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Table of Content

    30 June 2008, Volume 16 Issue 3 Previous Issue    Next Issue
    An Analysis to Dependence Patterns in a Polynomial Copula Approach
    ZHEN Lei, YIN Liu-zhi, FANG Zhao-ben
    2008, 16 (3):  1-7. 
    Abstract ( 2399 )   PDF (1379KB) ( 862 )   Save
    The development of copulas resolves the problem of description of dependence patterns,and it is a practicable method to construct multivariate probability distribution function.Because of the difficulty in approximation of mufti-dimensional copula,we study the modeling on dependence patterns of markets firstly with a mufti parametric linear regression framework equipped with the Bernstein polynomial expansion to the mufti-dimensional copula and estimate it with empirical data of Shanghai&Shenzhen Stock Market Comprising Indexes filtered with GARCH.Our result shows that.it is a feasible approach to describing the dependence patterns with the polynomial approximation.
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    Multiscale Power-Law Properties and Criticality of Chinese Stock Market
    CHEN Shou, YANG Houg-lin, LI Shuang-fei
    2008, 16 (3):  8-15. 
    Abstract ( 2310 )   PDF (750KB) ( 874 )   Save
    Motivated by the goal of discovering more accurate characteristics of Chinese stock market,this paper investigates the powerlaw properties and criticality of the Shanghai Stock Exchange Compound Index (SSEECI) with two benchmarks of 5-min and 1-day database.We find that the center profile of returns distribution is well described by the Lévy regime and,more important,that the approximately syrmnetric tails of distribution are characterized by another power-law regime with an exponent well out of the Lévy range 0< a <2 and also beyond the exponent α≈3 of fully developed markets.Moreover,we also show that returns appear to exhibit the criticality.When timescale △t>4 days,the distribution exhibits the slow convergence to normal Gaussian behavior.The phenomena support that the critical timescale △t≈4days of fully developed markets is universal for Chinese stock market.
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    The Benchmark Role of Repo Rate in China Interbank Bond Market:The Lead-Lag Effect of Short-Term Interest Rate
    DONG Le
    2008, 16 (3):  16-22. 
    Abstract ( 3015 )   PDF (703KB) ( 982 )   Save
    Using a Granger causality test and error correction model,the lead-lag effect of 1-day and 7-day repo rates in China interbank bond market and Shanghai Stock Exchange is investigated.Empirical results show strong evidence that the repo rates in exchange lead those in interbank.The repo rates in China interbank bond market do not perform a benchmark role as it should be.Within the interbank market,7-day repo leads 1-day repo less significantly.These results indicate that the true value of repo rates reflect faster in an active-trading market,which is not necessarily liquid.
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    Portfolio Model and Its Explicit Expression of Portfolio Efficient Frontier with Maximum Drawdown Constraint
    YAO Hai-xiang, Li Zhong-fei
    2008, 16 (3):  23-30. 
    Abstract ( 2665 )   PDF (830KB) ( 1007 )   Save
    This paper uses the mean-variance model to study the portfolio selection problem with maximum drawdown constraint in the market environment with a finite number of states.First it points out that solution method to the model with risk-free asset is the same as the model without risk-free asset.Then it only studies the mean-variance of n kinds of risk securities with maximum drawdown constraint,obtains existence conditions and features of the mean-variance efficient frontier and boundary,and gives a specific solution method and procedure to obtain the explicit expression of efficient frontier and boundary of the model,Finally,as an application and a demonstration of these results,a numerical example.is given.
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    An Chance-Constrained Mean-VaR Portfolio Model with Capital Structure and Transaction Costs
    LI Hong-jie
    2008, 16 (3):  31-36. 
    Abstract ( 2304 )   PDF (570KB) ( 824 )   Save
    The paper combines the advantages of both the mean-VaR model and the chance-constrained programming model and presents an chance-constrained portfolio problem with transaction costs and varying capital structure factor in short selling,which is determined by expected rate of return and confidence level.Its mathematical model is established,and the properties of existence and uniqueness of the optimal solution are discussed.Moreover,the explicit representation of the optimal solution is given.
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    Parameter Uncertainty and Investor’s Portfolio Choice: Evidence from China Stock Market
    YANG Chao-jun, CHEN Hao-wu
    2008, 16 (3):  37-43. 
