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28 December 2002, Volume 10 Issue 6 Previous Issue    Next Issue

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Decision-making Model of Loan’s Portfolio Optimization Based on the Yield of VaR CHI Guo-tai, JIANG Da-zhi, XI Yang, LIN Jian-hua 2002, (6):  1-7.  Abstract ( 2074 )   PDF (2028KB) ( 1838 )   Save Taking the loan’s yields as the profit of financial asset,taking the volatility of loan’s yields as reflection of loan’s risk,under the constraint of Value at Risk(VaR),based on the solution of quadratic programming,a decision-making model of loan-risk portfolio optimization is set up with the minimum risk within the feasible range of definite portfolio yield.There are three characteristics of the model:Using yield rate of maximum loss but yield amount reflects VaR,so it becomes convenient to the decision analysis.Taking risk correlation into account,it controls risk limitation with the maximum loss on yield rate of VaR,so the ability for risk tolerance of commercial bank is reflected by loan’s distribution or allocation.If given the objective in the feasible range,and given the yield rate as decision-maker expected,the loan’s portfolio to the minimum risk always can be found.The efficient boundary which was given by this model provides a scientific method for the decision-making of the loan’s portfolio. References | Related Articles | Metrics

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An Empirical Research on the "Size Effect" for the List Companies in China CHEN Shou, CHEN Li-bo 2002, (6):  8-12.  Abstract ( 2148 )   PDF (1572KB) ( 2707 )   Save This paper reviews the development of "size effect"research,and analyzes this anormaly based on both of the outstanding capitalization and the total market capitalization on the different stock markets in China with empirical analysis,the research shows:①The choice of the different measuring standards of market capitalization has no essential influence on the sequent of different cap’s income-rate.②The"size effect"exists on Shenzhen stock market;but the middle-cap stocks on average outperform the other portfolios on Shanghai stock market.③No seasonal return patterns exist on the stock markets in China. References | Related Articles | Metrics

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An Empirical Comparison between Mean-variance Model and Minimax Model in Chinese Stock Market ZHU Feng-yun, QIU Wan-hua, LIU Shan-cun 2002, (6):  13-17.  Abstract ( 2345 )   PDF (1472KB) ( 4023 )   Save Two portfolio selection models,the traditional Markowitz Mean-variance model and Minimax model,proposed by Young in 1998,are studied and empirically compared in this paper.The true historical data of Chinese Shangzhen 30 Index is divided into two parts:one as sample data for portfolio optimization analysis,the other as out-of-sample data for testing.The results show that risk-return efficient frontiers have very similar shapes.But the performance of strategy based on Minimax model are better than that of MV model.The empirical results prove the theoretical conclusions of the paper and show that Minimax is very operational and practicable. References | Related Articles | Metrics

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The Discussion on Commercial Bank Interest Rate Risk Analysis Method Based on Capital Flow Network JI Lei, JI Jian-yue, WANG Yuan-yue 2002, (6):  18-22.  Abstract ( 2086 )   PDF (995KB) ( 1447 )   Save Different kinds and channels of capital resources and capital uses constitute a Capital Flow Network(CFN).Different capitals on CFN have different characters of quantity,interest rate and period,which can be used to analyze the interest rate risk of commercial bank.This paper makes some research on the application of CFN in the analysis of commercial bank interest rate risk. References | Related Articles | Metrics

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Stvdy on the Solutions of Up-Knock-out Option Pricing Model WU Yun, HE Jian-min 2002, (6):  23-26.  Abstract ( 2125 )   PDF (1454KB) ( 3688 )   Save In this paper,firstly,a kind of exotic options——Up Knock-out Option and its pricing model are dissertated;then,a new lattice approach to solve the model is put forward.In addition,the approach is extended to solve a double-barrier option pricing.At last,examples and empirical analysis which indicate the validity and fast convergence of the approach are provided. References | Related Articles | Metrics

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Research on the Persistence of Financial Volatility FAN Zhi, ZHANG Shi-ying 2002, (6):  27-30.  Abstract ( 2062 )   PDF (1698KB) ( 2043 )   Save The paper uses the fractal market theory to analyze the volatility of financial markets,and discusses the persistence and copersistence in variance.The paper also studies the volatility and persistence of VaR.In the end,the paper gives the modeling demonstrations of Chinese stock markets. References | Related Articles | Metrics

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The Pareto-efficiency of Price Limit in Stock Market SHEN Gen-xiang 2002, (6):  31-35.  Abstract ( 1914 )   PDF (1157KB) ( 1530 )   Save Based on the rational expectation framework and from the perspective of market microstructure,the paper analyzes the effect of price limit on trading mechanism of stock market.The paper puts the tempestuous increasing and decreasing of stock price down to the shock induced by information and trading volume and believes that price limit has effect on the equivalent value of investor and results in transfer of endowments of investor when price is high or low.The paper presents the condition under which price limit is Pareto efficient. References | Related Articles | Metrics

