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主管:中国科学院
主办:中国优选法统筹法与经济数学研究会
   中国科学院科技战略咨询研究院

Table of Content

    20 February 2020, Volume 28 Issue 2 Previous Issue    Next Issue
    Articles
    Stock Market Rise-Fall Forecast and Quantitative Investment Strategy: Based on Time Varying MCA
    LU Wan-bo, HUANG Guang-lin, Kris Boudt
    2020, 28 (2):  1-12.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.001
    Abstract ( 608 )   PDF (1343KB) ( 613 )   Save
    The research on the correlation of financial assets is of great significance to capital risk management, portfolio selection and financial supervision. Due to the return of financial assets are fat-tail and skewed, using higher order moment correlation structure is more reasonable for financial market modeling. Moment Component Analysis (MCA), which is an expansion of PCA, is a new way to study the higher order correlation structure of financial market. The Time-Varying MCA is proposed to extract the high order co-moment absorption ratios in order to predict the systematic rise-fall of the stock market. Meanwhile, a method of selecting the number of high-order moment factors based on the threshold is improved in this paper, this method can fit the marginal distribution of different assets. On the other hand, the weights of the Joint-MCA based on the element values is proposed to improve the performance of the Joint-MCA. Finally, a quantitative investment strategy based on the MCA absorption ratios is constructed in stock market. This new method is illustrated with 52 component stocks of the CSI300 Index. The empirical study shows that the investment strategies based on the MCA absorption ratios can make effective predictions for the rise-fall of the stock market, particularly sensitive to systematic risks of the stock market, while also have good performance in the bear market. The investment strategy of the single factor absorption ratios, the Herfindahl absorption ratios and the accumulated three factor absorption ratios all have better performance than the investment strategy of the PCA absorption ratios, and the single factor absorption ratio of third order co-moment has the best performance. In addition, the weight based on element values outperformsthan the weight based on the number of elements. The robust analysis shows that the investment strategies have parameter-robustness and the investment performance can be improved by optimizing the time-varying structure of higher-order co-moments. To a large extent, the empirical results of this paper demonstrate the advantages of the Time-Varying MCA methods, which can predict the rise-fall of the stock market more efficiently rather than PCA, and give investors a better reference for asset allocation.
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    Is the Stock Market a “Weatherglass” of Macro-Economy in China?——a Study based on Markov Switching Model
    MENG Qin-bin, ZHANG Yong-ji, WANG Chang-yun
    2020, 28 (2):  13-24.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.002
    Abstract ( 508 )   PDF (2066KB) ( 273 )   Save
    The effects of macro-economic factors on stock markets are analyzed using Markov Switching Vector Autoregression model. The factors of output, price and monetary are chosen to reflect economic growth and monetary policy, which include industrial added value, consumption, export, inflation rate, M2, interest rate and real exchange rate of RMB against US dollar. Firstly, the states of factors in different periods are identified by Markov Switching Vector Autoregression to investigate the relation of macro-economic factors and stock price separately. Further, by building Markov Switching Vector Autoregression for absolute difference to get impulsion response function of macro factors fluctuation to stock market, the effects of different macro-economic factors on stock markets are compared. Finally, the conclusion and policy suggestions are got from empirical results.The conclusion demonstrates that the return of China's stock market has obvious nonlinear relationship with the macroeconomic variables,The stock market reflects the overall health of the economy; in most of the time the real economy changes and stock market volatility has maintained good cooperativity, the stock market cycle was slightly ahead of the real economy cycle; the rapid growth of M2 was often accompanied by a sharp rise in the stock market, the frequent changes in monetary policy have a significant effect on the stock market; interest rate adjustment did not have an immediate impact on the stock market cycles, there exists an inverse relationship between interest rates and stock price; greater volatility of stock movements was correlated with higher inflation rate; The periodicity of the real exchange rate changes is consistent with the stock return cycle.
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    Debt Valuation and Default Strategy in Buyouts
    MU Cong-ming, LIU Yang, ZHOU Yuan-qi, YANG Jin-qiang
    2020, 28 (2):  25-36.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.003
    Abstract ( 477 )   PDF (1565KB) ( 112 )   Save
    Buyouts greatly depend on leverage. Therefore, it is crucial to price the corresponding debt and equity when taking buyout activity. However, buyouts generally adopt the multiple tranches of debt to raise external funds to cover the budget deficit and targeted firms are usually exposed to undiversifiable idiosyncratic risks. As a result, the classical Leland model fails to price debt in buyouts. Therefore, a model is proposed to price the debt and equity in buyouts with multiple-tranches debt structureand analyzes the corresponding effects on bankruptcy policy and default probability. Based on calibrated parameters, internal rate of return to equity and default probability predicted by the model are consistent with those in empirical studies. As the value of underlying asset in the target firm approaches default boundary, the leverage ratio of target firm rises sharply, and the value of debt with lower priority falls quickly, which can explain the incentive for flight-to-quality. Furthermore, the comparisons among different kinds of debt show the single debt structure leads to higher financing costs and erosion in equity value, which actually provides theoretical support for the wide use of multiple-tranches debt structure. Finally, comparative static analysis is conducted about the effects of volatility of underlying asset and the interest rate in financial markets on debt and equity valuation and default strategy. The results show that reducing risk-free rate can boost buyouts, which is consistent with empirical findings.
