Table of Content

    20 June 2017, Volume 25 Issue 6 Previous Issue    Next Issue
    The Forecasting Analysis of HS300 Index based on HAR-CVX Model of High Frequency Data
    LIU Xiao-qian, WANG Jian, WU Guang
    2017, 25 (6):  1-10.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.001
    Abstract ( 1457 )   PDF (1606KB) ( 1192 )   Save
    Volatility is used to measure the market risk, and its accuracy prediction has an direct significance on derivative pricing, risk management and asset allocation. How to understand and measure the market risk accurately is related to investment decision efficiency and economic operation, which is the hot problem of the government department, investors and security market. Currently, the option is in simulated trading in China, and various options will soon list orderly. To research the volatility of correspondence stock and predict it accurately is very important to option pricing and option trading. The research has great theoretical and practical significance for regulation of the financial risk and will promote the long-term health development of Chinese options market. In this paper, detailed descriptions of the characteristics of different volatilities, the theoretical of various volatility forecasting models are given. The Realized Volatility, which is based on high-frequency data, is chosen as a representative of the future real volatility. The HS300 index is chosen as the research object, and then the preliminary analysis of the basic characteristics of volatility is carried on. Combined with the stock market implied volatility, the market volatility index-CVX is chosen as the impact factor and added to HAR model. Then are used a new model called HAR-CVX model is gotten. Then several common volatility forecasting models, such as GARCH model, SV model, HAR model and the HAR-CVX model, to forecast the volatility of HS300 index.The prediction method we used is called the out-of-sample rolling time window forecast method. Finally, four loss functions and SPA test are used to evaluate the prediction results. It is found that prediction effect of realized volatility models which is based on high frequency trading data is better than the SV model and GARCH model which are based on the daily price data. In addition, Considering the CVX index, which contains the implied volatility, improves the prediction effect of the HAR model.
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    Organizational Complexity and Internal Capital Markets Efficiency in Financial Conglomerates:Evidence in China
    WEI Ping, YANG Ming-yan
    2017, 25 (6):  11-21.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.002
    Abstract ( 1007 )   PDF (1654KB) ( 848 )   Save
    With the integration of financial businesses, this paper focuses on the relationship between organizational complexity and internal capital markets efficiency in financial conglomerates. It is the first application of the theory of organizational complexity into micro financial organizations. Organizational complexity in financial conglomerates is defind, and then linear and non-linear relations between organizational complexity (as a path) and of internal capital markets efficiency (as a result) are explored in a theoretical perspective. In its empirical study, Chinese financial conglomerates and their financial subsidiaries are used as sample firms to estimate their organizational complexity by using the entropy method. Based on a model of investment cash flow sensitivity analysis, the existence and efficiency of internal capital markets, and its relations with organizational complexity are also tested by building up linear and non-linear regression models. The study finds that, Chinese financial conglomerate samples have efficient internal capital markets. And structural complexity and behavior complexity have an inverted u-shaped relation with internal capital markets efficiency, while relations complexity does not. Therefore, it is possible to improve internal capital markets efficiency in financial conglomerates through managerial optimization of organizational complexity. The paper contributes to a further understanding on how organization evolution shapes up internal capital allocation, as well as practical implications for improving capital allocation efficiency.
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    The Consistency of Logical Structure about Asset Pricing in BSV, DHS model and Asset Pricing under Ambiguity
    XU Yuan-dong
    2017, 25 (6):  22-31.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.003
    Abstract ( 1141 )   PDF (964KB) ( 852 )   Save
    Although the behavioral financial models, such as BSV and DHS, can explain the microscopic mechanism of momentum effect in stock market, there exists the non-consistency of investors' behavior assumptions. Firstly, as a reference from the asset pricing under ambiguity, a comparative study between the asset pricing in BSV, DHS model with the asset pricing under ambiguity is made, and it is found that they have a consistent mathematical structure. Secondly, according to the latest theories of decision-making, psychology and neuroscience, these assumptions of investor's behavior in BSV, DHS model can explain in a view of ambiguity reasonablely. Through the above two aspects, it shows that there is consistency of logical structure about asset pricing in BSV, DHS model and asset pricing under ambiguity. The asset pricing in BSV, DHS model can be regarded as different aspects of asset pricing under ambiguity and may be placed on a fundamental logic framework under ambiguity. The non-consistency of investors' behavior assumptions in these behavioral finance models can be solved to a degree.
