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30 June 2007, Volume 15 Issue 3 Previous Issue    Next Issue

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Model of Option Pricing Driven by Fractional Ornstein-Uhlenback Process ZHAO Wei, HE Jian-min 2007, 15 (3):  1-5.  Abstract ( 2507 )   PDF (566KB) ( 1930 )   Save Considering the time variability of stock return and long memory of volatility,afradional O-U process is given.Under the fractional risk neutral measure,we get the unique equivalent measure by using fractional Girsanov theorem.With quasi-martingale method,this paper solves an option pricing model in the fractional market,which makes original Black-Scholes equation as an special example.At last,a numerical case is employed to show that the long memory parameter H is an important factor in option pricmg. Related Articles | Metrics

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Smooth Transition Autoregressive Fractional Moving Average Model and Empirical Analysis： A Case of China’s Inflation Rate LIU Jin-quan, LI Qing-hua, ZHENG Ting-guo 2007, 15 (3):  6-13.  Abstract ( 2572 )   PDF (1189KB) ( 1842 )   Save On the base is of ARFIIVIA model and smooth transition model which describe long memory and structural change respectively,this paper proposes a STARFIIVIA model to jointly test these two properties of time series and presents the methods of parameter estimation and bootstrap likelihood ratio test for null of linearity.As a case of China s inflation rate,we find that STARFIIVIA model can simulate better than the linear ARFIIVIA model by empirical analysis with logistic smooth transition ARFIIVIA model.Moreo ver,this model can capture structural change with transition variables of inflation rate and increasing inflation rate,and the results suggest that the memory becomes strong when considering structural change and displays long range dependence. Related Articles | Metrics

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Model of Portfolio Selection with Transaction Costs in Varying Capital Structure LI Hong-jie 2007, 15 (3):  14-18.  Abstract ( 2109 )   PDF (412KB) ( 1154 )   Save In this paper,the impact of friction factors and transaction costs on portfolio optimization are studied.The author establishes an optimization model of portfolio investment with transaction costs and friction factors,as the risk security and non-risk security are considered,and gives the portfolio and the efficient frontier of that model,and discusses the influence of transaction costs and friction factors on the efficient frontier. Related Articles | Metrics

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Robust Portfolio of Dynamic Asset Allocation ZHU Wei-liang, LIU Hai-long 2007, 15 (3):  19-24.  Abstract ( 2542 )   PDF (813KB) ( 1346 )   Save Both event and parameter uncertainty seems highly relevant in many aspects of financial decision-making.This paper explores the effects of such uncertainty and event risk on dynamic portfolio,in parocular,the implication of jumps in prices and volatility on investment strategies for major events often trigger abrupt changes in stock prices and volatility when a robust investor worries uncertainty in stock market.With the model specifications and robust investors,The results show that investors minimize the specification errors and then select an optimal dynamic portfolio to maximize their utilities,prove that robustness dramatically decreases the portfolio demand of equity when agents are risk aversion and uncertainty aversion. Related Articles | Metrics

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The Extreme Risk Spillover Effect between International and Domestic Oil Markets PAN Hui-feng, ZHANG Jin-shui 2007, 15 (3):  25-30.  Abstract ( 2579 )   PDF (284KB) ( 1411 )   Save This paper adopts GARCH model with GED distribution to estimate the conditional VaR in both upside and downside directions at the confidence level of 90% and 95%,and then utilizes the Granger cau sality in risk to uncover the extreme risk spillover effect between WTI and Daqing oil markets,the daily da to of oil price in two markets ranging from May 2000 to May 2005.Our findings indicate there exists unilateral risk spillover effect from international to domestic in both extreme upside risk and downside risk,which means the history of extreme risk of international market will be helpful to predict the extreme risk in domestic market.Taking stock market as benchmark,this paper investigates the difficulty and counter measures in risk management of oil market. Related Articles | Metrics

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Study of Supply Chains Optimization and Coordination Model Based on Conditional Value-at-Risk YU Chun-yun, ZHAO Xi-nan, PENG Yan-dong, PAN De-hui 2007, 15 (3):  31-39.  Abstract ( 2392 )   PDF (910KB) ( 1431 )   Save In this paper we introduce the financial risk control tool,the conditional value-at-risk,to study risk-averse supply chains optimization and coordination mechanism problem.First,for a two-echelon supply chain with a risk-averse supplier and risk-averse retailer,we construct the conditional value-at-risk mo del,the optimal ordering quantity model and the revenue-sharing contract model based on CVaR under ramdom demand.Then,we analyze the model and reveal the impact of risk aversion on supply chains coordination,the optimal ordering quantity and the trade price decisions.Finally,we have also given numerical results to verify the conclusions presented in this paper. Related Articles | Metrics