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    The Impact of Companies Listing from Emerging Markets on the Host Market -The Case of the Hong Kong Market
    YU Ying, YI Rong-hua
    2020, 28 (2):  37-47.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.004
    Abstract ( 418 )   PDF (1516KB) ( 117 )   Save
    In this paper, selecting the data from 1993 to 2017 and taking H shares as the research object, linear regression models, DCC-MVGARCH model and the event research are used to analyze the listing of companies from emerging markets having an impact on the development of the host market and the existing listed companies in the host market. The results of the study are as follows:Firstly, the listing of H shares in Hong Kong has expanded the market size and trading activities of the Hong Kong market, attracting more international capital; Secondly, the listing of H shares in Hong Kong market has improved the returns of H shares and existing Hong Kong stocks. Moreover, the correlation with the Hong Kong market and the global securities market is enhanced; Thirdly, the impact of H-share listings on the valuation of existing shares is also positive. In short, the overall impact of companies listing from emerging markets on the host market and existing listed companies is positive. The spillover effect is greater than the "quality contagion" effect and crowding out effect. Furthermore, it promotes market quality promotion and market development of the host market. The conclusion of this study is helpful to enrich the study of the impact of cross-border listing on the host market, and it is of great significance for China to build an international financial center based on the strategy of opening up the capital market for the "One Belt and One Road" emerging market countries.
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    Optimal Mix between Pay-as-you-go and Funding
    JIN Bo-yi, YAN Qing-yue, YU Wen-guang
    2020, 28 (2):  48-57.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.005
    Abstract ( 517 )   PDF (1718KB) ( 150 )   Save
    For a long time, the choice of pension system has been the focus of theoretical and practical debate.Compared with single pension system, one of the purposes of introducing mixed pension system is to diversify risks. The main work of this paper is to study the optimal portfolio of different pension accounts from the perspective of risk and benefit.To this end, optimal account selection is analyzed first under deterministic conditions, then,a stochastic account revenue model is constructed.
    In order to generate revenue scenarios of different accounts, mortality rate, fertility and return of assets are simulated based on Lee-Carter model, ARMA modeland CIR model, and thenthe classical Leslie population structure transition matrix is used to predict the change of population structure.On this basis, the revenuesof different pension accounts are calculated under different simulation scenarios.
    Finally, the optimization technique is used to solve the portfolio model.The results show that:(1) the return of pay-as-you-gois negatively related to the return of funding, and the combination of the twosystems can form an effective risk hedging mechanism; (2) The efficient frontierof the mixed system is above the pay-as-you-go and funding, Therefore, from the risk-benefit perspective, mixed system is better than a single pension system; (3)Comparing with the optimalproportion of account,the current proportion of pay-as-you-go is higher, while the current proportion of the funding is low. The policy implication of this paper is that reducing the proportion of the current pay-as-you-go and increasing the proportion of funding can decrease the pension risks and increase income.
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    The Short-term Comprehensive Impact of Sino-US Trade Frictions on China: A Study Based on Partially Closed Input-occupancy-output Model
    JIANG Mao-rong, KONG Yi-shu, XIA Yan, FAN Ying
    2020, 28 (2):  58-68.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.006
    Abstract ( 434 )   PDF (1496KB) ( 151 )   Save
    China and the United States are the most important economies in the world, so to some extent their trade and friction would have great effect on world economy. In recent years, the Sino-US trade boomed under the keynote of mutual benefit,while the trade surplus increased rapidly. Under this tendency, the US Commerce Department did the "trade investigation" unilaterally in April 2018, and then, the trade friction between Sino and US broke out. To what extent would the Sino-US trade friction influence China's economy and employment? How does the export decline conduct and spread via economic network of "investment, production, supply and demand"? What should China do to deal with unilateral trade protectionism of US and accelerate the economic transition? In order to answer these questions, the imperfect substitute import demand model is firstly bulit to measure the impact of adding tariff on China's export by calculating the import demand elasticity of commodity in each sector. Meanwhile, the coupling relationship of "production, investment, and consumption" in macro economy system is considered, and the impact of China's export decline on trade value added and employment is measured by partially closed input-occupancy-output model with partially endogenous investment and consumption, that built based on the input-occupancy-output technique. The combination of these above two models makes the change in export resulting from change in tariff and its impact on national economic system be measured exactly. Based on the new model,the short-term comprehensive impact of the US unilaterally on China's 25% import tariffs on related commodities in 50 billion and 200 billion dollar scenarios is studied. In both scenarios, it is found China's exports to the United States will fall by 4.27% and 16.03%. Our results show that the China's value added of domestic trade exports lost 96.29billion yuan and 382.99 billion yuan, the domestic employment decreased by 0.79 million and 3.31million, respectively.The emerging ICT industries, represented by advanced equipment, information and communication technology, and computers, are directly affected.The upstream and downstream industries with high correlation with the ICT industry will also be significantly affected.In the context of frequent trade frictions between China and the United States,China may face deflation from export deflation and unemployment in related industries.Under the trade friction, China needs to actively upgrade domestic consumption levels and optimize investment structure.