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    Research on Adjusted Logistic Model of National Energy Consumption with Slight Modulation by the Growth Ratio of GDP
    YANG Bo, GUO Jian-chuan, TAN Zhang-lu
    2017, 25 (6):  32-38.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.004
    Abstract ( 1084 )   PDF (1653KB) ( 797 )   Save
    Energy resources are the base of nationaleconomic development and the essentials of human daily life. As the demands of all countries in the world on the energy resources increase, the competition for the energy resources are becoming more and more intensive. It is vital to collect and analysis the energy consumption data of the major countries around the world so that the government could make correct decision on the future national energy consumption using a scientific prediction model. Not similar to the time series commonly used, an adjusted Logistic model, which is based on the classical Logistic model of national energy annual consumption, is founded in this paper by introduceing a factor of the GDP growth ratio The adjusted Logistic model can be considered as a result of the classical logistic model modulated with the GDP growth ratio. Three different numerical models derived from the original adjusted Logistic model are the adjusted analytic model, dynamic differential model and static differential model. Then, the study and verification, which are based on the real statistic data of the energy annual consumption of USA from 1980 to 2010, shows that the fitted and prediction data are in good agreement with the empirical results. The simulation curve is fitted very well with the energy consumption fluctuation. According to the simulation and analysis results in this paper, a positive relevance between the national energy annual consumption and the national economics are shown directive in the analytic model. The relative prediction errors on 2011 and 2012 using the static differential model are only 0.63% and 3.84%, respectively.
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    Quantile Decomposition Method and Empirical Analysis of Price Difference between Urban Housing Sub-market
    CHENG Ya-peng
    2017, 25 (6):  39-49.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.005
    Abstract ( 1155 )   PDF (1092KB) ( 1009 )   Save
    On account of heterogeneity of houses, the variation in housing characteristics and prices by location is a fundamental feature of the urban housing market. In this paper, Baoding city is taken as a case, segments house market according to the azimuth, hedonic housing price model is established by quantile regression. Using the Q-JMP method, the housing price changes distribution has been decomposed into housing characteristic variables change and hedonic function, and then the causes of price changes, and the rules of changes in the prices of different spaces between each market are analyzed. The study finds that differences in housing prices is mainly caused by the disproportion housing characteristics, and decrease with the increase of the quantiles.
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    Portfolio Optimization of Multi-period Loan in Supply Chain Finance via Copula-Quantile Regression Method
    XU Qi-fa, LI Hui-yan, JIANG Cui-xia
    2017, 25 (6):  50-60.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.006
    Abstract ( 1155 )   PDF (1643KB) ( 980 )   Save
    With the continuous development and expansion of supply chain finance business, it is necessary for policymakers to reduce the concentration risk cased by sharp fluctuations of price of single pledge and keep the flexibility of the supply chain finance business. To this end, portfolio methods has been successfully applied by financial institutions for selecting different pledges to optimize the multi-period loan portfolio in supply chain finance. As we all known, Copula technique is flexible to capture the nonlinear dependence structures among assets, which is very important for portfolio in practice. In this paper, a Copula-quantile regression method is proposed by employing quantile regression to fit marginal distribution of a single asset and Copula function to capture nonlinear dependence structures among assets. Our method is able to avoid the model specification errors without assumption of the distribution of random disturbance term. Most importantly, it is flexible and adapted to describe stylized facts in supply chain finance, such as asymmetry and nonlinearity. The Copula-quantile regression method for optimizing the multi-period loan portfolio in supply chain finance consists of two steps. The Copula-quantile regression method is firstly applied to predict the multi-period loan return. Then, a decision-making scheme is provided for the loan portfolio by minimizing the traditional Sharpe ratio and the generalized Omega ratio. To illustrate the efficacy of our method, an empirical research is conducted on the spot of aluminum and copper which are the most common form of the pledge in supply chain finance. At least two facts can be drawn from the empirical results. First, the t-Copula function in Copula-quantile regression method is always optimal for all periods in term of AICs, which indicates that the correlation between aluminum and copper is a fat tail version. Second, the Copula-quantile regression method outperforms the Copula-GARCH in that the former poses higher Sharpe ratio and generalized Omega ratio than the latter for all portfolios at different periods, and provides a more reliable decision-making reference for the healthy development of supply chain finance. In the future, considering more assets in a portfolio has practical significance for policymakers. To address this issue, our method can be extended to vine-Copula-quantile regression through combining vine-Copula approach with quantile regression model. It can be expected that vine-Copula-quantile regression method can effectively handle the problem of selecting more pledges to construct multi-period loan portfolio in supply chain finance. This is left for future research.
