the relief time windows, the set of roads and the order of roads to be cleared are determined at first, and the object is the maximum of traffic volume. The demand of the sites before cleared and the remanding sites are supplied by the helicopters. In the second stage, the route of the helicopter and the unloading to each site are decided. The final objective is to maximize the minimum sustain time of all the sites. Two mixed-integer programming models are proposed and a heuristic algorithm is.presented. A numeral example based on the network of road in the northwest of China is given at the end. References | Related Articles | Metrics

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Power Economic Dispatch of Microgrid Based on Genetic Algorithm ZHOU Kai-le, SHEN Chao, DING Shuai, YANG Shan-lin 2014, 22 (3):  68-73.  Abstract ( 1474 )   PDF (2097KB) ( 1965 )   Save Power economic dispatch is an important kind of optimization problem in the power systems, that is, achieving the lowest tatal cost of power generation while meet many kinds of system constraints. In order to promote the optimal operation of microgrid, the power economic dispatch problem is studied in this paper of the microgrid with diesel generator, microturbine, photovoltaic power generator and wind turbine. At first, the generation characteristics and cost functions of the micro power generators are analyzed. Then the power economic dispatch models under islanded mode and grid-connected mode are constructed respectively. The objective function of the optimization model under islanded mode is the total costs which include the fuel costs and operation maintance costs, and the constraint conditions include the constraint of power generation and the constraint of system power balance. While the income and expenses of the transaction between microgrid and the large power grids are added to the objective function of the optimization model under grid-connected model based on the model under islanded mode, and the electricity transaction constraint are added to the constraint conditions. Finally, the optimization models under both modes are solved by genetic algorithm. The results show that the power economic dispatch method proposed in this paper can effectively reduce the operating costs and promote the optimal operation of microgrid. References | Related Articles | Metrics

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Spread Model of Major Infectious Disease Based on Generalized Stochastic Petri Nets LI Yong-jian, WANG Xun-qing, QIAO Xiao-jiao 2014, 22 (3):  74-81.  Abstract ( 1687 )   PDF (1928KB) ( 1661 )   Save Major infectious disease attributes are extracted in this paper by the approach of multi-case study to describe the major infectious disease structurally from the event type, the key attributes, the secondary attributes, the environment attributes and the hazard assessment attributes. On the basis of the structural description, properties of related events in the events chain are analyzed for the process of major infectious disease, the Generalized Stochastic Petri Nets (GSPN) is applied to model the diffusion of major infectious disease, and the corresponding Markov chain is established based on isomorphic relation between GSPN and Markov chain. Finally, the equilibrium state and fluctuation pattern of the system are studied for evaluating and improving the system with Markov chain and corresponding mathematics method, which provides decision-making support for monitoring and responding to the major infectious disease. References | Related Articles | Metrics

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Research on Internet Public Opinion Heat based on the Response Level of Emergencies CAO Xue-yan, ZHANG Xian, LIU Liang, FANG Kuan, DUAN Fei-fei, LI Shi-ming 2014, 22 (3):  82-89.  Abstract ( 1665 )   PDF (1480KB) ( 2742 )   Save Emergencies level is basis for emergency management department to take response measures. Moreover, the network public opinion heat is an important factor in emergencies development. The scale of public opinion heat which contained emergencies level is constructed in this paper. Eight typical case from the perspective of different response level and event type are selected, and data mining softwares like GooSeeker etc.are used to get basic data and obtain the heat value of incidents. By building the chart which reflect the dual dimension factor of response level and public opinion heat, it can be found they have the corresponding relationship of "consistency" and "inconsistency". The rosults show that the scale of public opinion heat that contained response level make the heat of public opinion contact with the government response level, the evaluation index is more perfect. The heat index contribution of response level at the different correspondence is obtained public opinion strategies and propose recommendations are enriched and improved. References | Related Articles | Metrics

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Study on the Quality-Coordination Contract of Manufacturing Supply Chain under Double Moral Hazard SHEN Qiang, HOU Yun-xian, YANG Wei-min 2014, 22 (3):  90-95.  Abstract ( 1317 )   PDF (1592KB) ( 1395 )   Save Fairness is the effectiveness premise of the contract, and also the guarantee of coordination improvement of a supply chain. Considering the influence of market change on the contract's fairness, in this paper, considering double moral hazard, a quality control game model for a manufacturing supply chain based on the Principal-agent theory, and the quality-control levels of the supplier and manufacture both which have quality failures are analyzed. How the change of the market and quality cost impact on the fairness and effectiveness of the contracts is also studied. The result shows after the simulation verification, the accuracy of investigation technology affects the fairness and effectiveness of external loss sharing contracts directly while is invalid on the internal punishment contracts. The external loss sharing model will coordinate the supply chain only when the supplier does not have to be responsible for the manufacturers' to failure. The effects of internal punishment contracts will be higher than the external loss sharing contracts with the increase of the supplier's quality-control costs, while the external loss sharing contract will be more effective with the decrease of the manufacturer's quality-control costs. So, to realize the quality coordination in a supply chain, fairness of the contract is underlying premise and should be first. References | Related Articles | Metrics

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On-line Auction Strategies on the Internet Based on Risk Preference DING Li-li, XU Yin-feng, LIU Xin-min 2014, 22 (3):  96-102.  Abstract ( 1475 )   PDF (901KB) ( 1397 )   Save The seller's strategies of the on-line auction problem are studied in this paper. Traditional assumption that sellers are always risk averse is extended and a risk reward framework is established based on risk preference. Two auction strategies of RPS and MPS are designed for the risk taking sellers. The analyses show that the competitive ratios of these two strategies are lower than one of the traditional strategy, and they can achieve better performance. It proves that the risk preference and forecasts determine the auction quantities and auction prices. Finally, numerical examples show that risk tolerance and auction reward are positive. Furthermore, multiple forecasts on reference prices can improve the sellers' forecasting ability and increase auction reward. References | Related Articles | Metrics

