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30 December 2010, Volume 18 Issue 6 Previous Issue    Next Issue

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On the Robust Portfolio Frontier and CAPM under Model Uncertainty GAO Jin-yao, LI Zhong-fei 2010, 18 (6):  1-8.  Abstract ( 2632 )   PDF (452KB) ( 2329 )   Save The paper takes model uncertainty into account in studying portfolio selection problems,and proposes a definition of robust portfolio frontier along the line of mean variance analysis We find that model uncertainty has unequal effects on portfolio weights of risky assets when risk-free asset is inaccessible,which leads to under diver-sified portfolios We also find that the two fund separation theorem no longer stands under robust portfolio frontier and the same is true for the zero-beta CAPM model However,when there is a risk-free asset in the economy,we find that model uncertainty has equal effects on portfolio weights of risky assets,and that the two fund separation theorem still holds,as all robust frontier portfolios can be generated by the risk-free asset and the market portfolio.The CAPM model also can hold under equilibrium except for a change that there is an additional factor representing loading of model uncertainty,and the excess rate of return of any portfolio can be divided into riskpremium and uncertainty premium. Related Articles | Metrics

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Model for Price Limits Range in Futures Market XUE Yong, GUO Ju-e, XUE Dong 2010, 18 (6):  9-16.  Abstract ( 2347 )   PDF (800KB) ( 1140 )   Save The price limits system is one of the key mechanism in futures market.A high level of price limits is not conductive to inhibit sharp pricefluctuation,while a low one may hinder the price discovery Although the daily price limits system has been widely used in futures exchange,previous studies about how to set up a daily limit range are not enough to be practical.This paper establishes a model for setting reasonable price limits range on the basis of Self-enforcing Contract Theory and Extreme Value Theory.The model obtains a reasonable limits range from the relationship between limits range and the level of margins.It also modifies the normal distribution assumption of futures returns in previous models through Extreme Value Theory.At last,this model is applied to estimate the price limits range of China's copper and rubber futures. Related Articles | Metrics

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Bayesian Analysis of Heavy-tailed Financial Stochastic Volatility Models with Jumps Based on its State Space ZHU Hui-ming, HUANG Chao, HAO Li-ya, YU Ke-ming, LI Su-fang 2010, 18 (6):  17-25.  Abstract ( 2565 )   PDF (1137KB) ( 1799 )   Save This paper proposes the Bayesian heavy tailed stochastic volatility models with jumps to describe the jumps characteristics in financial market In terms of the volatility models' structure and their state space transition,we construct a Markov Chain Monte Carlo algo rithm to estimate parameters,utilize Kalman filters and Gaussian simulation smoother to analyze the latent volatility implied in models,and compare volatility models through Bayesian factors.Then the suggested approach is applied to analyze the volatility character of the stock market in China and America.The results show that the jump character is significant both in China and America stock market,and the heavy-tailed stochastic volatility model with jumps is superior to the standard volatility model in depicting volatility character. Related Articles | Metrics

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Research of Optimal Lower Partial Moment to Measure the Efficiency of Hedging Based on Copula Function DAI Xiao-feng, LIANG Ju-fang 2010, 18 (6):  26-32.  Abstract ( 2533 )   PDF (403KB) ( 1589 )   Save The lower partial moment (LPM) is a more reasonable criteria to measure hedge effectiveness than the variance method,because of its better features to estimate the risk exposure of hedging portfolio.However,there are many limitations in their parametric and non-parametric methods,which are used to estimate the optimal hedging ratio in the framework of LPM.This paper uses time-varying Copula function to introduce the joint density function of return ratios between spot and futures,and then estimates the minimum lower partial moment of the hedge ratios by using the numerical method Empirical comparing the method of copula and the non-parametric methods by using the data of copper futures contract price traded in Shanghai Futures Exchange and copper spot price in the Net of Shanghai Metal,we find that the time-varying correlation coefficient Copula function can get much smaller hedging ratio than the non-para metric method. Related Articles | Metrics

