Table of Content

31 October 2009, Volume 17 Issue 5 Previous Issue    Next Issue

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Forecasting Models for Non-performing Loans of Non-extreme Recovery CHEN Mu-zi, MA Yu-chao, WANG Bo, CHEN Hao, TANG Yue, CHEN Min, YANG Xiao-guang 2009, 17 (5):  1-8.  Abstract ( 2517 )   PDF (1122KB) ( 1309 )   Save Using the data from Lossmetric,this paper tries to build forecasting models for non-performing loans of non-extreme recovery. The paper first uses beta-normal transformation and logit transformation to process recovery rates,and gives an individual analysis for each impacting factor on recovery rate. Then the paper proceeds a model-establishing process from simple model to complex model,from single debt obligor's model to multi-debt obligor's model,aiming at a comprehensive investigation on the impacting factors. Empirical results show that both the single debt obligor's model and the multi-debt obligor's model have good predicting power,moreover the single debt obligor's model itself can reflect the relationship between the recovery rate and the impacting factors,and it can be used as the foundation of multi-debt obligor's model. Related Articles | Metrics

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The Study of Fix Points on the Term Structure Curve of Forward Exchange Rates LI Xiao-Ping, FENG Yun, WU Chong-Feng 2009, 17 (5):  9-19.  Abstract ( 2323 )   PDF (1749KB) ( 1111 )   Save With the deepening of financial globalization,the links between the monetary policies of some economies are getting closer and closer,therefore,the impact of interest rate adjustment on the forward curve becomes intricate and complex. In this paper,we study the existence and uniqueness of fixed points on the forward curve when two economies adjust their target interest rates. At first,we propose the condition for existence and uniqueness of fixed points on the forward curve,when the term structure of interest rate occurs various changes caused by interest rate adjustment. Then,based on the macroeconomic situations and monetary policy implemented by U.S. and Canada,we select five typical cases to verify the theory,which are common in the real monetary policy. The empirical results show that there exist some fixed points on the forward curve when the term structure of interest rates and spot exchange rate meet certain conditions. Related Articles | Metrics

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Warrants Pricing:The Classic B-S Model vs. CSR Model Dai Jun 2009, 17 (5):  20-26.  Abstract ( 2470 )   PDF (759KB) ( 1575 )   Save Since different kinds of warrants price models exist,this paper chooses two of them:B-S model and CSR model as the starting point to research the optimal warrants pricing model in Chinese warrants market. Using the 15 warrants in the state of transaction listed on the China's two bourses as samples; this paper makes detailed analysis and comparisons of the pricing ability for these two models. The pricing results show that B-S model is more appropriate to Chinese warrants market,and the warrant is seriously overpriced in China. There is a strong manipulation in the market. Based on some special institutional mechanism,we use "resale options" theory to study the reasons for such manipulation,andpropose some policy suggestions in the end. Related Articles | Metrics

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Research on Revenue Effect of Jump Bidding of Bidders in Ascending Auction TIAN Jian, TANG Xiao-wo, MA Yong-kai 2009, 17 (5):  27-31.  Abstract ( 2315 )   PDF (456KB) ( 1318 )   Save Jump bidding is a prevalent phenomenon in the ascending auctions. It is a concerning problem whether jump bidding can increase the expected revenue of bidders. Considering the two circumstances of single unit and multi-unit auction,the jump bidding equilibrium is respectively solved by the method of game theory. We calculateds the expected revenue of bidder under the jump bidding equilibrium and compares it with that under non-jump bidding.The general condition under which bidders can use the tool to improve their expected revenues is given. Related Articles | Metrics