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Optimal Design of Returned Logistics Network with Stochastic Parameters of Continuous Distribution DI Wei-min, HU Pei 2007, 15 (3):  40-46.  Abstract ( 2556 )   PDF (714KB) ( 1194 )   Save Considering uncertainty of design parameters,the paper develops a two-stage stochastic programming model for optimal design of a single product,capacitatedreturnedlogistics network,which gives sets of finite and discrete values of stochastic parameters with the help of sampling technique,comp utes and compares construction and run expenses of different networks by mixed genetic algorithm,so effectively avoids network facility numbers and random vector dimensions' negative effect on model calculation efficiency.In order to get a robust returned logistics network,using a larger quantity of samples estimates the feasible networks resulting from time after time necessary optimizations.Taking into account the effect of sample randomness,It presents the design step s to acquire a realistic returned logistics network according to the proposed model.In addition,a useful example illustrates the model's validity,also verifies the fact that determinate model has no advantage to stochastic programming problem. Related Articles | Metrics

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On Response Method for Buyback Contract with Fuzzy Random Demand Updating ZHAO Zhi-gang, LI Xiang-yang, LIU Xiu-zhi 2007, 15 (3):  47-55.  Abstract ( 2469 )   PDF (809KB) ( 1148 )   Save To the situation that the demand information was updated to afuzzy random variable,profitability models of supply chain were constructed for different decision options.Pessimistic,optimistic and risk neutral decision criteria were proposed further,for the decision of supply chain.To the supply chain coordinating by buyback contract,formation method of feasible set for buyback contracts adjusted parameters was put forward,according to the analysis of profitability of the retailer with different choices.The research shows that,to coordinate the supply chain,buyback contract has to make real time response to information updating.With the adjusted parameters selected from the feasible set,the buyback contract could reasonably distribute the difference of system profit after demand information updating and before,which demonstrated the supply chain management idea of sharing gain and risk simultaneously.Simulated case study illustrates the responding steps in detail and shows the effectiveness of the response method. Related Articles | Metrics

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Coordination and Optimization for Returns Policy under Stochastic Demands LI Xin-jun, DA Qing-li 2007, 15 (3):  56-60.  Abstract ( 2121 )   PDF (766KB) ( 1072 )   Save Under stochastic market demands,returns policy is presented in single-perio d and o ne-product reverse supply chain.The optimization conditions and optimal ordering quantities are derived for profit maximization on the condition of centralized and decentralized decision making.The supply chain coordination and optimization are the focus of this paper and further the primary conditions and profit allocation mechanism are proposed.The profit allocation of the difference between the centralization and decentralization is accomplished by the price of wholesale and return. Related Articles | Metrics

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Optimal Design of the Multi-Echelon Reverse Logistics Network for Solid Wastes HE Bo, YANG Chao, ZHANG Hua 2007, 15 (3):  61-67.  Abstract ( 2381 )   PDF (1161KB) ( 1795 )   Save The design of reverse logistics network for solid waste is concerned with economy and society.This paper addresses the design of reverse logistics network for solid wastes that involves locating transfer facility and dispose facility,and determining the best strategy for allocating the wastes sources to transfer plants and transporting the wastes from transfer facilities to dispose facilities.The goal is to select the optimum numbers,locations and capacities of transfer facilities and dispose facilities to open so that all wastes sources are satisfied at minimum total costs of the reverse logistics network and at minimum disutility to people.We develop a multi-bjective integer programming model and provide an efficient heuristic solution procedure for the reverse logistics network design.Computational tests demonstrate the efficiency and feasibility of our heuristics. Related Articles | Metrics

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Supply Chain Coordination for Perishable Product with Variable Lead Time SONG Hua-ming 2007, 15 (3):  68-74.  Abstract ( 2414 )   PDF (720KB) ( 1266 )   Save Supply chain for perishable product,an important branch of supply chain,is receiving more increasing attention,it is a crucial component for modern business.In this paper,on assumption that lead time is linear with respect to forecasting error andpiecewise linear with respect to crashing cost,inventory model of supply chain for perishable product with variable lead time under decentralized decision-making mode and centralized decision-making mode is investigated,the optimization algorithm is developed and the profits transferring of supply chain and supply actors is compared under this two decision modes.Furthey,the feasibility and conditions that achieves channel coordination for variable lead time supply chain under cooperative decentralized decision-making mode are discussed,and numerical examples are presented to illustrate the results of the proposed models. Related Articles | Metrics

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A Genetic Algorithm Approach to Optimizing Supply Logistics Network with Batch Discount WANG Jian-hua, LI Nan, XU Bin 2007, 15 (3):  75-79.  Abstract ( 2563 )   PDF (646KB) ( 1427 )   Save according to the characteristics of optimizing the supply chains with batch discount and transportation,the paper expatiates the conception of supply logistic network(SLN)and the optimization parameters of SLN:nodes,roads and flow rates,then on the basis of minimizing the total supply cost which indudes order cost and logistics cost,builds a mathematical model of SLNs optimization problem and designs a genetic algorithm for this problem,by doing simulation experiments,testifies that genetic algorithm could dissolve SLNs optimation problems efficiently and practically. Related Articles | Metrics