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    Effects of Marketing-Manufacturing Integration across Stages of NPD on Market Success-The Moderating Effects of Product Innovativeness
    KONG Ting, FENG Tai-wen, LI Gang
    2017, 25 (6):  61-70.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.007
    Abstract ( 1087 )   PDF (1293KB) ( 805 )   Save
    More and more companies rely on continuous innovation as the core advantage in competition. Through integration of marketing and manufacturing departments in the new product development (NPD) process, enterprises can access to new product (NP) market success much easier. However, how marketing-manufacturing integration (MMI) across stages of NPD process impacts on NP market success are still unclear. The purpose of this study is to investigate the relationship between MMI at four stages of NPD (business/market opportunity analysis (BMA), technical development (TD), product testing (PT), and product commercialization (PC)) and NP market success as well as the moderating effects of product innovativeness (PI).Survey data from 214 completed NPD projects in Chinese manufacturing firms are employed to test the developed hypotheses using hierarchical regression. The findings indicate that MMI at various stages have different effects on NP market success and the relationships are moderated by PI. Specifically, the results indicate that stronger MMI in BMA and PT stage is respectively associated with higher NP market success; while MMI in TD stage is associated with lower NP market success. In addition, the results indicate that PI positively moderates the relationship between MMI in TD stage and NP market success; while negatively moderates the relationship between MMI in PC stage and NP market success. These findings help to explain the non-consistent results of previous research. This study enriches the NPD and MMI literature and provides significant insights for Chinese NPD management and MMI practices.
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    Logistics Capacity Coordination with Symmetric and Asymmetric Information Based on Compensation Contract
    SONG Jie-zhen, HUANG You-fang, GU Jin-wei
    2017, 25 (6):  71-81.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.008
    Abstract ( 929 )   PDF (954KB) ( 885 )   Save
    With the rise of inter-firm cooperation, capacity outsourcing appears not only in the manufacturing industry, but also in the service industry. In this paper, logistics service system in which a retailer (she) outsources the activity of order delivery to a logistics service provider (LSP, he) is considered. The retailer faces random demands and is allowed to make capacity reservation before order arriving. The LSP has fixed amount of logistics capacity and aside from the retailer, has another external cooperation opportunity. The LSP would get external revenue if he allocates logistics capacity to the external cooperator. We assume that the retailer doesn't always have the perfect information about the LSP's external revenue. In such case, how to design a coordination mechanism to assure the system-wide optimization by encouraging the LSP to tell the truth and the retailer to make the right decision on capacity reservation is highly needed.From the perspective of the retailer, a mechanism of compensation contracts, in which besides the service fee, the retailer gives the LSP a compensation fee for each left-over capacity due to over-reservation, is proposed. By using game theory and the apparatus of mechanism design, the retailer's optimal compensation contracts under the LSP's external revenue information being symmetric and asymmetric are solved. Then, these contracts are analyzed and they are compared between the two different information conditions.It is found that thecompensation contract mechanism works out perfectly. Both the logistics reservation quantity and the expected profit of the whole system in each of the information conditions reach the same values as in the centralized decision-making condition. In optimal contracts, the compensation fee should be increased with LSP's external revenue index; Under the information asymmetric condition, the LSP has the motivation to understate the external revenue if he pursues for unchangeable retained profit while he has the motivation to overstate the external revenue if he pursues for changeable retained profit; In order to induce the LSP to disclose his real external revenue information, the retailer should increase the service price and at the same decrease the compensation fee compared to the information symmetric condition. In the end, numerical examples are used to verify the compensation contracts as well as to analyze how external revenue and its degree of asymmetry affecting the contracts and the two parties' expected profits. Our work extends the research of logistics capacity coordination to consider asymmetric information. The results show that optimal logistics outsourcing contracts should incorporate the LSP's external revenue and the form of his retained profit into different information conditions.
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    Analysis on Agency Chain and Research on Multi-level Incentive Mechanism of Project Quality Government Supervision
    GUO Han-ding, HAO Hai, ZHANG Yin-xian
    2017, 25 (6):  82-90.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.009
    Abstract ( 978 )   PDF (1737KB) ( 932 )   Save
    The supervision behavior of government regulation is the inner source of project quality government supervision effectiveness, The essential characteristics of project quality government supervision running are double principal-agent mechanism. Multiple principal-agent research at home and abroad are limited to the same object, abstract subject behavior between strategy and balanced process, government supervision over the quality engineering has two layers of principal-agent differences and the second level agents, the complex organizational structure of the monitoring group, to explore its agent chain multi-level incentive mechanism will be conducive to double principal-agent theory.Based on the construction main body structure and the economic contract, Analysis the principal-agent relations and characteristics of construction project quality government supervision, building and simplifying the project quality government supervision agency chain; construct the principal-agent mechanism model of project quality government supervision with Holmstrom and Milgrom parameterization method, based on the analysis of agent chain structure to simplify the incentive mechanism model, through the game model to get the incentive parameters of project supervision. Results show that: Incentive coefficient β is rσ2 and b decreasing function, Project quality forming process of the larger the variance, the agent is more afraid of hard work, the corresponding risk is smaller. Quality supervision team effort aik=β/bΛik2 is proportional to the β, and is inversely proportional to the cost coefficient and engineering contracts, enhance the quality of supervision and professional level is helpful to reduce its quality supervision cost coefficient; set up quality grading evaluation mechanism is the precondition of incentive mechanism; quality supervision cost will affect its quality supervision effort level (aik=β/bΛik2), quality supervision is inversely proportional to the cost and the ability of supervisors; if the government supervision department keep expense proportion is 1-ρ, adjusting incentive mechanism coefficients is ρδ and ργ, the government objective function can achieve the optimal. When take no account of the project contracts, it can simplified to unit principal-agent model, β=1/1+rbσ2. In addition to the incentive mechanism, the work together of the punishment implementation mechanism, reputation mechanism, insurance mechanism and the rating system make for ensure the steady rise of engineering quality. Project quality government supervision agency chain and multi-level incentive mechanism research will be for engineering quality and government supervision coordination incentive measures and operation mechanism optimization to provide theoretical support and serve as a reference for other public goods regulatory incentive theory.