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Testing Non-tradable Share Reform’s Impacts to the Effectiveness of the Stock Market Based on the Bullish-Bearish Traders’ Model YU Yu-xin, YU Yu-ying 2009, 17 (5):  32-38.  Abstract ( 2122 )   PDF (859KB) ( 1164 )   Save This paper constructs the bullish-bearish traders' model based on the viewpoint that the market price is the results from the interactions of bull-bear heterogeneity trades. Then it uses the conception of relatively efficient market as the basis of empirical testing. It finds tant the non-tradable share reform improves the operating efficiency of China's market and raises the relatively efficient of China' s market by using Chinas stock market data However,the findings also show that China's market is still less than market effciency and we should push the building of system in order to further improve the effectiveness of the market Related Articles | Metrics

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Capacity Expansion and Allocation of Logistics System in a Multi-channel Supply Chain LIU Kai-jun, ZHANG Zi-gang 2009, 17 (5):  39-45.  Abstract ( 2418 )   PDF (640KB) ( 1279 )   Save When a traditional supplier extends her business from the single channel of in-store retailers to the multi-channel of in-store retailers and e-retailers,she needs to expand her logistics system to supply the new demands from online customers. This paper considers a two-echelon logistics system consisting of a center warehouse and several district warehouses A capacity expansion and allocation model (CEAM) is developed with the structure of current logistics system unchanged.And a Lagrangian relaxation algorithm is designed to solve CEAM. Numerical experiments show the efficiency of the algorithm and illustrate the trade off between transportation cost and inventory pooling effect when searching for the optimal solution. Related Articles | Metrics

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Design of the Premium Mechanism and the Premium and Penalty Mechanism for the Remanufacturing Reverse Supply Chain Coordination WANG Wen-bin, DA Qing-li, SUN Hao 2009, 17 (5):  46-52.  Abstract ( 2340 )   PDF (858KB) ( 1527 )   Save This paper designs the premium and penalty mechanisms,establishes seven different decision structure models,and studies the validity of incentive mechanism for leading the collector to increase its collection quantity in five cases. The results show that it is of no effect for the manufacturer offering the collector premium and penalty mechanism;however,the premium mechanism offered by the government to the manufacturer or the collector can coordinate the reverse supply chain. Furthermore,it is as efficient for the government offering the manufacturer premium mechanism as offering the collector the mechanism. The premium and penalty mechanism offered by the government to the manufacturer or the collector can coordinate the reverse supply chain. It is more efficient for the government offering them premium mechanism than the premium and penalty mechanism,sine the former is valid for increasing both the manufacturer and the collector's enthusiasm. The premium and penalty mechanism is similar to the premium mechanism in leading the collector and the manufacturer. The prices are the same under both mechanisms;ho wever,the profit of the manufacturer or the collector from the premium and penalty mechanism decreases, and the decreasing quantity is in proportion to the premium and penalty degree. Related Articles | Metrics

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Research on Coordination Mechanism of Supply Chain with Disruption when Multiple Retailers Competition CAO Er-bao, LAI Ming-yong 2009, 17 (5):  53-60.  Abstract ( 2280 )   PDF (924KB) ( 1261 )   Save From the perspective of corporation management and system optimization,this paper studieds the problem that how to make the emergency response decision of a supply chain system consisted of one supplier and n Cournot competing retailers when facing the disruptions. It is proved that a revenue sharing contract can be used to coordinate the supply chain under normal environment. But the coordination may be broken off by demand and cost disruptions. When the market demand increases and production cost decreases,the production quantity of supplier must increase. When the market demand decreases and production cost increases,the production quantity of supplier must decrease. And,the optimal strategies that the centralized decision-making supply chain replied to the disruptions is proposed by solving the Karush-Kuhn-Tucker(KKT) condition of optimal profit of supply chain system under disruptions. It is further proved that an improved revenue sharing contract can be used to coordinate the decentralized decision-making supply chain. Finally,a numerical experiment is adopted to validate the models Related Articles | Metrics