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An Extended Generalized Orthogonal GARCH Models for Multivariate Volatility in High Dimensional System of Finance Market and Its Parameter Estimation LIU Zhi-dong, XUE Li 2010, 18 (6):  33-41.  Abstract ( 2430 )   PDF (410KB) ( 2595 )   Save In this paper,an extended generalized orthogonal GARCH Model,which can reflect the asymmetry and leverage of volatility,is proposed based on that of Vander Weide (2002) Then,a new estimation method for the multivariate GARCH models from the mutual information theoretic view point is considered.The relationship between the statistical dependence in standardized residuals and the maximum likelihood,when estimating multivariate GARCH models,is revealed Based on that,the different statistic ways are proposed in the framework of the extended generalized orthogonal GARCH models,for purpose of implementing the models based on the estimation of mutual information minimization.These metho dologies can therefore be easily applied to high dimensional systems,where likelihood based estimation will run into computational problems.According to 15 global stock returns indexes,empirical research is included to illust rate the model and the estimation method. Related Articles | Metrics

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Analysis of the Comovement Between International Crude Oil Market and China and U.S.Stock Market Before and After the U.S. Sub-prime Crisis JI Qiang, FAN Ying 2010, 18 (6):  42-50.  Abstract ( 2396 )   PDF (540KB) ( 1821 )   Save The paper studies the changes of comovement between international crude oil market and China and U.S.stock market before and after the U.S.sub-prime crisis based on dynamic conditional correlation multivariate GARCH model (DCC-MVGARCH).The empirical results demonstrate that the comovement increases after the sub-prime crisis while volatility between different markets has significant conduction.The comovement volatility between international oil market and U.S.stock market is stronger than China stock market,indicating the shock has more violent impact on international oil market and U.S.stock market and their response is more sensitive.In addition,we select some factors affecting international oil market and China and U.S.stock market to make further explanations on comovement and employ partial least squares (PLS) method to analyze the explanation power changes before and after U.S.sub-prime crisis.Results show that the sub-prime crisis significantly affected the explanations power of those factors. Related Articles | Metrics

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Optimization Model for Line Planning in Rail Passenger Transport Network LAN Bo-xiong, WU Li-zhi 2010, 18 (6):  51-58.  Abstract ( 2345 )   PDF (377KB) ( 2065 )   Save The line planning problem is one of the fundamental elements in strategic planning of public rail transport.It consists in finding lines and corresponding frequencies in transport network such that a given travel demand can be satisfied.So far,most of the models in the literature aim tominimize the costs or to maximize the number of direct travelers.In this paper we present a new approach maximizing the operator's profit,while ensuring the nature of its public services.This new MIP (mixed integer problem) model takes into account of the operating cost,the number of direct travelers,and the total number of transported travelers.Numerical results of randomly generated data are presented. Related Articles | Metrics

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Study on Dual-channel Supply Chain Coordination with New Revenue-sharing Contract XU Guang-ye, DAN Bin, XIAO Jian 2010, 18 (6):  59-64.  Abstract ( 2844 )   PDF (309KB) ( 3098 )   Save This paper investigates the issue of dual-channel supply chain coordination,between tradition channel and electronic direct channel and between upriver and downriver companies,under the price-sensitive demand condition.By the analysis of the characteristic of dual-channel supply chain,firstly,the manufacturer gives the retailer a fraction of the revenue generated by the electronic direct channel Secondly,the retailer pays a wholesale price to the manufacturer per unit,and the manufacturer gets a fraction of the revenue generated by the retailer channel.Thus,a new revenue-sharing contract model can achieve dualchannel supply chain coordination,and the calculation formula of the range of contract parameters are given.Furthermore,this paper discusses the condition of perfect and win-win coordination in dual-channel supply chain Finally,a numerical example is used to verify the results and effectiveness of dual-channel coordination which is designed by revenue-sharing contract. Related Articles | Metrics