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    Marketing Time Strategy of Advance Selling for Perishable Goods
    ZHOU Xiong-wei, LI Jun, CAI Dan, CHEN Xiao-hong
    2017, 25 (6):  91-100.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.010
    Abstract ( 1130 )   PDF (1353KB) ( 1014 )   Save
    In the era of internet and e-commerce, many products and service providers are beginning to adopt advance selling, such as ticket sales and hotel reservation. In this paper, the focus is put on the marketing time strategy of the perishable goods sales in advance selling. The perishable goods has a fixed consumption stage, and thedemand exceeds the supply in many times because of marketing activities and limited supply capacity. The consumer's utility, which is influenced by the uncertainty of advance selling and the risk of stock out in spot selling, varies with marketing time. The seller's cost is influenced by the two marketing stages and their interaction. A two-stage timing strategy model is proposed for advance selling and spot selling regarding price andcapacity as exogenous. Then the retailer's best timing strategy is analyzed, which refers to the time length of advance selling and when to start the spot selling and the time length of it. Whether there is advance volume constrained or not, the retailer's timing strategy varies, also the profit. The results show that: (1) if there is no capacity constraint in advance selling, when only advance selling exists, the time length of advance selling increases with the price of advance selling; when advance selling and spot selling both exist, consumers are only supposed to buy at a good state, the time length of the both stages is related to the consumption stateand the time sensitivity and the probability of getting goods. Besides, the good state is more likely to occur, consumers are more likely to purchase in advance selling. Otherwise the time length is determined by the time sensitivity and the probability of getting goods, and the marketing time changes reversibly with the probability of getting the goods.(2) if there is capacity constraint in advance selling, when advance price is lower than spot price and the capacity can't meet advance demand, the length of advance selling becomes shorter, but more profit the retailer can get. An optimal timing strategy creatively in advance selling is proposed. In addition, our study make a major step forward in the research on advance selling of perishable goods, especially incases where the retailer pays attention to the marketing time.
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    Model Analysis of Equity Financing Strategy for the Retailer under Supply Chain Cooperation
    WANG Yu, YU Hui
    2017, 25 (6):  101-110.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.011
    Abstract ( 1032 )   PDF (1424KB) ( 941 )   Save
    The PEDATA shows that 33 percent of Chinese enterprises which account for nearly 40 percent of the total market value have adopted equity financing before their IPOs in Chinese stock market. Equity financing has become an important way of capturing the growth opportunity for growth-type enterprises. However, the increasing conflicts between financiers and investors caused by improper financing decisions make the financing strategy very important. Present study considers a risk neutral retailer facing good market opportunity employs equity financing to exploit the market, after which its demand function becomes D=a-bp+βe, where b and e represent its growth and effort, respectively. The financing amount depends on the ordering cost and effort cost, and is used to meet the capital needs of supply chain operation and fixed assets investment. Based on these, an equity financing model is constructed under the supply chain to investigate the retailer's financing strategy by comparing the optimal financing decisions between the case with supply chain cooperation (Stackelberg game between supplier and retailer) and without, the numerical simulation is also present to clearly reveal the financing strategy. Results indicate that the retailer should combine the value evaluation with the value creation and pay more intention to the effect of supply chain cooperation during the financing process. The retailer always prefers equity financing without supply chain cooperation but changes its financing strategy when supply chain cooperation exists. High growth retailer ought to employ equity financing and share the information with its supplier to participate in supply chain cooperation, while medium growth retailer had better adopt equity financing but hides its financing information to avoid supply chain cooperation. However, extremely low growth retailer should not finance itself with equity in case its normal development is constrained. Furthermore, there is a natural contradiction between rapid development (correspond to high growth) and retailer's control, since higher growth retailer always chooses larger financing amount and loses its control more quickly. This problem can be solved by decreasing the financing amount, requiring a higher valuation or adopting the dual class structure to maintain its control. Finally, present study contributes to the exploration of the interaction between operation decision and financing decision, and provides insight into the model research of equity financing from the perspective of supply chain.