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Supply Chain Coordination Model for Deteriorating Items With Stock-dependent Demand CAO Zong-hong, ZHOU Yong-wu 2009, 17 (5):  61-67.  Abstract ( 2037 )   PDF (806KB) ( 1286 )   Save The coordination problem of a supply chain system is studied consisting of one supplier and one retailer under the situation of considering linearly stock-dependent demand,the deteriorating products and (S,s) strategy that the retailer adopts. Volume discounts is offered to achieve the prefect coordination of supply chain. The uniqueness and existence of optimal strategies are testified theoretically,and the simple resolving method is given. Finally,the numerical examples show that the model is very effective in improving the coordination of the supply chain and the profits of the two parties. Related Articles | Metrics

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Two-Stage Genetic Algorithm for SM-CC Production Scheduling LI Tie-ke, SU Zhi-xiong 2009, 17 (5):  68-74.  Abstract ( 2271 )   PDF (812KB) ( 1684 )   Save Steelmaking-continuous casting production process can be abstracted as a hybrid flow-shop.AO-1 mixed-integer linear programming model is established for this scheduling problem. In this model,no dead time inside the same cast at the last stage is treated as equality constraint,and graded penalty method is used to balance the sojourn times. Based on Benders'decomposition,a two-stage genetic algorithm combined GA and LP is proposed. In the algorithm design,a new chromosome encoding is used to represent the charge assignment and processing sequence solution,and genetic operations are given for this coding scheme. In the first stage,a high quality population by minimizing the weighted sum of overlapping time is found. And in the second stage the linear programming model to guide the iteration process is used. Finally,the result of simulation experiment with practical production data indicates that it is an efficient algorithm for this production scheduling problem. Related Articles | Metrics

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A Cost Trade-off Model Based on the Network Improvement Problem for Facility Service YANG Jun, WANG Ling, YANG Chao 2009, 17 (5):  75-80.  Abstract ( 2229 )   PDF (811KB) ( 1406 )   Save Due to the service efficiency and the demand expansion in logistic network,we need to adjust weight of arcs (distribution time) to optimize the service of the network,in which the facilities are located. Two factors:operation cost and improvement cost are considered in this problem.In this paper,the cost trade-off model based on the network improvement is described. We present strongly polynomial time algorithms to solve this problem in a tree by transforming it to the minimum cost flow problem with auxiliary network. Finally,we compute an example and give trade-off analysis. Related Articles | Metrics

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Deteriorating Products Sale and Ordering Policy under the Condition of Permissible Delay in Payments LIU Tao, LI Bang-yi, GONG Yan-de 2009, 17 (5):  81-87.  Abstract ( 2405 )   PDF (515KB) ( 936 )   Save This paper proposes the Stackelberg game model to get the deteriorating items optimal trade credittactic as well as ordering policy subject to the single vendor buy er supply chain under the condition of permissible delay in payments,in order to maximize annual net profit.Finally we develop analgorithm to solve this problem.Numerical examples are shown toil lustrate the effect of sensitivity of inter estrates on trade credit length,supplier's profit,retailer's profit,retail price,order cycle and quantity in the paper,which of ferguidance for supplier's trade strategies and retailer's inventory policy. Related Articles | Metrics

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Coordination of Agri-food Chain with Revenue-sharing Contract under Stochastic Output and Demand ZHAO Xia, WU Fang-wei 2009, 17 (5):  88-95.  Abstract ( 2946 )   PDF (1086KB) ( 2426 )   Save Due to the effect of uncertain factors such as seasonal weather,the output of agriculture production is uncertain given certain agricultural inputs. This paper addresses the issue of coordinating agri-food chain with perishable goods by revenue-sharing contract when both output and demand random factor are uniform distribution. Under revenue-sharing contract,a supplier decides on agricultural input (e) and deliveries all goods with a price(ω)lower than its production cost per unit to the retailer while a retailer decides on the retail price (p) and return 1-Ф share (percentage) of its revenue to the supplier. Under such a contract,we analyze the basis of coordination of the chain and provide the relationship between ω and Ф teas well as the range of Ф A numerical example illustrates the correctness of our analysis. The results show that the revenue-sharing contract is able to coordinate the agri-food chain effectively and the optimal decisions of p and a are closely related to the demand price elasticity. The results also show the range of Ф is widen when the expected output increases. Related Articles | Metrics