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    A Procurement and Reserve Model of Emergency Supplies based on Put Option Contracts
    HU Zhong-quan, TIAN Jun, FENG Geng-zhong
    2020, 28 (2):  69-79.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.007
    Abstract ( 437 )   PDF (1162KB) ( 125 )   Save
    Emergency supplies have the characteristics of large peak demand, strong demand uncertainty and high shortage cost.Therefore, a certain amount of emergency supplies must be reserved by governments in advance.However, if there is no demand within period for a certain kind of supplies with a quality guarantee period, such as food and medicine, it will not only cause a lot of waste, but also increase the financial burden of governments. Although surplus supplies can be sold back to the supplier by the government through buyback contracts, which can reduce the government's cost, but additional benefits is not gained by the supplier with taking on excess risks. Based on this, a procurement model of emergency supplies based on put option contracts is designed, which is used to solve the problem. After solving the optimal decision of the government under the put option contract, some conclusions are found:
    (1) Only when the option price and execution price of the put option contract satisfy a certain condition, the put option contract can be used by the governments to purchase supplies, and the conclusion that the buyback contracts is a special form of the put option contracts is also found. In addition, compared with the traditional purchase mode (based on the wholesale price contract), the risk of the quality guarantee period can be solve effectively by the put option contract, which can also increase the government's purchasing volume and effectively reduce the shortage risk.
    (2) On this basis, the mechanism of realizing supply chain coordination between the government and the enterprise is analyzed and the conclusion that there is a negative correlation between the option price and the execution price, which is different from supply chain coordination conditions under call option contracts, is also found.Meanwhile, both the government's cost and the supplier's income increase with the increase of the option price. Therefore, under the put option contract, the government will prefer low option price, while the supplier will prefer high.
    (3) Finally, compared with the traditional procurement model, the range of the option price is given when the government and the enterprise achieve win-win cooperation under the put option contract. What's more, compared with the buyback contract, the conclusion that the purchase mechanism based on the put option contract can reasonably compensate the loss caused by the supplier assuming surplus risk and reduce the government's cost is proved, which reflect the superiority of the procurement model of emergency supplies based on the put option contract.
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    Supply Chain Financing with Option Contract for Start-up Companies
    HUA Sheng-ya, ZHAI Xin
    2020, 28 (2):  80-90.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.008
    Abstract ( 389 )   PDF (1130KB) ( 188 )   Save
    Many firms have capital constraint, especially the small and medium sized enterprises. In recent years, supply chain finance plays an important role in solving capital constraint problems and has received a great deal of attention. In this paper, a two-echelon supply chain consisting of single supplier and single capital constraint retailer facing uncertain market demand is studied. The retailer purchases from the supplier and the supplier offers short-term credit loan as well as an option contract to the retailer. By building a Stackelberg game model and through backward induction analyses, the supplier's optimal decisions on option price and interest rate, and the retailer's corresponding optimal ordering and financing decisions are examined. Our results show that when the supplier's production cost is lower than a threshold, a stable equilibrium between the supplier and retailer can be achieved and the optimal order size is greater than a certain number qα, where qα satisfies qαf(qα)/(1-F(qα))=1. Under this circumstance, both the supplier and retailer enjoy positive expected profit. When the supplier's production cost is higher than a threshold, the supplier will set high option price and interest rate to absorb all the expected profit in the supply chain, and the optimal order size is less than qα. However, under this circumstance, the retailer gets zero expected profit from selling and suffers from high bankruptcy risk, therefore the equilibrium is unstable. To reach a stable state, the supplier has to decrease either the option price or interest rate to provide the retailer with positive marginal profit, and then the optimal order size converges to qα but still greater than qα. It is also found that even if an option contract cannot coordinate the decentralized supply chain in the presence of capital constraint, it improves the supply chain's performance compared with a wholesale price contract. Several managerial insights are provided in this paper.First,when the downstream retailer has capital constraint, it is optimal for the upstream supplier to offer it short-term loan. Second, when the retailer has severe capital constraint and purchases with the money from short-term loan, it may take risky actions, i.e., keep its order size at a high level. Therefore, the supplier, who offers the short-term loan, should pay close attention to the retailer's actions and keep its bankruptcy risk under control. Finally, compared with awholesale price contract, an option contract can improve the supply chain efficiency in the presence of capital constraint.
