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31 August 2007, Volume 15 Issue 4 Previous Issue    Next Issue

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The Construction of the Commodity Futures Index and Study of Its Functions BU Hui, LI Yi, CHEN Rui-gang, LIU Qing-wei, WANG Shuan-hong, WANG Shou-yang 2007, 15 (4):  1-8.  Abstract ( 2227 )   PDF (709KB) ( 1256 )   Save Commodity indices have played important role in global futures market to measure trends in commodity futures markets.However,research on Chinese commodity index is still in the starting period.While on the other hand,with China's integration into the world economy and the development of Chinese futures market,the study of commodity index has more practical significance than before.As an important index among Chinese commodity futures indices,MG commodity futures index is characterized by its applicability,since it not only absorbs the advanced experience from global commodity indices,but also takes int oaccount the current situation of Chinese futures market.In this paper,we take MG commodity futures index as an example to discuss the design of commodity futures indices,also,we test the functions of MG commodity futures index,based on which we evaluate its performance. Related Articles | Metrics

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Long-Term Impact, Price Adjustment and the Cross-Autocorrelations between Stock Portfolio Returns XU You-chuan, HE-Jia 2007, 15 (4):  9-13.  Abstract ( 2376 )   PDF (443KB) ( 960 )   Save The paper researches the cross-autocorrelations among stock portfolios with different sizes of circulation.The significantly negative lead-lag correlations of smaller portfolios to bigger portfolios indicate that the traditional information transm ission mechanism based on the difference of price adjustment speeds doesn't exist in Chinese stock market.It maybe gives the unusual phenomenon a possible explanation from the angle of the special investor compositions and investor behaviors in Chinese stock market.We also find that the weak long memory characteristic has significant impact on the cross-autocorrelations among the size-based portfolios and the cross-autocorrelation weakens or disappears after eliminating the influence of long memory. Related Articles | Metrics

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A Study on the Relation Between Debt Capacity and Growth Option XUE Ming-gao, GONG Pu 2007, 15 (4):  14-20.  Abstract ( 2317 )   PDF (318KB) ( 888 )   Save Using option game method,it is explored that how the investment growth option affects the debt financing decision of firm.Consider some important factors such as the interest rate,taxrate,interest rate of debt and termstructure of debt,which affect firm's debt financing and investment decisions,the option game theory model of the relation between debt financing and real investment growth option is constructed in uncertainty in this paper.The paper presents the optimal debt capacity,and by numerical analysis shows the non-linear "U" shape relation between debt capacity and growth option.The research shows that when the "U" shape relation states that the rate of return on investment is lower,the optimal debt capacity is decreasing with the rate of return on investment; when the rate of return of investment is at higher level,the optimal debt capacity is increasing with the rate of return on investment.Thus,a new interpretation of the relation between debt financing and real investment growth option is also given. Related Articles | Metrics

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The Choice of Dynamic Portfolio Based on the Information Update MENG Wei-dong HE Chao-lin 2007, 15 (4):  21-27.  Abstract ( 2047 )   PDF (668KB) ( 1229 )   Save This paper studies the effects of parametric uncertainty of the first two moments about risky asset return on the choice of dynamic portfolio under incomplete information.In the continuous-time framework,it analyzes them qualitatively according to the closed-form solution of the optimal portfolio choice.Then in the discrete-time framework,gives their quantitative results according to the empirical study form two different sample of Shanghai Exchange Composite Index.Result shows:the uncertainty of parameter leads to negative (positive) investment horizon effects when investor's risk aversion is more (less) than that of logarithmic investor;the effects of parametric uncertainty will weaken when investor uses more past data in his estimation,or when his risk aversion increases;portfolio selection under parametric uncertainty can explain the puzzle of risk premium.This study demonstrates that the problem of parametric uncertainty should be taken into account in the context of dynamic portfolio choice. Related Articles | Metrics

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Competitive Analysis and Risk-Reward Model for Online Rental Problem with Canceling Buying-Permission DONG Yu-cheng, XU Yin-feng, XU Wei-Jun 2007, 15 (4):  28-33.  Abstract ( 2144 )   PDF (633KB) ( 1022 )   Save The classical online rental problem only considers two options:buy or rent.This paper assumes that the buying-permission can be canceled,and proposes the online rental problem with canceling buying -permission.The proposed problem is a generalization of the classical online rental problem.Using the method of traditional competitive analysis,we design the optimal investment strategy for this problem.Moreover,we also give the optimal strategies under the risk-reward framework.These results can provide a basis for further constructing the framework of the online leasing problem based on contracts. Related Articles | Metrics