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Study on Joint Location-Inventory Model under Stochastic Demand HUANG Song, YANG Chao 2009, 17 (5):  96-103.  Abstract ( 2330 )   PDF (239KB) ( 1124 )   Save A class of joint location-inventory models for products with seasonal selling property is investigated in this paper. Based on the traditional uncapacitated fixed charge facility location problem, the working inventory cost and the safety stock cost in the distribution centers, as well as the impacts or scale of economy and risk pooling, are considered. Considering the uncertainty offuture demand with seasonal products, this paper treats the replenishment decisions as exogenous decision variables, and develops a joint location-inventory model aiming at the maximization of expected revenue. The proposed model extends the existed joint location-inventory models. As the proposed model is a mixed integer programming problem, a two-phrase solution procedure based on Lagarangian relaxation algorithm is developed to solve this problem. At last, four groups of numerical examples which are generated stochastically are given and the solution resups show that the proposed Lagrangian relaxation approach can solve the problem effectively. Related Articles | Metrics

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Decision Analysis on Collection and Remanufacturing of Used Products Based on Different Power Structures SUN Hao, DA Qing-li 2009, 17 (5):  104-112.  Abstract ( 2236 )   PDF (968KB) ( 1249 )   Save This paper studies decision-making on collection and remanufacturing of used products with four different power structures,including Manufacturer-leading,Collector-leading,Vertical Nash equilibrium and Centralized decision. The optimal solutions of decision variables are given and compared among these four power structures. The research shows that the system benefits under three decentralized cases are not optimal,compared with centralized decision. The system benefit under Vertical Nash equilibrium is strictly super to that of Manufacturer-leading. When the collector leads in the reverse supply chain,the system benefits can achieve the level of the centralized decision in some conditions. In contrast,in the cases of Manufacturer-leading and Vertical Nash equilibrium,the system benefits can never achieve it.Exp ense sharing contract and two-tariff contract are used to coordinate the reverse supply chain under the structure of Manufacturer-leading and Collector-leading,respectively. Related Articles | Metrics

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Multi-stage Dynamic Coordination and Control model for Mass Crowds’Activities Based on Multi-agent LI Jin, ZHU Dao-li 2009, 17 (5):  113-119.  Abstract ( 2015 )   PDF (802KB) ( 1391 )   Save With the rapid development of economy,our country will hold more and more mass crowds'activities,e. g.Olympic Games,World Expo.In order to reduce the phenomena of long time queuing and congestion in mass crowds'activities,avoid the population accidents and improve the visitor's satisfacdon,multi-stage dynamic coordination and control model based on multi-agent is proposed. And a coordination algorithm PCI is given. By introducing the concept of Pareto Optimality,a method is given to select the next visiting node and the route choice is made using Logit model.This coordination algorithm is compared with two other existing algorithms by computer simulation. The results show that the coordination algorithm PCI meets the real-time need;the algorithm C and PCI can effectively reduce queuing time;and the algorithm PCI can promote the best social welfare. Moreover,its advantage is more obvious in mass crowds activities. Related Articles | Metrics

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Study on the Optimal Termination Time in Venture Capital Based on Venture Project’s Value GU Jing, ZHOU Zong-fang 2009, 17 (5):  120-126.  Abstract ( 2066 )   PDF (221KB) ( 987 )   Save The ability of making termination decision is an important index that influences the long pert formance of the venture capital firms. However, the present termination decision methods ignore the incoming information's effect during the venture project development process, thus influence the termination decision timd Aiming at this problem, from the view of Bayesian posterior estimate, this paper proposes the posterior probability signal learning process of venture capitalist firstly; based on determining the optimal investment amount to venture project, it then presents a model of venture project's optimal termination time based on venture project's value using the dynamic programming method; and a numerical example which analyses the optimal termination time model is given lastly.The optimal termination model put forward in this paper considers the influence of the incoming information releasing on the termination time, and it deals with the termination decision problem in the case of stages. It also provides reference for ventture capitalist to make termination decision. At the same time, this model can be also used to analyse ventture capitalist's optimal investment decision to venture project, it also provides reference for venture capeitalist's optimal decision. Besides, the analysis of model gives a reasonable explanation to the enterpriser's adverse selection behavior. Related Articles | Metrics