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    The Operation Model Analysis of “Valuation Adjustment Mechanism” in Retailer's Equity Financing
    YU Hui, DENG Jie
    2020, 28 (2):  91-103.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.009
    Abstract ( 423 )   PDF (2843KB) ( 151 )   Save
    The valuation adjustment mechanism (VAM) is used to regulation the relationship between investment and financing parties in the process of equity financing, and it is more and more universal and diversified used in China's equity investment and financing cases. As an additional agreement in equity investment, the aim of using VAM is to promote better strategic cooperation and win-win result between the investment and financing parties. However, in numerous VAM cases of China, instead of realize the operation incentive and win-win situation, a lot of companies face operational predicament, worse relations with investment institution, and even company change hands after equity financing (especially after signing the VAM). This paper focuses on the "VAM predicament" with operation conflict and performance decline after equity financing, and explores the way to avoid this predicament.
    The retailer is taken as the main body of financing in this paper. Assume the investment institution (in this paper, a private equity investment institution is considered, PE) adopts P/B method (with P/B ratio as α) to valuation the retail enterprise, and the investment volume is B. The retailer holds a fixed asset A and has internal fund η, then his stock share becomes to θ1=(α(A+η))/(α(A+η)+B) after equity financing. The retailer faces a random market demand ξ, where only the mean μ and standard deviation σ is known to him, with the help of equity financing, the retailer could expand the market demand from ξ to ξ+βe. Among them, β represents the retail enterprise's growth-potential, and e represents the retailer's sales effort. The effort cost function is expressed as 1/2se2. Then the retailer needs to decide the optimal order quantity q and sales effort e to maximize his expected asset at a wholesale price of w and selling price p. In order to protect the interests of the investor and incent the financier, the retailer and PE sign a VAM with sales volume as its subject, and cash as the compensation method. The specific contents of the VAM can be expressed as follows:
    During the period of the agreement (here we simplify it to a single selling period), if the sales volume of the retail enterprise is less than M, then the retailer should pay the PE 1-(pmin{q,ξ+βe}/M)B, where pmin{q,ξ+βe} represents the retail enterprise's actual sales volume; while if the enterprise's sales volume is more than M, then the PE needs to pay cash (pmin{q,ξ+βe}/M-1)B to the retailer. The retailer's expected asset without a VAM is expressed as
    EF[TAR(q,e)]=θ1(A+η+B+∫0+∞pmin{q,x+βe}dF(x)-wq-1/2se2),
    The expected asset with a VAM is expressed as
    EF[TAR_VAM(q,e)]=(θ1+B/M)∫0+∞pmin{q,x+βe}dF(x)+θ1(A+η+B-wq-1/2se2)-B.
    Since the demand information is incomplete, the robust optimization method is taken to solve the optimization problem.
    Based on the perspective of retail enterprise's operation, operation models are established under two situations that are with and without VAM, the effect of VAM on the development of retail enterprise and the behavior of both financing and investing parties are described, and the cause of the "VAM predicament" is discussed. It is found that the VAM has a "twisted incentive" effect, that is, the existence of VAM could incent the retailer to realize the performance objective, but it also twists the retailer's operation behavior. The "twisted incentive" effect is the fundamental cause of the "VAM predicament". To eliminate or reduce such an effect, the retailer should choose a subject that matches his strategic goal, or an appropriate performance goal.
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    The Interaction between Supply Chain Governance Mechanisms and Supply Chain Performance: Based on the Mediating Effects of Information Sharing and the Moderating Effects of Information Technology Level
    FENG Hua, NIE Lei, SHI Yu-ling
    2020, 28 (2):  104-114.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.010
    Abstract ( 494 )   PDF (1010KB) ( 511 )   Save
    With the changing of enterprises' living environment, such as the intensification of global competition, the increase of economic uncertainty and the rapid development of information technology, competition increasingly expands from competition of organizations to competition of supply chains. The level of information technology and information sharing are increasingly important in the supply chain. In addition, proper supply chain governance can significantly improve the overall performance of the supply chain. There are abundant research results on the interaction between supply chain governance mechanisms and supply chain performance. However, most of their samples come from supply chain companies in developed countries, and few researches combine supply chain governance mechanism, information technology level, information sharing and supply chain performance. Based on this, a theoretical model of the interaction between supply chain governance mechanisms and supply chain performance is constructed, and then the mediating effects of information sharing and the moderating effects of information technology level are analyzed, with an aim to test the existing research findings and further develop and enrich the research fields of the supply chain, so as to provide theoretical and practical guidance for Chinese core companies. Based on 380 questionnaires among middle and senior management personnel and technical staff from the supply chain related posts, the correlations between social control, formal control, information technology level, information sharing and supply chain performance are analyzed by using of structural equation model (SEM). The results show that:(1) Both social control and information sharing have significant and positive effects on supply chain performance. While, formal control has a significant and negative relationship with information sharing, and its effect on supply chain performance is not significant.Core companies in the supply chain should strive to establish good credit mechanism and cooperation atmosphere between supply chain node enterprises, so as to promote harmony exchanges and interactions among partners, and ultimately improve the overall competitiveness and performance of the whole supply chain. For example, Anzazebusch has established a special "Affordance Learning Center" to promote knowledge sharing among partners. (2)Information sharing has a partial mediating effect on the relationship between social control and supply chain performance, but the mediating effect of information sharing on the relationship between formal control and supply chain performance is not significant.(3) The moderating effects of the level of information technology are verified in the relationships between supply chain governance mechanisms and supply chain performance.Core companies should realize that information technology has an increasingly important role in strengthening supply chain partnerships and information sharing, which is also a main source of improving the overall performance of core companies and their supply chains. For example, Shenlong Automobile has adopted EDI technology in its international trade with Citroen to facilitate mutual exchange and contact, which greatly enhancing the supply chain's service level and market responsiveness.