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    The Supernetwork Optimization Model for the Low-carbon Supply Chain and Its Application Based on Online Shopping
    WU Yi-sheng, WU Shun-xiang, BAI Shao-bu, ZHU Zhen-tao
    2017, 25 (6):  111-120.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.012
    Abstract ( 1103 )   PDF (1237KB) ( 1314 )   Save
    A new task for the optimization of supply chain network is put forward with the continuous enhancement of people's environmental awareness, the implementation of more stringent environmental regulations, more and more consumers choose the way of online shopping. How to construct the model of supply chain super network? How to build the operational optimization model for each member of the supply chain? How to build the overall optimization model of supply chain? And what kind of optimization model is more conducive to achieve the overall goal of the supply chain? All these are an urgent problem to be solved.With regard to above issues, the super network theory is used to model the low-carbon supply chain based on online shopping. Then the independent super network optimization model is constructed based on the supply chain's single member, and the integrated super network optimization model is also constructed based on all the supply chain members according to the relation between the variation inequality and optimization problems. And the solving algorithm of the models is proposed. Further more, the two models are compared by simulation application. Finally, it is concluded that the supply chain member can gain environmental protection benefit if they invest on the low carbon operation, but its economic benefit is decreased on condition that the supply chain's single member profit is maximized, and the supply chain can gain both environmental protection benefit and economic benefit if they invest on the low carbon operation on condition that the supply chain's profit is maximized. The application data is mainly collected through surveys of the online shops and their suppliers, express companies, consumers and the relevant literatures. This paper provides a new perspective for supply chain modeling, a new way of thinking for the optimization of supply chain network.
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    The Incentive Mechanism of Chain-like Multiple Principal-Agent Model——A Comparative Study Based on Entirely Rational and Process Fairness Preference Model
    ZHAO Chen-yuan, PU Yong-jian, PAN Lin-wei
    2017, 25 (6):  121-131.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.013
    Abstract ( 1094 )   PDF (2150KB) ( 1119 )   Save
    The principal-agent theory focuses on designing incentive mechanisms to solve the problem of moral hazard under the condition of asymmetric information. However, there are some limitations in the current studies of principal-agent problem. On the one hand, although much effort has been made to apply principal-agent theory to specific relation structure, most of previous studies mainly focus on single principal-agent relations. On the consideration of some participants have double identity of principal and agent in reality, the multiple principal-agent relations is more truthful than classic principal-agent theory. On the other hand, the previous theories are developed under the assumption of relational economic man. With the developing of behavioral economics, a growing number of scholars believe that people's behavior is bounded rational rather than purely rational. The theory of process fairness preference considered that process fairness preference is an important factor affecting human behavior, which provides a theory basis for the view of bounded rational.Beware of two disadvantages of the traditional principal-agent theory, this paper make a rewarding approach to classic theory through constructing chain-like multi principal-agent relations with incorporates fairness preference. Which has extended the traditional principal-agent theory research.In the third part of this paper, taking the double principal-agent for example, the agent in the first stage of principal-agent model is the principal of the second stage principal-agent model, thus there is a modification on principal-agent structure. Through considering the double principal-agent that pure principal, intermediary and pure agent are entirely rational, it has found that, under the condition of entirely rational, the optimal level of effort of intermediary and pure agent is positively related to the optimal revenue sharing ratio. In each stage principal-agent model, when the principal gives the agent more incentive the agent will try harder to work, but the degree of risk aversion of the agent will make the incentive effect weak. Therefore managers of enterprises could take good use of the method of increasing revenue sharing ratio to fully arouse the work enthusiasm of the employees. However, the greater the degree of risk aversion of the agent, the result of through increasing revenue sharing ratio coefficient to motivate agent is less obvious, so the employees who have a smaller degree of risk aversion are good employees.In the fourth part, this paper constructs a chain-like double principal-agent model through inducing process fairness preference. After calculation, we've got more profitable conclusion that the agent is friendly to the principal if the agent's effort is greater than the half of his biggest effort level, and the principal is friendly to the agent if the fixed income which the principal gives the agent is greater than half of the maximum. At the same time, the more fixed income, the more effort agent will give. On the one hand, it has well explained the Rabin's thought of “give a plum in return for a peach” and “an eye for an eye”, on the other hand, it also shows us the reason that employees have better performance and professional ethic in some companies which have good welfare policy.In the fifth part, through numerical simulation, this paper has found that it has an equilibrium which make every participant has more revenue. In conclusion, optimal incentive contract under the entirely rational can be improved, and process fairness preference can increase the income of all the players.The analysis in this paper can also be applied to design an incentive mechanism for enterprises, financial institution, and government budget problem as well as profit distribution for up and down stream of supply chain. Therefor it would have significant practice in real economic.