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Rough Analysis Model of Multi-attribute Decision Making Based on Limited Dominance Relation LUO Gong-zhi, YANG Xiao-jiang, LIU Si-feng 2009, 17 (5):  127-132.  Abstract ( 2255 )   PDF (796KB) ( 1246 )   Save A decision analysis model based on extension of rough sets is proposed for multi-attribute decision making problems with preference and incomplete information. Firstly,the concept of limited dominance relatio is presented Then,the rough approximations of knowledge are obtained based on limited dominance relation and decision rules of classification are acquired Compared with the extended dominance relations,the limited dominance relation takes into account the differences between different incomplete information. Finally,an example shows the feasibility and effectiveness of the proposed model. Related Articles | Metrics

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Game Analyzing Based on Strategic Entropy HE Da-yi 2009, 17 (5):  133-139.  Abstract ( 2182 )   PDF (900KB) ( 1506 )   Save Based on communication model in information theory,a game theoretical model is developed.And different definitions of strategic entropy for different kind of games are presented respectively. Then we prove that a mixed strategy with maximum entropy is sufficient and necessary condition for Nash equilibrium,which demonstrates that Nash equilibrium is the equilibrium not only of benefits but also of information. Based on the basic theorem we presented,the method of achieving and refining Nash equilibrium is presented by the end. Related Articles | Metrics

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The Effect of Retail Reward Programs on Customer Brand Choice Behavior MA Bao-long, LI Fei, LI Jin-lin 2009, 17 (5):  140-149.  Abstract ( 2199 )   PDF (983KB) ( 1421 )   Save In consideration of the customer heterogeneity,we present a customer discrete choice model to analyze the effect of reward programs on customer brand choice behavior;we also validate the model using longitudinal panel data from retail customers. The results show that the discrete choice model is an effective tool to analyze the customer choice behavior. In addition,it is evidenced that reward programs can be viewed as an effective relationship marketing strategy to positively influence customer choice behavior and increase customer choice probability. On the other hand,in a highly competitive market,supermarket busmess should adopt reward programs as an important marketing strategy. At the same time,the business must strive to attract more customers to join its reward program. Moreover,heterogeneous behavior between customer segments is validated by a latent class method. The analysis indicates that reward programs only can impact on a special customer segment significantly. The managerial implications are also discussed. Related Articles | Metrics

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Grey Combined Forecast Models and Its Application ZENG Bo, LIU Si-feng, FANG Zhi-geng, XIE Nai-ming 2009, 17 (5):  150-155.  Abstract ( 2552 )   PDF (743KB) ( 3081 )   Save Traditional regression models need enormous historic data,and it is very hard to build this kind of mo del.With those limitations,a grey combined forecast model,based on grey incidence degree and GM (1,1) mo del,is put forward. This model seeks dependency relationships of sequences based on the grey incidences degree,employs the GM(1,1)model to forecast the trend of development among data,and then a forecast model about dependent variable is set up.The model not only reflects the modeling thought of regression analysis based on causality,but also has the characteristics of small example for building model.The GDP in 2007 and 2008 are forecasted with this model,and the results illustrate the validity and practicability of the novel model. Related Articles | Metrics