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    Cooperation between Convenience Store and E-tailer based on Product Diversity
    LI Gang, XIA Peng-cheng, ZHENG Meng-jie
    2020, 28 (2):  115-125.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.011
    Abstract ( 422 )   PDF (1781KB) ( 156 )   Save
    The wide application of mobile Internet enables consumers to shop seamlessly through Omni-channel including mortar-and-brick, virtual store and information media. Although the online store has provided the rich commodity choice for the consumer, it is difficult to attract the consumer flow. How to further strengthen the bonds between online stores and customers, attract consumers to recognize online stores and implement purchase behaviors, are important issues faced by online stores. On the other side, the product category of convenience store often cannot meet the diverse needs of consumers which causes consumers loss. Therefore, we aim to combine online store's and convenience store's advantages to find an optimal solution for both sides.
    In this paper, a stylized model is developed, where cooperation of product diversity based on consumer utility theory under the condition that E-tailer display virtually products in the convenience store is proposed. The influence of virtual display cooperation on retailers' decision making, market equilibrium and profits is analyzed. The results show that product diversity has a positive effect on the price, but virtual display products competes with the products in the store fiercely, resulting profits loss of convenience store. Thus, there is no natural possibility of cooperation between network store and convenience store. Hence, it is found a profit sharing coordination mechanism with Nash bargaining model to improve the profits of both retailers. In this average distribution mechanism, both stores increase the same profit as before the cooperation. Finally, the numerical simulation shows the intuitive managerial insights of the above conclusions.
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    Research on Member Selection Mechanism of Virtual Alliance and Collaborative Manufacturing Problem among Alliance Enterprises under Public Service Platform
    LIU Jie-xian, ZHANG Chen
    2020, 28 (2):  126-135.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.012
    Abstract ( 362 )   PDF (2674KB) ( 112 )   Save
    Motivated by the collaborative operations of the manufacturing alliances in industries such as aviation and automobiles, the joint optimization problem of member selection of virtual alliance and collaborative production among alliance enterprises under the public service platform are mainly studied in this paper. This problem involves two levels of virtual alliance, namely strategic alliance and operational level. It aims to achieve collaborative optimization in three stages including virtual alliance member selection, order allocation and production sequencing. Based on the analysis of the optimal properties of the order production in a single enterprise, the structured properties of customer order allocation and alliance member selection are given. Considering the complexity of the joint optimization problem, the Tree-Seed algorithm for solving the continuous optimization problem is introduced and extended. The discrete tree algorithm embedded in the two-dimensional discrete coding strategy and discrete seed generation rule is developed, and the calculation method of fitness is carried out based on the above-mentioned structuring properties.In addition, a benchmark simulation data for this problem are given, and a series of simulation comparison experiments are further conducted. The experimental results show that the proposed algorithm has certain superiority in solving quality and robustness compared with others discrete intelligent optimization algorithms such as Discrete Firefly Algorithm (DFA) and Shuffled Frog Leapfrog Algorithm (SFLA).The main innovation of this paper is to propose a virtual alliance collaboration model across strategic and operational levels, and develop a novel discrete Tree-Seed algorithm, which can provide some guiding significance for the formation and operation of virtual manufacturing alliance.
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    Two-stage Pricing Models with Differentiated Products Under Strategic Customer Behavior
    MA Peng, DU Wan-jing, WANG Hai-yan
    2020, 28 (2):  136-144.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.013
    Abstract ( 610 )   PDF (2136KB) ( 300 )   Save
    The development of the Internet and information technology has made it easier for retailers to collect customer information, and it has also made consumers become more strategic and selective. First, the model that the retailer selling only a higher quality level product to the customers is built, then the two-stage pricing decision is studied, and the impacts of products' per-period discount factors on the products' retail prices, the sales quantities and the retailer's profits are also investigated. Then, the model that the retailer selling both a higher quality level product and a lower quality level product to the customers is considered, and the customers can choose both products during two sales periods. A two-stage pricing decision model is built and the impacts of products' per-period discount factors, the customers' acceptance for the lower quality level product on the retail prices, the sales quantities are investigated, respectively. Finally, the impacts of the model parameters (i.e., the customers' acceptance for the lower quality level product, etc) on the total profits during two periods under model II are studied by using numerical examples, then the optimal retail prices and the optimal sales quantities under the model I and the model II are compared. Our results can give a comprehensive analysis of the impacts of the strategic customer behavior on the two-stage pricing decisions, which provides a very important reference for the pricing decision of the retailer.