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Performance Analysis of a Hybrid Manufacturing/Remanufacturing System Based on Improved Policy ZHAO Xiao-min, HUANG Pei-qing, LUO Jian-wen 2007, 15 (4):  34-41.  Abstract ( 2397 )   PDF (625KB) ( 1167 )   Save In a hybrid system with product recovery,the producers have to coordinate the manufacturing and remanufacturing simultaneously.With the integrating remanufacturing activity into regular production environment,traditional production planning and inventory management methods are no longer suitable.How to design an effective control mechanism is a key problem for the producers in the product recovery context.This paper puts forward an improved control mechanism for hybrid system by redesigning the inventory information.Moreover,considering the system complexity,we apply automatic control theory to develop transfer function models of hybrid system.The dynamic simulation shows that our control mechanism can not only effectively coordinate manufacturing and remanufacturing activities,but also substantially improve the systems performance. Related Articles | Metrics

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Study On the Quality Control Policy in the Closed-loop Supply Chain Based on the Dynamic Game Theory XIONG Zhong-kai, CAO Jun, LIU Ke-jun 2007, 15 (4):  42-50.  Abstract ( 2317 )   PDF (400KB) ( 1265 )   Save This papers mainly study the quality control policy in the single period decentralized closed-loop supply chain composed by a manufacturer and a retailer.Based on the three stage.dynamic game theory,we consider the retailer,which as a leader in the game,how decides the penalty rate of defectively used products and the inspection rate on incoming items from retailer,and the retailer how decides the return rate of used products and the inspection rate on incoming items from consumer.In addition,we build the model to solve this problem and discuss the cost of supervising and the impact of different defective rate of used products on the decision makings of both the manufacturer and the retailer by mathematics example. Related Articles | Metrics

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Cost Allocation for Transporuation Facility Choice of Perishable Products Based on Cooperative Game LI Jun, CAI Xiao-qiang 2007, 15 (4):  51-58.  Abstract ( 2436 )   PDF (322KB) ( 1293 )   Save The value of perishable products decaying when are transpor ted1.In this paper,the transport ation cost and decay value are considered,the costal location problem of perishable products is formulated as the cost allocation game for choosing transportation facility.It is proved that the cost allocation game has a non2empty core and also submodular at case of linear decay function.Some solutions as nucleolus,Shapley value,S-value are discussed.Lastly the cost allocation game with const raints is discussed,in which the core may be empty.Further research areas are presented. Related Articles | Metrics

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The Environmental Bi-Level Programming Models to the Location Decision in Distribution Centers HU Chang-ying, LIU Guo-shan 2007, 15 (4):  59-62.  Abstract ( 2198 )   PDF (279KB) ( 1029 )   Save By considering the environmental protection,we established bi-level programming models in which the government is in the up-level and the followers are logistics enterprises to study how the government and the logistics enterprises laid down measures to not only protect the environment,but also reduce the cost of logistics enterprises,i.e.,to seek the relatively optimal decisions for both the government and the logistics enterprises. Related Articles | Metrics

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A Study on Delivery Time and Quantity Coordination Decision Model for Short Life Cycle Product Supply Chain LIN Yong, LE Xiao-juan, YU Jian-hong 2007, 15 (4):  63-69.  Abstract ( 2416 )   PDF (648KB) ( 1136 )   Save This paper considers a two-echelon supply chain system with one distributoy,and one manufacturer,who supply the customers with one kind of short life cycle product.It establishes delivery time and quantity decision models separately in decentralized decision mode and centralized decision mode when the market demand and the manufactures delivery time are random,and it also analyses the optimal decisions under these two modes.Case and numerical analyses show that coordination between manufacturer and distributor can not only shorten the delivery time and increase the whole supply chain systems profit,but also increase the products supply in the market. Related Articles | Metrics

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Distribution of Cooperation Benefits under Different Supply Chains——The Case of Coal and Eletric Power Enterprises ZHAO Xiao-li, QI Jian-xun 2007, 15 (4):  70-76.  Abstract ( 2376 )   PDF (595KB) ( 2033 )   Save The form of supply chain cooperation affects the engendering mechanism and distribution of cooperation benefits.Therefore,it is necessary to study the distribution of cooperation benefits under different cooperation forms Based on supply chain cooperation between coal and electricity power enterprises,we use the infinite stage bargaining game to model the distribution of cooperation benefits,with the profit allocation factor taken into consideration.This is applicable to cases where one party invests in the other.Further,we employ Shapley Value method and the expectation theory to model the distribution of cooperation benefits according to contribution to cooperation and the tradeoff between risks and rewards.This applies to long-term contracts and strategic cooperation.Our analysis has implications for the distribution mechanism of cooperation benefits between producers and suppliers. Related Articles | Metrics