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    The Effect of Natural Gas Reserve on the Import and Price of a Gas-importing Country
    ZOU Li-na, ZHANG Rong, REN Qing-zhong
    2017, 25 (6):  132-142.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.014
    Abstract ( 995 )   PDF (3953KB) ( 763 )   Save
    The global natural gas markets are affected not only by commercial factors but also by noncommercial factors, such as geopolitics and different preferences of the exporting countries and importing countries. During the recent years, the dispute over natural gas trade has increased significantly with rising demand for clear energy. Both high export-dependent and import-dependent countries are easily exposed to the risks of supply disruption and price volatility. In order to lessen the negative impact of these risks, many gas-importing countries use gas reserve as an important tool. The main purpose of this paper is to study the effect of gas reserve on the quantity of gas import and gas price of a gas-importing country. To this end, the benefits and the costs of gas reserves are introduced into the utility function of a gas-importing country. The optimal solution of this problem is obtained by the theory of optimal control, and the effects of relevant factors, such as the monopoly power of an exporting country and the risk aversion of an importing country, are analyzed in detail. Results show that the optimal level of natural gas reserve will approach a steady state in the long run. Gas reserve is a useful strategy for reducing the volatility of the domestic gas price of an importing country. An increase in the monopoly power of a gas-exporting country has weaker effect on a gas-importing country's import quantity and its domestic price when the gas-importing country has a higher risk aversion toward supply disruption. An increase in the degree of risk aversion helps to decrease the accumulation speed of the gas reserve. However, the reserve has a higher level of steady state in this case. A change in the monopoly power of an exporting country has stronger effect on the optimal solution than that of an equivalent change in the risk aversion of an importing country. China's current natural gas import accounts for about one-third of its total consumption, and the gap between domestic gas production and consumption will tend to become larger in the future. Though the Chinese government has made great improvements in risk reduction by import diversification and other methods during the past decade, the domestic reserve level is still very low and the storage facilities are also limited. Our analysis is helpful to understand the role gas reserves may play and also instructive for our country to formulate a rational strategy for gas imports and reserves.
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    Multiple Relief Resources Robust Location-Routing Optimization
    PENG Chun, LI Jin-lin, WANG Shan-shan, RAN Lun
    2017, 25 (6):  143-150.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.015
    Abstract ( 1254 )   PDF (1514KB) ( 1200 )   Save
    Decisions to support preparedness activities for disastermanagement are challenging due to the uncertainties of parameters, the balance preparedness and risk, so it is a hot topic. In this paper multiple relief resources location-routing problem is addressed to determine optimal deployment of supply facilities for multiple relief resources, transport distribution route. However, traditional methods addressing this problem mainly focus on stochastic optimization by assuming probability distribution to measure the uncertainty, there are some drawbacks. Multiple relief resources cost uncertainty is considered, introducing two types of uncertainty sets, i.e. box and ellipsoid, to capture the uncertain cost of multiple relief resources, and multiple relief resources robust location-routing models are proposed respectively, which are converted into the deterministic robust equivalent models, and can be solved by hybrid programming algorithm coded in GAMS and CPLEX. Finally, the 19 cities in the north and west of Sichuan Province are chosen to conduct the numerical study. Results show that the proposed robust models is feasible and effective, and compared to the robust model based on box uncertainty set, under the same parameter setting, robust model based on ellipsoid uncertainty set usually is more conservative, and leads to a higher total cost. Decision-makers, according to their risk aversion and conservativeness, choose an appropriate value for the uncertain level parameters Γ/Ω to get the optimal solution, and provide decision support to the department of Emergency Disaster Relief.
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    Methods Addressing Integer-valued DEA Problems and Improvements
    TAO Jie, LU Chao
    2017, 25 (6):  151-160.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.016
    Abstract ( 1091 )   PDF (2041KB) ( 752 )   Save
    The Integer-valued Data Envelopment Analysis (IDEA) is a common method to evaluate the relative efficiencyamong different Decision Making Units (DMUs) by using integer-valued inputs and outputs. By identifying such deficiencies of two classical IDEA models (e.g. Lozano & Villa's model (LV), Kuosmanen&Kazemi Martin's model (KKM)) as the overestimation of efficiencies and the lack of ability to obtain optimal projection points, this paper constructed a rectified KKM model (RKKM) and a radial-based distance integer-valued DEA model (RDI) to address the deficiencies mentioned above. Further, a “three-step method” based on both RDI model and RKKM model was suggested to solve IDEA problems. In the first and second steps, RKKM and RDI were adopted separately to get their respective optimal values, and this was followed by the optimal value comparison to determine the final projection values of each DMU in the third step. To verify the effectiveness of our proposed approach, the famous example of 42 university departments of IAUK was used as study samples. Empirical results show that our “three-step method” outperforms the classical IDEA models and overcomes the two shortcomings mentioned above.Owning a solid theoretical foundation, the easily implemented “three-step method” could be used as a new powerful tool to address IDEA problems.