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Continuous Payment of Cash Dividend, Investment Efficiency and Corporate Value——PSVAR Model-based Empirical Research WANG Xiao-yong, KONG Dong-min, LI Shang-ao 2014, 22 (3):  103-114.  Abstract ( 1492 )   PDF (2856KB) ( 1254 )   Save Based on the dataset of 1353 listed companies from 1998 to2009 in China in this paper, a panel structural vector auto-regressive model is established to analysis the relationship between cash-dividend, investment efficiency and corporate value by classifying the sample according to economic nature of ultimate controller and whether payment is continuous. The impulse response function and variance decomposition for continuous-payment companies and discontinuous-payment companies reflect the following results. As to the private company, the investment occupies the positively effect of the cash dividend and bring about the negative cumulative impulse in discontinuous payment companies while the opposite is true in continuous-payment companies. The response function value of investment to the impulse of cash dividend and impulse of investment to corporate value are all negative in the whole local government controlled companies. Although the continuous-payment curb the overinvestment in the central government controlled companies, that has little effect on investment variance. If discontinuous-payment companies controlled by central government are implemented financing policy for conditions of paying cash dividend, they will be limited to develop. References | Related Articles | Metrics

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Full Rank of Fuzzy Decision Making Units Based on Enhanced Russell Measure WANG Mei-qiang, LI Yong-jun 2014, 22 (3):  115-120.  Abstract ( 1455 )   PDF (941KB) ( 1263 )   Save Just like crisp case, the problem of the existence of multi efficient decision making units (DMUs) under fuzzy environment is ubiquitous in application of Data Envelopment Analysis (DEA), this would make decision maker puzzled. To overcome this difficulty, a super efficiency DEA model based on enhanced Russell measure is presented in the paper firstly. Then, based on comparison of fuzzy numbers, a super efficiency DEA model based on enhanced Russell measure under fuzzy environment is also presented. Thereby, the problem of full sorting fuzzy decision making units is solved. Comparative analysis of fuzzy super efficiency DEA model based on enhanced Russell measure and based on CCR model is carried through a numerical example in the end of the paper. The proposed method will be particularly useful when the number of fuzzy DMUs are small compared with the number of criteria employed for evaluation. References | Related Articles | Metrics

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Multi-attribute Decision Making based on Triangular Intuitionistic Fuzzy Number Choquet Integral Operator WAN Shu-ping, DONG Jiu-ying 2014, 22 (3):  121-129.  Abstract ( 2024 )   PDF (965KB) ( 1507 )   Save In this paper, the Hamming distance between the triangular intuitionistic fuzzy numbers is defined. The triangular intuitionistic fuzzy arithmetic aggregation operators are developed under the independence of attributes. Combining the fuzzy measure and Choquet integral, the triangular intuitionistic fuzzy Choquet integral aggregation operator is defined. Some desirable properties for this operator are investigated. What's more, for the interactive multiple attribute decision-making problem in which the evaluation information for the alternatives is expressed with the triangular intuitionistic fuzzy numbers, the overall attribute value of alternative is integrated by the triangular intuitionistic fuzzy Choquet integral aggregation operator. The multi-objective programming model is constructed and transformed into linear object programming to solve. The fuzzy measures of the attribute set are objectively derived. The corresponding decision making method is then proposed. The example analysis shows the effectiveness and reasonability of the method. References | Related Articles | Metrics

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Density Forecast Evaluation based on Data-Driven Smooth Test—Taking HSI、SHCI and TWII for Example ZHANG Yu-peng, WANG Qian 2014, 22 (3):  130-140.  Abstract ( 1711 )   PDF (972KB) ( 1533 )   Save In this paper, a data-driven smooth test for in-sample and out-of-sample density forecast evaluation is developed, the Newey-Tauchen method and the West-McCracken method are applied separately to correct the effects of the parameter estimation on the in-sample and out-of-sample test statistics. Then, procedure proposed is applied to analyze the in-sample and the out-of-sample forecast performance of various maximum entropy GARCH models for three stock indexes-HSI、SHCI and TWII. The results justify that the maximum entropy GARCH model could be used to capture excess kurtosis, asymmetry and high peakedness generally observed in financial data, the Pearson type IV distribution which taking care of fat tail and skewed conditional distribution in GARCH-type models is of importance for the stock return density forecast. Moreover, it can be found that better in-sample goodness-of-fit and forecast performance does not imply better out-of-sample forecast performance. References | Related Articles | Metrics

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Product Market Competition, the Tendency of Controlling Shareholders and Cash Dividends Policy CAO Yu 2014, 22 (3):  141-148.  Abstract ( 1757 )   PDF (893KB) ( 1510 )   Save Relationship between product market competitions, controlling shareholders cash dividend distribution tendency and cash dividend policy are empirically studied in this paper by taking unbalanced panel data of 4093 companies listed on Shanghai and Shenzhen Stock Exchanges as esperiment data. The results show that controlling shareholder has a significant tendency of cash dividend distribution and the tendency is not impacted by nature of shareholders significantly. However, further studies show that the tendency is significant under the high-level of product market competition condition. The controlling shareholders tend to pay more cash dividends with the increase of product market competition. The result is explained by agency theory and dividend "hollowed out" theory and it implies that the product market competition plays a good role of external governance mechanism, which can effectively inhibit the moral hazard of managers and the controlling shareholders' tunneling behaviors of the other forms except dividend distribution. References | Related Articles | Metrics