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Research on Pricing and Performance of Cross-Shareholdings in the Supply Chain of Linear Demand ZHANG Han-jiang, GONG Xu, LIAO Jia-xu 2010, 18 (6):  65-70.  Abstract ( 2469 )   PDF (306KB) ( 1329 )   Save Pricing and perform ance of cross-shareholdings in the supply chain of linear demand impact on co-operations in the supply chain as well as the competitive play.Firstly,by Stackelberg game model,corporate-cross shareholdings in the supply chain is discussed,as an at tempt to quantificationally deduce the differences of pricing and profit respectively among non cross-shareholdings,cross-sharehol dings and vertical integration.Besides,with deducing the model,it is concluded that cross shareholdings makes the market price fall while increasing the total revenue of corporations in the supply chain.Finally,by comparing the external effects,corporate strategy recommendations of supporting cross shareholdings and limiting excessive vertical integration are put forward. Related Articles | Metrics

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Transportation and Inventory Outsourcing Decision-makings of Fourth Party Logistics Based on Third Party Logistics Competition LI Fu-chang, WANG Yong, ZHANG Zhan-feng 2010, 18 (6):  71-81.  Abstract ( 2686 )   PDF (659KB) ( 1427 )   Save The leading position of fourth party logistics (4PL) in logistics outsourcing and the time based competition of third party logistics(3PL) have important impact on logistics out sourcing3.To solve this problem,we develop three stage noncooperative decision making model and inventory transportation integrated optimization(ITIO) model about the price,delivery frequency and task allocation,to analyze the leading position of 4PL and the competition of 3PL.By comparing the two decision making models,we study the impact of decision-making power on individual and system performance,and use numerical analysis to verify the conclusions Studies show that: when 3PLs are homogenous and the ratio of 3PL's task allocation is 0.5,delivery frequency of three stage decision making model is 29% lower than the optimal value of IT IO,invent ory holding cost is 41% higher,logistics cost is 21% lower,and total cost is 9% higher.Although ITIO model has certain cost advantages,putting too much emphasis on coordination is not conducive to the competition and improvement of 3PL. Related Articles | Metrics

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Study on Disruption Management for Vehicle Routing Problem with Break-down Vehicle WANG Xu-ping, WU Xu, MA Chao, YANG De-li 2010, 18 (6):  82-88.  Abstract ( 2493 )   PDF (382KB) ( 1199 )   Save For solving the vehicle routing problem with disruption that may be vehicle breakdowns or traffic accidents in the logistics distribution system,the disruption recovery strategies and solution are given based on the theory of disruption management.Through disruption identification and measurement,the multiple-depot disruption recovery strategies are given and the disruption management model is built.For the attributes of the multiple-depot vehicle routing problem with disruption,a series of solving-simplify strategies are given to simplify the solution space.On the basis of the characteristic of the model,the improved genetic algorithm is designed to solve the problem.The representative result and analysis are given to prove the efficiency of the disruption management model and algorithm. Related Articles | Metrics

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A Model for Predicting Software Defect Based on Distrustable Factor ZHAN Ji-zhou, ZHOU Xian-zhong, ZHAO Jia-bao, WANG Jian-feng 2010, 18 (6):  89-96.  Abstract ( 2347 )   PDF (566KB) ( 1184 )   Save Software defect is the key measure of software reliability,and predicting defect is also one of the core topics of software quality evaluation.Based on analysis of mechanism of software defect growth,the states of defect are divided into hidden,be detected and repaired.Considering the combined effect of distrustable factors and constrained factors,the differential equation model for defect states transferring is proposed in this paper.The stability of equilibrium point and boundary condition of distrustable factors are also analyzed.Meanwhile,a real project of NASA is analyzed,the hidden defects are estimated by the record of detected and repaired defect,and the results are exemplified the rationality of the model. Related Articles | Metrics

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Research on Dynamic Buffer Monitoring in Critical Chain Project Management BIE Li, CUI Nan-fang 2010, 18 (6):  97-103.  Abstract ( 2400 )   PDF (752KB) ( 2178 )   Save Buffer management is an important content in theory of constraint.A dynamic buffer monitoring method is proposed to deal with how to implement buffer management in critical chain project management.This method dynamically calculates the buffer size and the time instant for monitoring,and adjusts the place of the two control trigger points to control the project,so that the project manager can timely take co rrectaction to meet project deadline.Finally,a computational experiment is carried out to demonstrate the application of the proposed method.Comparison of the proposed method with the absolute buffer monitoring and relative buffer monitoring in critical chain project management,are performed to validate the effectiveness and pyacticability of the proposed method. Related Articles | Metrics