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    Two-sided Matching Decision Considering Matching Aspiration under the Intuitionistic Fuzzy Circumstance
    YUE Qi
    2017, 25 (6):  161-168.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.017
    Abstract ( 990 )   PDF (932KB) ( 909 )   Save
    The two-sided matching problem has always been concerned by the scholars in the fields of economic management and so on. Due to the complexity and fuzzy uncertainty of objective things, the preferences given by two-sided agents are in the format of intuitionistic fuzzy sets sometimes. The two-sided matching decision problem based on intuitionistic fuzzy sets and matching aspirations is an urgent need research new topic in psychology and decision science with rich actual backgrounds, and still has forward position and exploration. The theory of intuitionistic fuzzy set has been widely applied in the field of decision, but the application in the field of two-sided matching decision are relatively rare. Therefore, how to introduce the related theories of intuitionistic fuzzy set and matching aspiration into the two-sided matching decision problem and develop scientific and effective decision method have important theoretical significance and practical application value with respect to the research on two-sided matching decision. In this paper, the two-sided matching problem is investigated based on intuitionistic fuzzy sets and matching aspirations. The concepts of intuitionistic fuzzy set and two-sided matching are firstly introduced. Then, the two-sided matching problem based on intuitionistic fuzzy sets and matching aspirations is described. In order to solve this problem, the intuitionistic fuzzy set matrixes are transformed into score matrixes. Based on score matrixes and matching matrixes, a two-sided matching model considering scores under the constraint conditions of one-to-one two-sided matching is developed. Moreover, the score deviations and the score reciprocal-deviations are calculated based on score matrixes. Then the matching aspiration matrix can be calculated by using the maximum score reciprocal-deviation principle. The two-sided matching model considering scores is converted into a two-sided matching model considering scores and matching aspirations according to the matching aspiration matrix. The “optimal” two-sided matching can be obtained by solving the model. Lastly, the feasibility and effectiveness of the proposed two-sided matching decision is illustrated with an example of technology supply-demand matching. The research achievements of this paper develop and prefect the decision theories and methods for two-sided matching based on intuitionistic fuzzy sets and matching aspiration. But this paper discussed preliminarily this case that the preferences of two-sided agents are intuitionistic fuzzy sets. When the preferences of two-sided agents are in the format of interval-valued intuitionistic fuzzy sets, triangular intuitionistic fuzzy numbers, or trapezoidal intuitionistic fuzzy numbers in the two-sided matching problem, the above problem has yet to be further researched and explored.
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    Research on the Game process Between Heat Consumers in Civil Building with Heat Metering
    ZHAO Yu, CHEN Rui, LIAO Yuan
    2017, 25 (6):  169-178.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.018
    Abstract ( 928 )   PDF (1748KB) ( 724 )   Save
    China has a large variety of existing and new apartment buildings which means its energy consumption grows faster with the increase of urbanization. Building energy consumption takes a large share of the total energy consumption. Reducing this part plays a key role in energy conservation and emissions reduction, which can be realized mainly by heat metering in consumers. Different with the other heat metering and allocation method which usually allocating the heat charge by building or neighborhoods, an allocation model between one user and its neighbors is constructed, linked with the heat transfer which can be considered as a game model. Usually most of these problems involved games among the government, the heat company and the residents. In this paper, the heat transferred between apartment is considered as a public goods. Followed the famous game problem of private goods sharing voluntarily, one resident which position is at corner and its neighbors in the center position are the two agents in this game. The Nash equilibrium is calculated, where the corner resident need more public heat than the center residents. When assuming the Cobb-Douglas utility function, A brand new heat allocation model is proposed which against the backdrop of low quality of heating building, deficiency of heat charging mechanism. Sharing the charge among the heat user and its neighbors, this model can more accurately measure the heat used during the heating season. Heat transfer between apartments, different heat use habits etc. can be solved and balanced the different locations of the user's heat charge variation, which promote the large area heat metering work. The key is public heat and private heat prices of radiator heating and neighbor heat transfer are defied and used to construct the heat usage game model. The empirical research indicates that this model can availably handle many problems in the period of heat metering promotion, such as corner room, heat transfer between neighbors, different climate conditions etc., which gives citizen a new method and measure for utilizing and metering heat, promoting the energy conservation and emission reduction.