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    Movie Dual Channel Pricing Strategies Analysis with Release Window
    MA Jing-pei, LI Wen-li, GENG Shi-dao, LI Tian-shi
    2020, 28 (2):  145-152.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.014
    Abstract ( 464 )   PDF (1360KB) ( 348 )   Save
    There are two online channel strategies of movie studio:pay on demand strategy and free strategy. By introducing release window, according to the optimization method and game theory, users' utility function in traditional and online channel are defined respectively to study the movie studio's optimal prices, demands and the profits, the model takes the existing dual channel distribution strategy of the movie firm as a reference. It is found that:when the movie release window is short, the intrinsic value discount coefficient of the online movie version is high, and the online channel viewing cost is low, the movie firm adopts the dual channel strategy of online channel on demand payment; instead, adopts the dual channel strategy of online channel free for movie. When the profit sharing ratio of a movie studio in the traditional channel is very large, it only adopts the traditional channel strategy; when the ad revenue rate of online channel is very large, the movie studio only adopts the online channel strategy.
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    Smart Supply Chain Decision and Coordination Strategy Considering Poverty Alleviation Concern Based on Manufacture Diseconomies of Scale
    WAN Xiao-le, WANG Qian, MENG Qing-chun, DU Yan-wei
    2020, 28 (2):  153-165.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.015
    Abstract ( 474 )   PDF (2363KB) ( 186 )   Save
    With backward production technology and management, enterprises are likely to face the problem of manufacture diseconomies of scale. Farmers' production also has manufacture diseconomies of scale. In this paper, three poverty alleviation models, namely, "famers + smart supply chain platform", "farmers + wholesalers + smart supply chain platform" and "farmers +cooperatives+ smart supply chain platform", are established. Moreover, the supply chain decentralized decisions and the governmental subsidy strategies in different modes are compared. The results demonstrate that wisdom elasticity coefficient of smart supply chain platform can positively influence poor farmers, wholesalers and cooperatives. Under the direct cooperation between farmers and smart supply chain, with the increase of the intelligence cost elasticity coefficient, the profit of smart supply chain platform will decrease. However, the profit will first increase and then decrease after the entrance of cooperative. The overall profit of the supply chain will increase because of consumers' higher poverty alleviation preference. Although both farmers and platforms can get the highest profits in the cooperative mode of "famers + smart supply chain platform", their diseconomies of scale cannot be improved. The model can hardly be implemented in poor areas. In the cooperation model of "farmers+ wholesalers + smart supply chain platform", farmers can get higher profits than wholesalers and smart platforms. However, the overall supply chain profit decreases, and the problem of diseconomies of scale cannot be solved. In the model of "farmers + cooperatives + smart supply chain platform", cooperatives share the scale uneconomical cost with farmers, and the overall profit of supply chain is the optimal in a certain range. The government should continuously increase the subsidies for the construction and operation of the smart platform, and enhance the target incentives to maintain the benefit balance of all main parts of the supply chain. Also, it is necessary to help farmers improve their knowledge and technology level by encouraging the establishment of cooperatives, so that the independent cooperation with smart platforms can be realized.
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    Cooperative Innovation Mechanism and Dynamic Evolution of Integrated Supply Chain Based on SEM and B-Z Reaction——The Perspective of the Relationship Quality of Integrated Supply Chain
    LI Bai-zhou, YIN Shi, ZENG Jing-wei, LUO Xiao-fang
    2020, 28 (2):  166-177.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.016
    Abstract ( 363 )   PDF (2256KB) ( 131 )   Save
    With the rapid development of information technology, it is difficult for enterprises to rely on their own resources to carry out innovation activities and to make rapid responses to personalized and diversified needs of consumers. Although enterprises can carry out innovation activities through cooperation, the complex environment enhances the instability and reduces the breadth and depth of cooperative innovation. While numerous studies have examined the issues of inter-enterprise cooperation innovation in supply chain, few have been specifically conducted on the mechanism of inter-enterprise cooperation innovation in integrated supply chain (ISC). With the deep integration of supply chain, Internet and Internet of Things, inter-enterprise cooperation innovation in ISC has become an important way to create new business models and develop new markets. Inter-enterprise cooperation innovation in ISC is a process of interaction among degree of integration, knowledge collaboration ability and cooperative innovation performance. Hierarchical multiple regression and structural equation modeling are used to investigate the static mechanism of inter-enterprise cooperation innovation in ISC with SPSS and AOMS software. On this basis, B-Z reaction model in complex system theory is applied to analyse the dynamic evolution mechanism. The results of statistical analyses of 211 effective questionnaires indicate that degree of integration and knowledge synergy ability have a positive impact on the cooperative innovation performance in ISC. In the short-term, the effect of degree of integration on innovation performance is very obviously. In the long run, under the influence of the different relationship quality of ISC, knowledge synergy ability plays a vital role in the improvement of cooperative innovation performance. This study adds to the cooperation innovation literature by analyzing inter-enterprise cooperation innovation in ISC, which could help enterprise managers and policy makers take suitable measures to improve the success rate of cooperative innovation and thereby improve the cooperative innovation performance in ISC. This research also enriches the methodology of cooperative innovation system and extends the applications of complex system theory in the paradigm of ISC.