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Loan-to-Value Ratios Model of Pledge by Warehouse Receipts for Small and Medium Enterprises YU Hui, ZHEN Xue-ping 2010, 18 (6):  104-112.  Abstract ( 2596 )   PDF (561KB) ( 1774 )   Save Pledge by warehouse receipts for small and medium enterprises stimulates inventory circulation,efficiently releases fund pressure,and has been widely used in the industry.This paper studies the core indicator of risk controls in that business,i.e.loan-to-value ratios.Considering the endogenous default for the retailer in supply chain and uncertain demand,by establishing a single-cycle new sboy model,reordering decisions made by retailers are explored.On that basis,dynamic game theory and VaR method are used to investigate decisions of loan to value ratios in two cases: only seeking maximum profit and weig hing risk and profit.Finally,optimal decisions for seeking different goals are got by model analysis and numerical simulation,which highlights the important role loan-to-value ratios play in the risk management of pledge by warehouse receipts. Related Articles | Metrics

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A Study on Earned-value Based Multi-index Incentive Contracts of Project Management DAI Chun-ai, ZHONG Lin, TANG Xiao-wo, YANG Hua-gang 2010, 18 (6):  113-121.  Abstract ( 2443 )   PDF (551KB) ( 1454 )   Save Using two basic performance measures (i.e.schedule variance and cost variance) in the EVM system,this paper builds a multi-task principal-agent model for project management,and provides an approach to calculate the contract parameters.Further,it gives the relationship between the incentive intensities for different kinds of efforts: when the agent's efforts are substitutes (complements),the corresponding relationship between incentive intensities is substituting (complementary).Finally,it analyzes the impacts of exogenous parameters on the degree of substitution (complementarity).The result shows that the degree of substitution (complementarity) increases as the degrees of the agent's substitution (complementarity) between two kinds of efforts,the magnitude of his/her risk aversion,and the marginal relative risk of his/ her efforts to reduce the actual costs of the project increase,but decreases as the marginal relative risk of his/ her efforts to raise the earned value of the project increases. Related Articles | Metrics

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Multi-attribute Trade Matching with Quantity Discount in Electronic Brokerage JIANG Zhong-zhong, YUAN Yuan, FAN Zhi-ping 2010, 18 (6):  122-130.  Abstract ( 2529 )   PDF (622KB) ( 1246 )   Save With respect to the seller's quantity discount for multiple units of commodity,the purpose of this paper is to study the multi-attribute trade matching problem with buyers and sellers in electronic brokerage environment.Firstly,based on the curve of quantity discount of commodities from sellers,the new definitions and calculational methods of trade matching degree from both buyers' and sellers' points of view are given Secondly,a mathematic model is built to maximize matching degree with its weight.Then,according to the non-continual and nonlinear characteristics of the model,a predatory search algo rithm with chaos is proposed to solve it.Finally,computation on simulation examples and comparison with genetic algorithm shows the model and algorithm are feasible and effective. Related Articles | Metrics

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The Minimal Risk Strategy of the Online Newsboy Problem Based on Probabilistic Forecast ZHANG Gui-qing, XU Yin-feng 2010, 18 (6):  131-136.  Abstract ( 2403 )   PDF (354KB) ( 1382 )   Save The newsboy problem has always been an important issue in inventory management.The exiting newsboy models describe and measure risk using Mean-Variance methodology and expected utility objective.These methods assume full knowledge of the demand probability distribution,however,in reality,it is often difficult to completely characterize the demand.This paper selects probability forecast to describe limited demand distribution,and constructs an online risk-reward model for the newsboy problem under probabilistic forecasts.Comparing with the existing studies,this model can help the new sboy choosing the minimal risk strategy with great flexibility,according to his own restrained reward and probabilistic forecast. Related Articles | Metrics