    Abstract ( 2364 )   PDF (838KB) ( 849 )   Save
    Offering the useful and scientific investment advices is the central motive of modern theory of finance,which had already been achieved for the short-term investors.But for most investors they who the long horizons,the evidence of time-variation in expected returns is still among the more intriguing empirical findings in finance.The paper analyses the parameter uncertainty's effect on the investor's optimal portfolio choice,it suggests if the investor ignores the estimation risk,he may by lead to take position in too large stocks are.
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    Using Compound Extreme Value Theory to Evaluate Dynamic LaVaR
    YE Wu-yi, MIAO Bai-qi
    2008, 16 (3):  44-49. 
    Abstract ( 2446 )   PDF (543KB) ( 890 )   Save
    In this paper,the spreads of the highest and the lowest prices in one minute and the day-by-day return are combined to be analyzed for the first time,and an estimator and a forecasting method of dynamic liquidity adjusted Value at Risk are presented based on compound extreme value theory.Finally an empirical analysis of two stocks is proposed.
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    Effect of Unexpected Factors on Firms’ Decisions When New Technology Commercialization Project Can Be Suspended
    YUAN Cai-qun, TONG Yun-huan, TANG Fang-cheng
    2008, 16 (3):  50-56. 
    Abstract ( 2519 )   PDF (717KB) ( 753 )   Save
    Under the assumption that the price of new technology commodities follows a mixed Brownian motion/Poisson jump process,strategic decisions of enterprise are analyzed and the impact of the factors which can lead the commodities'price to a jump change on the corporations' decisions is investigated.By certain numerical illustration,our research presents the optimal entry,suspension,restart and exit thresholds,and the dependence of these thresholds on Poisson parameters is studied.Further,the research finds that the possibility of suspending and restarting a project can decrease the firm's optimal entry and exit thresholds.
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    Pricing European Foreign Currency Option under Jump Fractional Brownian Motion
    ZHANG Wei-guo, XIAO Wei-lin, Xu Wei-jun, ZHANG Xi-li
    2008, 16 (3):  57-61. 
    Abstract ( 2363 )   PDF (378KB) ( 950 )   Save
    Assuming that the exchange rate fllows jump fractional Brownian motion,by constructing foreign currency option market under jump fractional Brownian environment,a pricing formula for a European contingent claim is derived by using fractional Girsanov formula and self-financing strategy.Moreover,a pricing formula of a European foreign currency option is obtained based on the principle of option pricing.At last,we give an empirical analysis of EUR/USD option,the results of different pricing models show that foreign currency market has both jump and fractal properties.
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    Research on Coordinated Supply-Production-Distribution Plan Model in Supply Chain under Stochastic Demand
    TIAN Jun-feng, LI Sheng, YANG Mei
    2008, 16 (3):  62-67. 
    Abstract ( 2812 )   PDF (608KB) ( 893 )   Save
    Considering stochastic consumer demand,the paper studies coordinated supply-production-distribution plan problem in mufti-tier supply chain network from suppliers to end consumers.A mufti-period two-stage stochastic programming model with resourse problem is constructed according to the assumptions and analysis of the problem,which aims to wholly optimizing supply-production-distribution.The solving strategy is also brought forward for the stochastic model by hybrid optimization and simulation.Finally,a demonstration analysis is given to validate effectiveness of the model by using simulated data.The difference of cost is compared on supply-production-distribution plan adopting the synchronous and asynchronous ways: The distributional characteristic of cost is analyzed about supply-production-distribution plan under stochastic and deterministic mean demand.The computational result shows that the coordinated supply-production-distribution plan model under stochastic demand can remarkably reduce the total supply chain cost as well as efficiently control the quantity of supply-production-distribution and decrease the inventorv so as to depress the market risk for customer's demand fluctuation.
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    The Stackelberg Gambling Analysis on a Two-Tier Supply Chain Coordination of Many Retailers
    BAO Yu-ling
    2008, 16 (3):  68-72. 
    Abstract ( 2662 )   PDF (385KB) ( 1252 )   Save
    This article researched ordering coordinations of the supply chain in which there are many different coststructure retailers and one supplier,and each retailer's whole year demand,ordering cycle,ordering number of each time,as well as each time order quantity and so on,all have been different.This article studied the stackelberg gambling model of the cooperation through the suitable price discount strategy to improve achievement of the supply chain.An example has been analyzed finally.
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    Study on the Efficiency of the Closed-Loop Supply Chains with Remanufactare Based on Third-Party Collecting
    HUANG Zu-qing, YI Rong-hua, Da Qing-li
    2008, 16 (3):  73-77. 