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    Strategic Positioning and the Relationship between Strategic Dimensions: From the Strategic Group Perspective
    DUAN Xiao, WU Chang-qi
    2020, 28 (2):  178-189.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.017
    Abstract ( 430 )   PDF (1994KB) ( 124 )   Save
    Strategic positioning has been extensively discussed in the strategic management field, but the constitution of a good position and the mechanisms are not fully revealed. Some studies that claimed to provide strategic positioning knowledge actually focused on certain product or marketing issues. The firm-level strategic positioning still lacks a solid theoretical basis and enough empirical evidence.
    Based on the strategic group theory, this study proposes that the key point of competitive strategic positioning is to achieve a good fit between strategic dimensions of competitive strategies. China's internet industry is chosen as the empirical background, and a two-dimensional positioning model consisting of mobile internet business and information technology investment is investigated. Specifically, the proportion of mobile internet business and the intensity of IT investment are tested in separate and combined ways to find the positions where firms are more likely to achieve high performance.
    The sample contains Chinese internet companies listed on Shanghai, Shenzhen, Hong Kong, New York and NASDAQ Stock Exchanges over the period of 2011 to 2014. Data are collected from annual reports, homepages of the sample firms and the CSMAR Database. The fixed-effects model and the random-effects model regressions of panel data are used to test research hypotheses, and group comparisons are made to illustrate our results. Firm performance is measured by operating revenue and the size of internet end users.
    Our first result is that a firm is more likely to get better performance than the industry average if the firm's mobile internet business proportion and IT investment intensity are both high. Another result is that firms with both low mobile internet business proportion and low IT investment intensity also perform better than those having a high mobile internet business proportion or high IT investment intensity alone. These results demonstrate that the interaction between mobile internet business and IT investment, instead of each strategic variable's independent effect, determines the relative advantage of positions. It's difficult to identify good strategic positions by considering each strategic dimension separately. The key point of successful competitive strategic positioning is to find a good fit between the strategic dimensions, and thereby form an advantageous strategy pattern. The findings also suggest that firms should take the competition within the industry into account to choose among reasonable positions.
    Theoretical and empirical supports are given to develop mobile internet business and enhance information technology investment, and provide insights into firms' competitive strategic positioning. The conclusions also indicate that the strategic group level of analysis should not be substituted by the separate analyses of each strategic variable.
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    Group Decision Making with Interval Multiplicative Linguistic Preference Relations based on Cross-efficiency DEA and Group Consensus
    LIU Jin-pei, YANG Hong-wei, CHEN Hua-you, ZHOU Li-gang
    2020, 28 (2):  190-198.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.018
    Abstract ( 392 )   PDF (1589KB) ( 142 )   Save
    Group decision making with interval linguistic preference relations has attracted a great deal of attention in the literatures of management science. In order to obtain the group decision making result, the consistency of linguistic preference relations given by the decision makers need to be improved according to some existing approaches, so a variety of consistency adjustment methods have been proposed. However, these consistency adjustment methods of deriving acceptable consistent linguistic preference relation have changed the original evaluation information given by the decision makers, which may distort the given decision making information and make the decision result less reliable. Besides, some existing approaches transform the interval linguistic information into a simple linguistic evaluation value, which may cause the loss of decision information.
    In order to resolve these problems, a novel approach is proposed to group decision making based on cross-efficiency DEA and group consensus with interval multiplicative linguistic preference relations. First, the definition of derived function of multiplicative linguistic preference relation is given and the output-oriented DEA model is constructed. It is proved that there is a proportional relationship between DEA efficiency scores and the ranking vector of the consistent multiplicative linguistic preference relation. Based on this, a cross-efficiency DEA model based on ideal value is developed. Then, a general ranking method for the multiplicative linguistic preference relation is proposed. Meanwhile, a goal programming model is established to obtain the weight coefficient of each linguistic preference relationship based on group consensus. Finally, the stochastic simulation method is used to statistical analysis of the group's preference space, and the group decision expected ranking vector and the confidence degree are obtained. The numerical results show that the proposed approach can effectively avoid information loss and is of great applicability and high credibility.
    The problems of information distortion and loss in some existing group decision making methods are solved with interval linguistic preference relations, the relevant theories of group decision making is enriched, and a new technical framework for group decision making with interval multiplicative linguistic preference relations is provided.