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Study on Supply Chain’s Performance Based on Strategic Customer Behavior LI Juan, HUANG Pei-qing, GU Feng 2007, 15 (4):  77-82.  Abstract ( 2399 )   PDF (673KB) ( 1358 )   Save A supply chain system is constituted by a supplier,a retailer and customers,in which the customers are of strategic behaviors.Strategic customers,anticipating future price paths and time their purchases,can choose to buy in the first selling period,or choose to wait for returned products in the second selling period in order to maximize individual surplus.In the first selling period the retailer orders a quantity from the supplier and sells products in the first market.In the end of first selling period,the remaining products are bought back by the supplier.In the period of second selling,the supplier sells the returned products.The results of parameter and numerical study are following.First,whether strategic customer behavio rcould impact the supply chain’s performance and ordering depends on customer acceptance of the secondary market.Second,buyback contracts,which depend on the first-best ordering quantity of the centralized supply chain,can coordinate the decent ralized supply chain,and the first-best buyback price is irrelevant with strategic customer behavior.Finally,whether the retailer accepts the buyback contracts depends on strategic customer behavior and the customer acceptance of the secondary market. Related Articles | Metrics

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A Planning Model and Analysis for Logistics Capability in a Multi-Stage Supply Chain MA Shi-hua, SHEN Wen 2007, 15 (4):  83-88.  Abstract ( 2442 )   PDF (285KB) ( 1071 )   Save This paper considers a one-time logistics of a product in a multi-stage supply chain system,and a dynamic planning model of logistics capability is presented for this system.The quantity as one important index of the logistics capability is analyzed theoretically,and the optimal logistics capability with the lowest system cost and flow quantity allocated at every stage are derived.The optimal logistics capability policy can be characterized by two critical numbers: the lower and the upper.If available input is less than the lower,one chooses no logistics capability; if the available input exceeds the lower,one tries to provide capability as much as possible,but nomore than the upper.The principle of mathematical induction is used to prove the conclusion,and a numerical example to test the result. Related Articles | Metrics

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Study on the Weakening Buffer Operator Sequence GUAN Ye-qing, LIU Si-feng 2007, 15 (4):  89-92.  Abstract ( 2054 )   PDF (198KB) ( 1041 )   Save The starting-point of the paper is shock-vibration problem which often appears in prediction,under buffer operator axioms of grey system theories,t-AWBO (t-power Weakening Buffer Operator) sequence is established which has the practicability,and some existing weakening buffer operators are arranged.Their characters and inherent relation are studied.An example shows their validity and practicability,the problem that some contradictions between quantitative analysis and qualitative forecast for shock-vibration data sequences is resolved effectively. Related Articles | Metrics

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Prediction to Corporate Bond Financing Based on New GM(1, 1) in China DONG Fen-yi 2007, 15 (4):  93-97.  Abstract ( 1881 )   PDF (238KB) ( 1020 )   Save Enterprise bonds obviously lag far behind the whole capital markets in China.The voice of quickening development of enterprise bonds markets is more and more higher.But wiping off the bondage of administrative framework to enterprise bonds development will be a long-time process.In this background,the paper makes quantitative prediction to corporate bonds financing in China.Considering that factors which affect corporate bonds development are more and uncertain,the author predicts it with GM (1,1) model.GM (1,1) is a gray exponential model with distortions,its precision lies on conformation of backg round value and selection of original condition.In literature,GM(1,1) models were optimized,with one side,GM(1,1) models.Independent adoptions of optimizing background values and original conditions of GM(1,1) can,at a certain extent,improve the precision of the model.Based on the idea that we have a bove reasoned,it is produced that a new GM (1,1) model of integrated optimizing its background value and original condition.Through comparisons of simulation data,the author finds that new GM (1,1) model has a higher simulation precision. Related Articles | Metrics

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The Research and Application of Genetic-Based Design Structure Matrix Optimization Algorithm SHEGN Hai-tao, WEI Fa-jie 2007, 15 (4):  98-104.  Abstract ( 2312 )   PDF (624KB) ( 1610 )   Save The paper analyzes the disadvantage of present research in optimization of Design Structure Matrix,then brings forward the number design structure matrix based on the coupling intensity.After this,the paper combines the number DSM with the genetic algorithm,sets up the objective function,designs the way of coding,crossover,mutation and introduces the newalgo rithm of optimizing the design structure matrix.In addition,taking the designing process of plane for example,achieving the optimization of design time,cost and pro cess.The paper compares the new optimization with the old method.The result reveals that the new optimization has advantage in objective function,efficiency in finding best result and the best result it self. Related Articles | Metrics