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    Evolutionary Game Study Between Government and Enterprises in Food Adulteration under the New Media Environment
    CAO Yu, YU Zheng-yu, WAN Guang-yu
    2017, 25 (6):  179-187.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.019
    Abstract ( 1036 )   PDF (1857KB) ( 1054 )   Save
    In recent years, the economic benefits driven food adulteration and other food safety incidents happen more and more frequently. Severe food safety issues have become the focus of government and community. However, there are flaws in the single government regulation, social governance, multi-subject joint regulation, which has become the trend of food safety management. Among them, new media as an important power on food safety supervision, the impact of which has been greatly changed compared to the traditional media. Besides the impact has two sides. In this paper, an asymmetric evolutionary game model is constructed. A few parameters are taken into consideration, such as, x0, which is the influence factor of new media reports, t, which is the probability of correct media coverage and so on. In that way, the influence of new media intervention on the strategic choice and game results between the government supervision agencies and the food business behavior can be studied. After model is constructed, the gain matrix is obtained and the result is obtained by solving the dynamic equation. Then combined the range of x0, stability analysis is constructed, that is, analyzing possibility of 4 local equilibrium points becoming ESS. In this process, the focus is on the impact of x0 and t changes on the strategic choice of both sides of the game and its economic significance. Research shows that, new media supervision can effectively restrain the behavior of the food enterprises adulteration, and urge the government due diligence supervision. But if the authenticity of the new media is low, it will not only hinder the effective supervision of the government, but also give opportunity to food enterprises adulteration. Therefore, the government should not only build and develop new media, but also strengthen the standardization and management.
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    An Optimal Model and Social Welfare Analysis of the Subway Security in Special Period
    WEI Jing, LIU De-hai
    2017, 25 (6):  188-196.  doi: 10.16381/j.cnki.issn1003-207x.2017.06.020
    Abstract ( 963 )   PDF (2016KB) ( 804 )   Save
    Subway security inspection should be improved during some important periods when cities take over important events. In this paper social welfare effects of reinforced subway security inspection during the special period are analyzed, and then they are compared with those of the universal subway security inspection. In general, a passenger maybe a potential attacker or a normal passenger. Because of the limits of technology, the checking accuracy of X-ray checking machine for screening potential attackers is highly correlated with the false alarm rate for normal passengers. Thus, the optimal security inspection accuracy of checking machine needs to be analyzed. First, we summarizes the management characteristics of the universal and special subway security inspection processes are summarized. In the special security inspection, every of passengers must be accepted extra checking used the hand-held metal detector. Accordingly, the expected social welfare of the universal subway security inspection can be expressed as: SWM=(1-t)·(V-PFM·(CA+CN))+t·(PDM·(d-CA)-d), where t is the proportion of the potential attackers; PDF is the checking accuracy of X-ray checking machine for screening potential attackers; PFM is the false alarm rate of X-ray checking machine for screening universal passengers; V is the universal passengers' social welfare because of security inspection; CN is the universal passengers' time cost because of extra artificial checking; CA is the artificial checking cost; and d is the damage of terrorist attack. Similarly, the expected social welfare of the special subway security inspection can be expressed as: SW1M=(1-t)·[V-CA-CN-(CA+CNPFM1]+t·[(1-θ)(d-CAPDM1-(1-θ)d-(1+θ)CA], where θ is the proportion that potential attackers carry hazardous material with them, and the superscript 1 represents the special security inspection. Second, we discuss the different effects of the hand-held metal detector and the X-ray screening instrument on deterrence of potential attackers, convenience of universal passengers, and social welfare. In particularly, the accuracy of X-ray checking machine is measured as P(attacker alarm), where a higher value for this probability implies a greater deterrence for attackers. Similarly, the inconvenience effect for normal passengers is measured as P(inspect normal passenger), where a higher numerical value implies a greater inconvenience of normal passenger. Last, we make the numerical analysis about the impact of hand-held metal detector. Thus, we can get the following conclusions. Compared with the universal subway security inspection, the accuracy of X-ray checking machine can be reduced in the special case, in order to reduce the false alarm rate and inconvenience for normal passenger. Because the accuracy of X-ray checking machine in the universal subway security inspection is higher, it can effectively screen the potential attackers with the larger probability. However, only under some special conditions, the extra strengthening measures of subway security inspection, such as the hand-held metal detector, can improve total social welfare in the special subway security inspection. Thus, it is necessary to improve hardware devices according to some scenarios. The study provides some management measures for subway security.
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