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Optimal Order Policy under Price Increase and Finite Horizon ZHA Ying-chun, HUA Zhong-sheng 2007, 15 (3):  80-84.  Abstract ( 2473 )   PDF (418KB) ( 990 )   Save This paper analyzes the optimal replenishment policy,when a buyer faces imminent price increase under finite horizon.The paper proposes a new method to determine optimal temporary order quantity and analyzes the influences of variable prices on order behavior.Taking the total cost of basic EOQ model as the benchmark,the difference of cost savings between the proposed policy and the other policy in former literature is discussed.The calculation of total inventory cost is more accurate in the paper.The result shows order policy is determined by the increasing extent of price,on-hand inventory and the time horizon. Related Articles | Metrics

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Research on Risk Assessment of Corporate Credit Based on Supply Chain YU Rui-feng, REN Yan-min, WANG Yu, LIU Li-wen 2007, 15 (3):  85-92.  Abstract ( 2701 )   PDF (737KB) ( 1348 )   Save A new index system for evaluating the corporate credit risk is presented,which can comprehen sively evaluate t he corporate's ability of refunding bank's money.It gets rid of the shortcoming of only in sularly evaluating the specific corporate applying for the loan in the present research.Applying the method of BP Neural Net works,the new quantitative evaluation model on risk assessment o f corporate credit is de veloped.The results of examples show that the proposed model is feasible and accurate for dealing with the risk assessment of corporate credit. Related Articles | Metrics

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An EPQ Model for Deteriorating Items Taking Account of Raw Material Inventory Cost CHEN Hui, LUO Bing, YANG Xiu-tai 2007, 15 (3):  93-97.  Abstract ( 2378 )   PDF (324KB) ( 938 )   Save Separately minimizing either inventory cost of finished good or that of raw material can hardly make the manufacturer get optimal control strategy in the study of inventory management.This paper develops an integrated EPQ model jointly considering both inventory cost of finished good and that of raw material.The unique optimal solution is found as a set of parameters consisting of optimal order times of raw material,optimal production times in order interval of raw material and optimal service level by means of an it erat ive sear ch met ho d.T he main parameters are given a sensitivity analy sis.The evidence is provided for the inventory decision-making of those production enterprises. Related Articles | Metrics

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Stackelberg Game Models of Supply Chain Dual-Channel Coordination in E-Markets YAN Ni-na, HUANG Xiao-yuan, LIU Bing 2007, 15 (3):  98-102.  Abstract ( 2942 )   PDF (492KB) ( 1724 )   Save Under the service-price sensitive demand condition,the Stackelberg game models of supply chain dual-channel coordination in e-markets are established.The integrated decision and Stackelberg game for traditional channel and dual-channel are considered respectively.Two modes of supply chain coordination are studied,that is coordination between upriver and downriver companies and coordination between tradition channel and online direct channel.Finally,combining with the ecommerce practice of Shanghai Baosteel Yichang Co.,the simulating calculation and analysis for supply chain dual-channel are carried out. Related Articles | Metrics

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The Price Discount Contract Analysis of Three-Level Supply Chain Under Disruption HU Jin-song, WANG Hong 2007, 15 (3):  103-107.  Abstract ( 2094 )   PDF (195KB) ( 1291 )   Save This paper focuses on a three-level supply chain composed of a single supplier,a single manufacturer and a retailer who faces stochastic demand.It investigates the impact on three-level supply chain undey disruption,and then improves a price discount contract which has anti-disruption ability,and analyzes the distribution of profit among the entities.Finally,the paper gives an application by simulation. Related Articles | Metrics

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Research on the Risk Element Transmission Analytic Model of Construction Network Planning Project LI Cun-bin, WANG Ke-cheng 2007, 15 (3):  108-113.  Abstract ( 2246 )   PDF (290KB) ( 1192 )   Save The actual network planning project will be influenced by various risk elements.In order to reflect the actual situation,this paper raises the three-dimensional model of general project risk element transmission theory.We build the model by choosing the network planning as the application-dimension,the network form as the risk element transmission route,the analytical method as the risk element transmission method.To calculate the relationship of the nodes in random network,we use the Mason formulation and moment generating function to get the probability distribution characteristics and the risk degree of random network.On this basis,we raise network planning risk element transmission analytic model based on GERT network planning.Finally,we give a case study of the model. Related Articles | Metrics