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Application of Hidden Markov Model Considering Influencing Factors in Economic Forecast ZHANG Dong-qing, NING Xuan-xi, LIU Xue-ni 2007, 15 (4):  105-110.  Abstract ( 2572 )   PDF (639KB) ( 2376 )   Save Quantitative forecasting methods can be divided into time series models and causal models.Causal models forecast by considering the effects of outside factors,while time series models attempt to predict the future values using historical data itself.However,time series models take into account the structure of historical data rather than the effects of causal factors,and causal models consider the effect of causal factors rather than the structure of history data Therefore,a forecasting method based on hidden Markov mo del(HMM) with multivariable data,which includes both the time series structure and causal factors,is proposed in this paper.Firstly,we introduce the basic theory of HMM;then the corresponding algorithm is developed after discussing model training and parameters estimation.At last,a simulation experiment and an empirical research are launched,and experimental results indicate that the model proposed is effective. Related Articles | Metrics

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Studying Manager’s Multiperiod Combinative Incentive Contracts Based on Career Concerns CHEN Shuang-ying, TANG Xiao-wo, SHAO Yun-fei 2007, 15 (4):  111-115.  Abstract ( 1912 )   PDF (551KB) ( 990 )   Save Based on the recognition of defects in the literatures on implicit incentives accordant to career's co ncern s,we model manager's multiperiod combinative incentives,derive the optimal incentives,and study the features in the optimal incentives.We testify that implicit incentives based on career concerns decrease and explicit incentives increase with manager's working year increasing. Related Articles | Metrics

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Building SW-Type Leading Indices:An Empirical Study WANG Jin-ming, CHENG Jian-hua, YANG Xiao-guang 2007, 15 (4):  116-123.  Abstract ( 2301 )   PDF (803KB) ( 1570 )   Save Using China's monthly economic data from January 1997 to May 2006,the paper discusses the possibility of building SW-type leading indices.Empirical results show that: SW Index based on coincident indicators can reflect the economic movement quite well; both SW Index and Coincident Composite Index have their own advantages; but SW-Type Leading Index based on leading indicators is unstable and ill-performed,while SW-Type Leading Index based on coincident indicators forecasting has a good performance. Related Articles | Metrics

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Research of AHP Dynamic Decision Theory on Hydropower Development in Nujiang River Area ZHANG Yu, YU Bo 2007, 15 (4):  124-129.  Abstract ( 2597 )   PDF (278KB) ( 1094 )   Save Based on the theories of multi objective decision and AHP analyses,this article establishes a new kind of scale matrix and dynamic decision model according to the multi-objective and comprehensive environmental system and the characteristic of the assessment indicator metrics changing with time or temporal period.This model proposes the methods of the dynamic quantification of monitoring indicators and AHP based on the dynamically changing characteristics of influential factors of contributory area scarped exploiting environment,and realizes that dynamic quantification of AHP judgment matrix could satisfy there quirement of congruousness to all the temporal points in the whole temporal period Meanwhile,this article takes hydropower development in in nujiang River Area as an example to assess the decision.The computational resultafter putting on the environmental influence indicates that the effect of the established dy namic AHP decision model is favorable. Related Articles | Metrics

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Research on Industry Agglomeration Measurements of China High-Tech Zones LI Qiang, HAN Bo-tang 2007, 15 (4):  130-137.  Abstract ( 2003 )   PDF (904KB) ( 1118 )   Save The paper established measurements of industry agglomeration of High-tech zones in China.Empirical study on the panel dada of High-tech zones in China showed that there is already industry clustering in the zones with increasing output elasticity.However,the quality of industry clusters differs greatly between the zones. Related Articles | Metrics

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The Classification Study on Analysis Models and Approaches of Synergy Development between Product Innovation and Process Innovation BI Ke-xin, AI Ming-ye, LI Bai-zhou 2007, 15 (4):  138-148.  Abstract ( 2350 )   PDF (920KB) ( 1643 )   Save The paper has deeply made the theoretic and empirical studies of synergy development between product innovation and process innovation.The thesis systematically analyzes and introduces some major models and approaches of matchment and selection between product innovation and process innovation,and summarizes the research perspectives and conclusion.By the use of bibliometrics method,the paper fu-rther illustrates the development trend of research approaches on synergy development between product in-novation and process innovation. Related Articles | Metrics