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Ownership Structure,Corporate Governance,Social Security and SOE’s Reform——A Systematic Analysis Based on Cournot Competition MENG Qing-chun, ZHANG Jiang-hua, ZHAO Bing-xin 2010, 18 (6):  138-139.  Abstract ( 2337 )   PDF (398KB) ( 1250 )   Save The SOEs reformis the core link of economic system reform in China,and has earned massive atten ion in academic community.However,the current researches just focus on its certain specific aspect,ignoring the systematic characteristic which is the basic characteristic of SOEs reform.Considering the characteristics of China's economic transformation period and using the Cournot model,this article builds up the systematic framework to analyze the SOEs reform,some important effective factors such as ownership structure,corporate governance and social security covered in this framework.The relations between the ownership forms and the corresponding corporate governance superiority level,the social security level and the output,revenue and profit of the SOE and the social welfare are discussed.Based on these analyses,this article reaches some positive conclusions Finally,this article compares the conclusions with those of the former researches to emphasize the advantages in this kind of systematic research. Related Articles | Metrics

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Cash Flow Rights,Control Rights and the Capital Allocation Strategy of Listed Companies LIU Xing, LIU Li, DOU Zhong-qiang 2010, 18 (6):  147-154.  Abstract ( 2454 )   PDF (511KB) ( 1351 )   Save Based on the theory of capital allocation and assignment in companies,from the perspective of risky assets and safe assets,this paper incorporates the factor of large shareholders into real option model to analyze the effect of cash-flow rights of the large shareholders and the separation of cash-flow rights from control on the capital allo cation and firm valuations.The conclusions show that,capital allocation efficiency is positive correlative with the cash-flow rights of the large shareholders,but negative correlative with the separation of cash-flow rights from control; the corporate value is positive correlative with the cash-flow rights of the large shareholders,and also negative correlative with the separation of cash-flow rights from control.Otherwise,we find the large shareholder's expropriation leads to listed companies inefficiently decrease risky asset investment.Moreover,it is also one of the most important reasons leading to distortion and inef ficiency of capital allocation. Related Articles | Metrics

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Evolutionary Game Analysis of Cooperation Mechanism for Collaborative Product Development in Supply Chain HUANG Min-mei 2010, 18 (6):  155-162.  Abstract ( 3020 )   PDF (523KB) ( 2725 )   Save For a two-tier supply chain system consists of manufacturer and suppliers,cooperation mecha-nism between bounded rational manufacturer and suppliers through long-term collaborative product developmentis studied on the basis of evolutionary game theory.Firstly,cost and income allocation mechanisms are analyzed; then,supervision and punishment mechanism is explored.Through the analysis of equilibriumresults and data simulation,result shows,the probability of cooperation of both sides has a positive correlation with excess income of cooperation and independent product development,and a negative correlation with total cost of development and betrayal income; there is an optimal proportion of excess income allocation that maximizes the probability of cooperation; cost shared by both sides is positively related to the excess income they obtaine; under the condition of supervision,reasonable punishment will effectively reduce betrayal. Related Articles | Metrics

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An Analysis of Evolutionary Game Model on Cooperative Innovation between Asymmetric Corporations ZHANG Hong-chao, HE Ren 2010, 18 (6):  163-170.  Abstract ( 2584 )   PDF (693KB) ( 2028 )   Save During the period of enhanced transition,there have been an increasing number of cooperative innovations between asymmetric corporations which are in different industries or have different scales and strength.However,many cases have shown that it is difficult to maintain a longterm and steady relationship of cooperative innovation between asymmetric corporation participants.The relationship of cooperative innovation often collapses along with one participant breaking the contact unilaterally.To solve this practical problem,we propose an evolutionary game model in which the participants are assumed to have bounded rationality.The proposed model has advant ages over traditional game theory's assumption of full rationality by taking the following four factors into account: excess returns of cooperative innovation,additional revenue of breaking the contact,coefficient of excess return's distribution,and cost of breaking the contact By const ructing game model of two asy mmet ric corporations which are in different indust ries or have different scales and strength,this paper analizes the strategies of cooperative innovation under the evolutionary game theory,the evolutionary stability of strategies and the asymmetric corporations' decision strategies.It is shown that,if the corporation's additional revenue of breaking the contact is greater than t he excess ret urns of cont inuous co operat ive inno vation,t he st rategy choice of cor porat ion will depend on the probability of the other corporation' strategy,but cooperative innovation will eventually terminate because of one corporation' breaking down the contract.On the contrary,cooperative innovation will be maintained because of two corporations' complying with the contract.The corporation's decision making is affected by the revenue of its strategy before cooperative innovation and by the probability of the other corporation's strategy in the process of cooperative innovation. Related Articles | Metrics