    Abstract ( 3654 )   PDF (516KB) ( 1147 )   Save
    With the awareness of environment protection and sustainable development,the reverse logistics management is increasingly being concerned.The efficiency lose of the closed-loop supply chain with remanufacture based on third-party collecting is discussed in this paper.Results indicate that the value of used products is the motive factor of tack-back activities,the efficiency lose of the closed-loop supply chains with remanufacture based on third-party collecting is endogenous under non-cooperative decision structure,and the decision structure which the retailers decide the wholesale price of the products is more efficient than the that the producers decide the wholesale price of the products.The profit sharing contract is an efficient volicy to realize "win-win" among the members of the supply chain.
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    On Supply Chain Revenue-Sharing Contract Design under Price-Sensitive Demand
    CHEN Ju-hong, GUO Fu-li, SHI Cheng-dong
    2008, 16 (3):  78-83. 
    Abstract ( 2516 )   PDF (544KB) ( 980 )   Save
    The revenue-sharing contract of supply chain coordination under price-sensitive demand is studied in this paper.At first,the revenue-sharing contract coordination model of supply chain is built when the end-consumer demand is price sensitive and the scrap value of the overplus product is related to its production cost.Then,the optimal decision of the retailer is suggested and the calculation formula of the range of contract parameter φ is given after analyzing the decision behaviors of the supplier and the retailer respectively,At last,an example is used to verify the results and the effectiveness of revenue-sharing contract in suoolv chain coordination was confirmed.
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    Scheduling a Single Batch-Processing Machine with Non-Identical Job Sizes Based on Particle Swarm Optimization
    CHENG Ba-yi, CHEN Hua-ping, WANG Shuan-shi
    2008, 16 (3):  84-88. 
    Abstract ( 2396 )   PDF (513KB) ( 1045 )   Save
    An improved particle swarm optimization algorithm with global search ability is proposed to minimize the makespan of a single batch-processing machine with non-identical job sizes.The coding method of the algorithm is designed according to the processing of non-identical jobs.The global best solutions are improved using a chaotic scheme to avoid the immature convergence.The simulation results demonstrate that the proposed algorithm outperforms the other algorithm on the run time and the quality of solutions.
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    Coordination of Supply Chain with Hybrid Distribution Channels When Retailer’s Demand Relies on Its Sales Effort
    QU Dao-gang, GUO Ya-jun
    2008, 16 (3):  89-94. 
    Abstract ( 2611 )   PDF (718KB) ( 1272 )   Save
    We develop a single manufacturer single retailer two-echelon supply chain model which has hybrid distribution channels.The problem of supply chain coordination is considered when the random demand of retailer is affected by its sales efforts.Supply chain is coordinated by the modified and the traditional revenue sharing contracts.We also illustrate our analytical results with numerical examples,and compare the partner's profits.At last,based on the results of numerical examples,we give managerial in sights for the manufacturers.
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    Analysis of Decision While Supplier Involving in Collaborate Design Under Uncertainty
    ZHANG Zi-jian, LIU Wei, ZHANG Wan-jun
    2008, 16 (3):  95-101. 
    Abstract ( 2241 )   PDF (899KB) ( 914 )   Save
    Taking proportion of task assumed by supplier involved into collaborative design as the quantitative index of his participation degree,considering R&D uncertainty,we seek the optimizion participation degree from supplier's point of view.Result shows,for the supplier,its participation is restricted by two sides' relative marginal profit,development ability and market uncertainty of the new product.When supplier involves and shares some manufacturer's design task,he has an optimized proportion to choose,this proportion positively related to its marginal profit and technology development ability,negatively related to manufacturer' marginal profit and technology development ability,as well as to market success probability.
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    A Dynamic Programming Approach for Constructing Optimal Trading Strategy
    LI Zhi-sheng
    2008, 16 (3):  102-108. 
    Abstract ( 2395 )   PDF (865KB) ( 978 )   Save
    Asset allocation means dividing investors' investments among different assets both in space and time.Although modern portfolio theory has developed to a highly sophisticated level and provided us with valuable theatrical models and application frameworks in steering assets in space,little is known about asset allocation in time.The core question of asset allocation in time is how to optimally select buying and selling time for different assets at different time,that is,optimal trading strategy design.Based on dynamis programming principles,this paper proposes an efficient algorithm for return-optimal trading strategy both for the case of trading with and without the constraint of maximum trading times,and implements the algorithm by using the data from Hong Kong stock market.The computation algorithm proposed in this paper is a linear time algorithm with respect to the number of trading periods and number of assets,and can be used in large-scale problem efficiently.