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A Revenue Incentive Model of Project Duration Coordination between Project Corporation and Contractor CHEN Jian-hua, MA Shi-hua 2007, 15 (3):  114-122.  Abstract ( 2165 )   PDF (398KB) ( 1196 )   Save From perspective of project corporation and contractor in construction project,problem of project duration coordination decision-making between the project corporation and one contractor through explicit incentive contract was considered.Assumed that the decision-making process is a dynamic game under perfect information,a Stackelberg revenue incentive contract model with the project corporation as the leader and the contractor as the follower was constructed based on the game theory and method of bi-level programming Based on the backw ard induction,Lagrange function was applied to find the subgame perfect Nash equilibrium solution of the nonlinear programming model in different conditions,and corresponding genetic algorithm was designed Finally,a numerical study showed that revenue incentive mechanism can help to actualize optimization of project duration coordination and Pareto improvement of revenue for two parties in the contract on condition that the project corporation expects the contractor to actively compress project duration furthest by supporting revenue incentive measures instead of traditional direct in structions. Related Articles | Metrics

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Study on Customer Tagmeme Evaluating Based on Customer Value DAI Jun-liang, LIU Cheng-shui 2007, 15 (3):  123-129.  Abstract ( 2692 )   PDF (339KB) ( 1478 )   Save Customer Relationship Management(CRM) is a hot management researches topic at present.To measure the value of customer by enterprise is one of the basis researches of CRM,and its effect is the basis for implementing CRM.Customer tagmeme evaluting based on customer value is a method of customer segmentation through analyzing customer value.In this paper,we design a new index system for customer value evaluation combining the theory of customer lifetime cycle.This index system evaluates customer value from two ways: lifetime stage of customer and development potential of customer.Then we selectneural networks as evaluation method.At the end of this paper,we segment customer according to the evaluate result and analyze the marketing strategy of each customersort. Related Articles | Metrics

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Quality Valuation of Foreign Direct Investment XU Chun-qi, WANG Chun-fa 2007, 15 (3):  130-135.  Abstract ( 2274 )   PDF (269KB) ( 1241 )   Save Considering the CPI,exchange rate and depreciation,this article measures the cumulative quantity of total capital and foreign direct investment(FDI) in China.Under the precondition of the positive correlation among the technological output and technological level,FDI quality and the technology level of home country,we give measures of the output and impact of science and technology,which replace technology level of home country to valuate FDI quality,and this paper presents an order of FDI quality of the main sixteen regions.In addition,as to the issue of the strategy choice to absorb FDI in China,we advocate the standard that to absorb FDI should transfer the for eign technique into Chinese capitalenter prises in order to make up the technology gap of China. Related Articles | Metrics

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Study on Financing in Transforming Technology Achievements of High-Tech Firms and Institutional Investors under Asymmetric Information XIONG Bo, CHEN Liu 2007, 15 (3):  136-141.  Abstract ( 2162 )   PDF (350KB) ( 924 )   Save In the course of transforming technology achievements,there is asymmetric information between high-tech firms and investors.Asymmetric information can lead up to adverse selection and moral hazard.The adverse selection and moral hazard make high-tech firms be confronted with financial obstacle.The paper has studied how asymmetric information influenced financing of high-tech firms in the course of the transforming technology achievements,and proved that institutional investors in private equity market would overcome asymmetric information,meet fund requirement of high-tech firms. Related Articles | Metrics

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Investigating Cost Efficiency of China Port Public Companies Based on SUP-CCR-DEA KUANG Hai-bo 2007, 15 (3):  142-148.  Abstract ( 2583 )   PDF (1034KB) ( 1466 )   Save This article has selected scientific port public companies cost efficiency appraisal index system,in which net value of fixed assets,labor,stockholders' equity and principal business cost are the inputs and port company's net profit,the principal business return,equity per share are outputs.And the appraisal model of the port public companies cost efficiency based on super efficiency CCR-DEA(SUP-CCR-DEA) approach was set up.The characteristic of this paper is:Firstly,the port public companies cost efficiency appraisal index system was established,which included the net fixed asset input and return of stock output,etc.This solved the existing literatures lacking of the research about port public companies cost efficiency appraisal index.Secondly,the SUP-CCR-DEA was adopted to establish the port public companies cost efficiency appraisal model,this solved the problem that existing papers couldrit differentiate the ports since they had the cost efficiency 1.Simultaneously,using the historic data between 2004 and 2005 of 13 China port public companies,the cost efficiency in 2 years was computed successively by the appraisal mo del.The efficiency difference among China port public companies was outlined.The conclusions were arrived as follows:1) China port public companies cost efficiency between 2004 and 2005 was high,and took up 50% of the sample number,and the G Shang Gang port was listed the first.2) China port public companies cost efficiency between 2004 and 2005 was stable,but the G Yantian port improved suddenly and Beihai port and G Tianjin port lowered significantly. Related Articles | Metrics