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Study on Transformation of R&D Under Reform and Openness and Self-innovation In Tianjin Binhai New Area： the View Point of Development of Embedded Character of RJVs ZHANG Qiu-ying 2010, 18 (6):  171-176.  Abstract ( 2444 )   PDF (285KB) ( 1127 )   Save In this article,it discusss,first of all,Tianjin Binhai New Area is an important theatrical topic and system design for China transitional economy,which embraced significance of catching up with and surpassing of the third pole of world economy.And then,through the study of development of Embedded Character of IJVs and RJVs,it describs the process of effect of reform and openness and self-innovation influenced by system design of Tianjin Binhai New Area,and makes a game theory model of three stages in assistance of relevant hypothesis of D'A spremont (1988) and A tallah (2002),which reveals that development of Embedded Character plays an important role in the transformation of R& Dunder reform and openness and selfinnovation in Tianjin Binhai New Area.At last,it suggests some countermeasures and advices to promote the transformation of R& Dunder reform and openness and self-innovation in Tianjin Binhai New Area. Related Articles | Metrics

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Government Supervision, Eel Effect and Intellectual Property Rights Management:Enterprises’ Innovation Performance Promotion YANG Zhen-ning, LI Dong-hong 2010, 18 (6):  177-184.  Abstract ( 2555 )   PDF (386KB) ( 1825 )   Save The theory research and the empirical study,cannot support that to enhance property rights protection is certainly to be able to promote the technological innovation.Therefore,it is necessary to research on how to streng then property rights protection to improve technological innovation activities,to adjust the techno logypolicy in China.This research based on "the supervision,and the competitive system of government",is to exament "erprises' intellectual property rights management practice to take the ad justment factor pattern of enterprises" innovation performance.We use Chinese Manufacturing industry Enterprises' cross section data to study the hypothesis and the model.The results indicate that: the national important economic policy and technology policy promote enterprises' innovation performance.At the same time,we need to see that the enterprises using property rights protection strategy is an adjustment factor of the policy environment,and the enterprises' behavior accuracy and validity,also will bring the influence to intellectual property rights' protection.Moreover,strategic practices of intellectual prop erty rights will also affect the intellectual property protection and the enterprises' innovation ability promotion.Based on this basic analysis,this article also puts forward solye policy proposals. Related Articles | Metrics

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The Society Evaluation Model Based on Grey Clustering and Its Empirical Study of Cities under Province CHI Guo-tai, CHENG Yan-qiu, WANG Li-jun 2010, 18 (6):  185-192.  Abstract ( 2373 )   PDF (712KB) ( 1397 )   Save The paper is intended to build a society evaluation index system in line with the essence of the Scientific Outlook on Development,which is human-orientation,comprehensive,coordinated and sustainable development.Based on the theory of triangle written function and grey clustering,it sets up the comprehensive evaluation model of Chinese society development,and uses this model to analyze the devel opment of 14 regions in Liaoning province.The contribution characteristics lie in four aspects.Firstly,by taking Gross National Happiness into evaluation system,it changes the existing research that didn't con sider the harmonious relationship between society development and people's happiness Secondly,it counts Gini index with indirect correlation index,which solves the problem that Liaoning's society evaluation does not reflect the scientific concept of development issues due to lacking of Gini index data.Thirdly,it appliesent ropy to weight for each indicator,which could make results objective and sole.Fourthly,using grey clustering model to evaluate the development of Liaoning province can effectively show the unbal ancedness of the society development in Liaoning Province. Related Articles | Metrics