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Study on Inefficiency Investment in Corporate Based on Private Benefits of Control LIU Xing, DOU Wei 2009, 17 (5):  156-165.  Abstract ( 2256 )   PDF (1234KB) ( 1194 )   Save Conflict between controlling shareholder and minority shareholder,emerging in the form of firm's investment policy,is the two kinds of inefficient investment behaviors due to the controlling shareholder's pursuit of private benefit of control :the over-investment and the investment-deficiency. Considering both the over-investment and investment-deficiency in one framework by setting up models,we study the controlling power allocation and the inefficient investment behaviors in the ownership structure of large shareholder controlling. It is shown that,because of the pursuit of private benefit of control,the two classes of inefficient investment behaviors exist in the investment behaviors of the large shareholder controlling firms. The investment behavior varies with the weight of ownership of the controlling shareholder. Both the balancing and the cooperation between several large shareholders could alleviate the over-investment and aggravate the investment-deficiency,and the effect of cooperation on the inefficient investment behaviors depends on the cost of the cooperation. Related Articles | Metrics

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Research on the Selection and the Influencing Factors of Control Rights Structure in Venture Capital-backed New High-tech Firms Based on Incomplete Contract WANG Lei, DANG Xing-hua, HE Li-ping 2009, 17 (5):  166-174.  Abstract ( 2200 )   PDF (1022KB) ( 1259 )   Save By introducing the risk preferences of venture entrepreneur and venture capitalist,venture capitalist's intervention action,private benefit of control rights and stage financing,this paper extends and rebuilds the model of Gebhardt-Schmidt (2006) and Jean-Etienne (2008),to analyze the application scopes and influencing factors of the two control structure which are contingent control and joint control. The result of theory research shows that,when entrepreneurs have a high financial constraint,venture capitalist's liquidity constraints and monitoring cost are high;entrepreneur have greater private benefit of control rights;bargaining and redemption power of venture capitalist in re-negotiation is stronger;VC-backed Firms have high liquidation value;venture capitalist's strategic objectives are smaller and risk aversion coefficient is high;and,the joint control is strictly superior to contingent control. Related Articles | Metrics

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The Comparative Study on the Influence of Investas’ Behavior on IPO Underpricing ZHANG Xiao-cheng, MENG Wei-dong, XIONG Wei-qin 2009, 17 (5):  175-182.  Abstract ( 2419 )   PDF (867KB) ( 1849 )   Save Under the assumption that the potential demand is uncertain,this paper studis the effect of the behaviors of three main participants in IPO including issuers,institutional investors and retail investors on IPO underpricing by applying the theory of behavioral game. It conducts a comparative analysis of IPO underpricing. The analysis result shows that:when the institutional investors and retail investors have no divergence to the IPO value,there is only intentionally IPO underpricing and IPO underpricing is relatively to w;however,when the institutional investors and retail investors have divergence to the IPO value,there is unconsciously IPO underpricing as well as intentionally IPO underpricing,and IPO underpricing is high. And,the greater the divergence between the main participants of IPO is,the more divergence,and the lager unintentional underpricing there are. Finally,this paper gives an example simulation to quantitatively support its conclusions. Related Articles | Metrics

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Review of Researches on Stochastic CGE Model FAN Jin, YAN Bin-jian, HIROSHI Sakamoto 2009, 17 (5):  183-192.  Abstract ( 2478 )   PDF (266KB) ( 1233 )   Save CGE model is an efficient instrument for policy analysis, and has been widely applied in the research fields in trade, finance, income distribution, energy and environmentl However, it has been heavily affected in efficiency for its strict assumptions on the structure of equilibrium, the form of functions and the specification of parametersl And even,"a miss is as good as a mile". Therefore, researchers attempt to introduce some stochastic factors to overcome the barriers. By reviewing the existing studies on stochastic CGE model, this paper draws on the following conclusions:(1) Stochastic CGE can solve the problems which CGE model comes across; (2) The existing stochastic CGE model mainly concentrated on the studies of the free parameters, equations and data;(3) Different people should distinguish primary and secondary. The theoretic researchers should improve and unify the existed content and methods, and extend the stochastic content further. The empirical researchers should enhance robust test of the model, and improve its credibility. The decision-makers should recognize and apply the simulated conclusions scientifically. Related Articles | Metrics