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    Robust Optimization for Emergency Location-routing Problem with Uncertain Demand under Facility Failure Risk
    SUN Hua-li, XIANG Mei-kang
    2020, 28 (2):  199-207.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.019
    Abstract ( 393 )   PDF (1417KB) ( 261 )   Save
    The frequent occurrence of earthquakes has brought great threats to people and seriously affected economic development and social stability. To reduce the loss caused by disasters and response quickly, it is urgent to realize scientific optimization of emergency facilities location and relief material distribution with the constraints of time, space and resource. However, inadequate information and the destructiveness of emergency disasters often lead to the uncertain emergency demand. And the disasters often damage the roads and make facilities failure, which bring great risks to the distribution of the emergency relief. Therefore, it is necessary to consider the relief uncertainty and the risk of facility failure after emergency. In this paper, demand uncertainty is described by a specified interval. A robust optimization model is proposed to combine the emergency location and the routing problem using helicopters, whose objective is to minimize total transportation time and the total system costs. The risk of facility failure is solved by the robust deviation optimization and the model is solved by genetic algorithm. Finally, numerical examples from Wang's LRP problem verified the validity of the model and algorithm Comparisons of three cases indicate that the total system cost increases as the growth of the budget of uncertainty and the data variability. The results further show that the relative robust optimization method can deal with the uncertain demand effectively, and the robust deviation optimization method can avoid the risk of emergency logistics system. It provides an effective method to help post-disaster managers to determine the emergency location and delivery the relief safely, timely.
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    Risk-causing Analysis of Large Group Emergency Decision-making Based on Multi-agent Simulation
    YIN Xuan-peng, XU Xuan-hua, CHEN Xiao-hong
    2020, 28 (2):  208-219.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.020
    Abstract ( 501 )   PDF (2949KB) ( 198 )   Save
    There are many sources of risk in large group emergency decision-making, and their impacts on decision-making cannot be ignored. If these risks cannot be controlled effectively, they will become a new source of risk, further deteriorating the situation, and then may lead to poor rescue performance, or even rescue failure. The risks in large group emergency decision-making are systematically identified from the aspects of individual factors and group factors, and the relationship between each risk factor and two group effects is explored, namely cognitive conflict and relationship conflict, then a large group emergency decision-making risk-causing system is established. On this basis, the simulation variables consisting of individual acceptance, group structure, interaction mode, decision strategy and decision-making environment are set and the multi-agent simulation model of risk-causing for large group emergency decision-making is established based on opinion dynamics by using Netlogo tool. Finally, the general rules of the causal mechanisms of each risk factor are obtained by case simulation. The simulation results show that the fusion and integration of different information and perspectives is the key driving force of risk control for large group emergency decision-making with high complexity and uncertainty. It can effectively control the risk and ensure the efficiency of large group emergency decision-making after establishing the optimal decision-making group, increasing the participation and interaction scope of decision-makers, promoting more comprehensive information sharing, ensuring sufficient and efficient exchange of opinions, forming decision-making consensus with maximum efficiency, and maintaining a high predictability of the dynamics of external impacts in the decision-making environment. Decision conflict is taken as a representation of decision risk, and innovatively the research of large group emergency decision is intensified from the decision conflict direction to the decision risk direction, which is the expansion and integration of large group emergency decision research field, and helpful to grasp the composition of risk factors and their influencing rules in large groups emergency decision-making, and can provide reference and guidance for strategy selection in emergency decision-making.
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    Multi-attribute Group Decision Making Method based on Aspiration Satisfaction Function
    ZHAO Meng, ZHANG Chen-xi, HU Yi-qi, LI Gang
    2020, 28 (2):  220-230.  doi: 10.16381/j.cnki.issn1003-207x.2020.02.021
    Abstract ( 544 )   PDF (1950KB) ( 244 )   Save
    For multi-attribute group decision-making problems composed of qualitative and quantitative attributes, aspiration is an important factor in decision making for both individuals and organizations. The existing researches mainly combine the aspiration and Prospect Theory to get the prospect value for selective preference. However, Prospect Theory assumes that most decision makers display a risk preference when facing the prospect of loss, and display a risk aversion when facing the prospect of gain. The theory sets fixed risk attitude coefficient to solve prospect value, and it cannot be fully applicable to solve the multi-attribute decision making problems with aspiration satisfaction. Hence scientific decisions should be made according to the decision-makers' psychological aspiration satisfaction. In this paper, a new method called two-stage aspiration satisfaction function is proposed based on the combination of attribute aspiration, risk attitude, utility function and satisfaction. In this method, the distances between the standardized aspiration values is calculated and the attribute values is calculated by using the distance computational formula and the differentiation method on the cost and benefit of attribute. Then the as piration satisfaction function is built which integrates varied risk attitudes and aspiration of experts into the multi-attribute decision-making method to get satisfaction. Finally, the weighted algorithm is used to get the sorting results of aggregation experts. In the case analysis, comparison with the existing algorithms and risk attitude analysis show the superiority that this algorithm can be used for decision makings of different risk attitudes in investors. The analysis results of risk attitude and aspiration represent that investor's value loss or gain depends on the risk attitude and the level of aspiration while the attribute uncertainty is large. Computational results also have indicated that the proposed method is robust with respect to the variance of experts' different risk attitudes and the level of aspirations. When companies' attributes vary a lot, an interesting result reveals that the risk averse specialists value losses more than gains,and the risk appetite experts consider gains to be more important. What's more, the proposed method could be a useful tool for investors with different risk attitude who tries to make a profit, and it is also useful for companies to be the winner by sharpening their attributes. In particular, a company, who wants to be an investee, needs to improve the gain attributes, if the investor's aspiration is high; or to improve the loss attributes, if the investor's aspiration is low.
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