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    An MSV Risk Management Method of Power and Reserve Purchase for Electirc Power Grid Company
    LI Li, TAN Zhong-fu, WANG Jian-jun, BAI Hui, WANG Cheng-wen
    2008, 16 (3):  109-115. 
    Abstract ( 2472 )   PDF (727KB) ( 1028 )   Save
    It is meaningful for the electric power grid company to reduce the electric power purchase risk costs through optimizing purchase quantities of power and electric reserve,so as to reduce the customers' electric usage costs,The purchase price in these two markets is regarded as the risk factors in this paper,and because the Mean Variance may result to unreasonable decision for its enlarging the risks scope,the Mean Semi-Variance is used to describe the risk purchase problem,and the basic optimal purchase model is given out.Based on this,fuzzy membership is applied to represent the experts' uncertain realization of resonable reseve rate,and then the Expansion Principle is used to infer the membership of the optimal purchase strategies,the core method is also used to defuzzify it so as to obtain the final optimal purchase strategies.The model integrated the expert qualitative understanding and quantitative analysis technique,which provides a new solution to the power purchase problem,and these can be properly reflected in the example.
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    An Analysis on the Impact of Supply Chain Management Practice on Organizational Performance
    LIAO Cheng-lin, LIU Xue-ming
    2008, 16 (3):  116-124. 
    Abstract ( 2478 )   PDF (782KB) ( 1492 )   Save
    The study attempts to provide a structural equation model for the impacts of chain management practice on organizational performance using competitive advantage as mediator.Sample data for the study were collected from 177 organization in south -west and southChina and the relationship proposed in the framework was tested,and structural equation modeling approach has been employed to analyze the research model and hypotheses.The results show that supply chain management practice not only has a significant positive direct impact on competitive advantage and organizational performance,but also a significant positive indirect impact on organizational performance by competitive advantage;competitive advantage has a partial mediate effect between supply chain management practice and organizational performance.
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    Study on the Sensitivity of Implied volatility Based on Artificial Intelligence
    ZHANG Hong-yan
    2008, 16 (3):  125-130. 
    Abstract ( 2276 )   PDF (680KB) ( 867 )   Save
    Implied volatility is the volatility implied by an option price observed in the market.The sensitivity of the volatility among varied kinds of option price ise different.In this work,we build hybrid forecasting models combining wavelet neural network with genetic algorithm.Using these models,option partition according to moneyness is applied and weighted implied volatility measures are regarded as input of the neural network.The genetic algorithm is used to determine the optimal weight of the implied volatility among different kinds of option.Case study on Hong Kong derivative market shows that these hybrid models are better than the conventional Black-Scholes model and the other neural network models adopted in this work.
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    The Model of Grey Periodic Incidence and Their Rehabilitation
    SHI Hong-xing, LIU Si-feng, FANG Zhi-geng, ZHANG Na
    2008, 16 (3):  131-136. 
    Abstract ( 3518 )   PDF (664KB) ( 1023 )   Save
    Grey incidence model determines the closeness degree from the closeness and similarity of statistical sequence's geometrical form.Traditional grey incidence model calculates statistical sequence's correlation degree from the perspectives of its acreage,slope,changing velocity,etc.These incidence models have dual influences exerted by horizontal and vertical coordinates.Subsequently,inference of other factoys occurs when we analyze the relationship between statistical sequence's individual factors.To overcome this limitation,the author puts forward the periodic correlation model and draws the conclusion that the model is in reference to the fluctuation period of the wave,but is independent of its swing,and that it can show the positive-negative relevance.This model is then applied to carry out a research into the periodical relationship between GDP and residential consumption,which comes out to be an effective one.
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    Real Option Investment under Two-Dimensional Information Asymmetry
    LIANG Shuo, TANG Xiao-wo, NI De-bing
    2008, 16 (3):  137-144. 
    Abstract ( 2141 )   PDF (712KB) ( 878 )   Save
    Studied real option investment in a two-dimensional information asymmetry framework.Under the assumption that two asymmetric parameters' distribution function is two-point distribution,we found that the trigger values of different type agents have four kinds of equilibriums,which are separated equilibrium,bunching equilibrium and two kinds of partially bunching equilibriums.We analyzed the conditions for each kind of equilibrium to exists,and the effect of correlation change on equilibrium status.
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    Measuring Financial Constraint with a Multivariate Classification Index Model
    LI Yan, ZHANG Ning
    2008, 16 (3):  145-150. 
    Abstract ( 2588 )   PDF (607KB) ( 1259 )   Save
    There has been a strong argument on cash-investment sensitivity which is regarded as the measurement of financial constraint since Kaplan and Zingales's discussion in 1997.Following the basic approach by them,in this paper we developed a multivariate classification index model to measure firm's financial constraint,with listed company in China.
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    The Shock Effect of Introducting Interest Rate Futures to Spot Marke:Empirical Evidence from Hong Kong Market
    ZHANG Zong-xin, DING Zhen-hua, Feng Yi-dong
    2008, 16 (3):  151-156. 
    Abstract ( 2115 )   PDF (798KB) ( 1123 )   Save
    Introduction of interest rate futures results in some extent dynamic shock and information transfering in emerging markets.Using Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and variance ratio(VR) model,this paper tests the volatility shock and information transfering effect by 90 days interest rate future in Hong Kong market.The empirical studies releave that shock effect by volatility disturbing moves quickly to normal-adjusted level after introducing interest rate future.The half-life of volatility shocks reduced sharply,but volatility remarkably increased.Menwhile,the return of spot market is close to the process of random walk after introducting interest rate futures,which means the price reflects all information and the efficiency of information transfering is enhanced.
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    Leverage, Equity Financing and Firm Investment
    ZHANG Li-bing, WU Chong-feng
    2008, 16 (3):  157-163. 
    Abstract ( 2636 )   PDF (708KB) ( 786 )   Save
    This paper analyzes the interaction between firm investment and both capital structure and equity financing,obtaining endogenously the investment timing,bankruptcy timing,and equity-selling ratio.The simulation of our model shows that the initial debt and new debt financing affect the firm investment: the initial debt has promotive effect on the firm investment,while the equity financing is constraint,they are two factors causing overinvestment or underinvestment.
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    A Research on Corporate Governance Model of Multi-Large Shareholders Based on Game Theory
    DANG Wen-juan, ZHANG Zong-yi, WU Jun
    2008, 16 (3):  164-172. 
    Abstract ( 2612 )   PDF (972KB) ( 956 )   Save
    Under the high concentration degree of stockholders rights,the State-owned stock "a dominant shareholder" is the basic reason of corporate governance,establishesing "several equal-sized shareholders" structure would be advantageous to the improve the corporate governance.This article introduc's many major stockholders model,carries on complete information dynamic game,and obtains the conclusion: "several equal-sized shareholders" structure governance is not the quite ideal governance pattern,at present "a dominant shareholder" governance pattern surpasses the "several equal-sized shareholders" government pattern,the government result is not only the result of these major stockholder s mutual gambling process,but also the result of shareholdefs cultural values.In the final,some conclusions and the suggestions based on the theoretical analysis are given.
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    Incentives Mechanism of Construction Project Team Member Based on the Dynamic Psychological Contract
    HOU Jing-liang, CHI Hong-juan, LI Yuan-fu
    2008, 16 (3):  173-180. 
    Abstract ( 2558 )   PDF (853KB) ( 952 )   Save
    The psychological contract of construction project team members is changing in the project construction process.The construction project is divided into several milestones,as the undulation of member's dyhami8cally syschological contract is bigger in the first and the last milestones tis paper discovers pa psychological contract division spot by increasing the heavy penalty and the inspector frequency.Moreover,it further analyzes the relation between milestone goal,reward and investment ratio by using expected effectiveness and the dynamic progvamming method,and drawa some conclusion.The validity of this kind of incentive mechanism has been tested through the case.
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    The Effects of Business Strategy and HRM Strategy on Organizational Performance
    LIU Shan-Shi, IRENE Hau-sin, Chow HUANG Jia-zhen, LIU Xue
    2008, 16 (3):  181-192. 
    Abstract ( 3073 )   PDF (1333KB) ( 1754 )   Save
    The strategic HR literature suggests that a firm will perform better through internal appropriate fir among HRM practices(the configuration fit) and through external appropriate fit between a firm's busiHess strategy and HRM practices.The present study adopts a configuration approach to identifity unique patterns of HR practices and business strategy which are posited to be maximally effective.research findlngs show not only competitive strategies have signficant effect on HR configuration,but also significant interaction effects of HR configurations and business strategy on profit and sales growth are observed.The results from the present study offer some support to the pint of that integrating HR configuration with business strategy is conducive to the enhancement of organizational perormance.
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