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Firm Size and Trading Volume around Annual Financial Report CHEN Xiao, CHEN Shu-yan 2002, (6):  36-39.  Abstract ( 1966 )   PDF (1038KB) ( 1675 )   Save In this study,we investigate the firm size effect of trading volume reaction to the disclosure of annual financial reports.Our empirical results show that,in line with research findings on developed markets,not only is trading volume negatively associated with firm size in China’s stock market,but also is the duration of the trading volume reaction.This implies that trading volume reaction to information disclosure varies with firm size,or more specifically,small firm’s annual reports are more informative than large firms’. References | Related Articles | Metrics

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Production Planning Models of Two-echelon Distribution Network in Supply Chain Based on Distributed Plants SUN Hui-jun, GAO Zi-you 2002, (6):  40-43.  Abstract ( 2051 )   PDF (528KB) ( 2320 )   Save This paper,based on the coordination and integration of the supply chain,proposes the bi-level programming model for the production planning of the two-echelon distribution network with the multi-plants and multi-distributors.It considers the information sharing between manufacturers and distributors to make the cost of the whole supply chain minimum,and at the same time a heuristics algorithm is given.At last,the application of the model and its algorithm are illustrated with a practical example. References | Related Articles | Metrics

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The Study of the Distribution of Inventory Cost Saving in Supply Chain Based on N-Person Cooperation Theory WU Yu-hua, ZHAO Qiang, WANG Chu 2002, (6):  44-47.  Abstract ( 2050 )   PDF (813KB) ( 1951 )   Save Supply chain is capable of considerably reducing inventory amount and cost of its enterprises.And it enables its enterprises to get a cutting edge in competition with faster speed and better quality.Supply chain benefits not only a single enterprise but a group of enterprises.The foundation of the sustainable development of supply chain system and its enterprises is a rational benefit distribution mechanism.In this paper,a quantified study on inventory cost saving in supply chain is proposed.Based on it,n-person cooperation theory is applied to formulate a model on the distribution of inventory cost saving in supply chain with the τ method. References | Related Articles | Metrics

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The Study on Supply Chain Stackelberg Game Problem CHANG Liang-feng, HUANG Xiao-yuan, LU Zhen 2002, (6):  48-52.  Abstract ( 2262 )   PDF (569KB) ( 1829 )   Save In this paper,the common order mode and coordination mode in supply chain are studied,providing a kind of Stackelberg Game in supply chain,in which the seller is the leader initializing the minimum replenishment periods policy,while the buyers are the follower responding with the optimal stock policy.Considering the identical price discount to offset the stock cost increase of the buyer,and the stock cost rationalization of buyer,the cost optimization model of the seller is established under deterministic demand of buyers.Then applying genetic algorithm,simulation works are carried out to off-line computing the Stackelberg equilibrium solution of this problem in Liaoyang Petroleum Company. References | Related Articles | Metrics

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A Process Knowledge Acquiring Method Based on Business Process in Corporation GUO Wei-sen, DANG Yan-zhong 2002, (6):  53-58.  Abstract ( 2144 )   PDF (550KB) ( 1620 )   Save Knowledge management is becoming the focus in corporation.The paper has researched how to acquire the process knowledge.After talking about knowledge classification,knowledge management and business process,the paper gives a method based on business process to acquire knowledge.Then the process of this method is given. References | Related Articles | Metrics

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The Optimization of Customized Level Based on Mass Customization LIANG Liang, ZHOU Jun 2002, (6):  59-65.  Abstract ( 1889 )   PDF (1999KB) ( 1418 )   Save The paper states how to determine customization level after carrying out the MC strategy and possessing a definite MC ability.Firstly,it analyzes the customized demand,stndies the relationship between the enterprise income and customized level and establishs a model and an algorithm of product and arrangement;Secondly,it discusses relationship of customization cost and customization level,the paper suggests a common way to determine a best customization level;At last,it sets an example to explain and analyze some mode and method related to the context. References | Related Articles | Metrics

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An EOQ Model Taking Account of the Linear Time-Varying Increasing Demand under Stock Dependent Selling Rate LUO Bing, XIONG Zhong-kai, YANG Xiu-tai 2002, (6):  66-71.  Abstract ( 2117 )   PDF (2238KB) ( 1991 )   Save In 1995,Padmanabhan and Vrat presented inventory models for deteriorating items with a constant theoretical demand rate and stock dependent selling rate.Based on this result,in 2000,Kun-Jen Chung,Peter Chu and Shaw-Ping Lan devoloped the necessary and sufficient conditions of the existence and uniqueness of the optimal solutions of the profit per unit time functions without backlogging and with complete backlogging.Actually,the theoretical demand rate must not be constant,it may be linear function or exponential function of other more complex functions of time.This paper puts forward an EOQ model when theoretical demand rate is a linear time-varying increasing function without backlogging and with complete backlogging,discusses the existence and uniqueness of optimum solution without backlogging.The theoretical evidence is provided for the inventory system to make management decision. References | Related Articles | Metrics

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A New Method to Arrange By-product in Input-output Table ZHANG Hong-xia 2002, (6):  72-75.  Abstract ( 2179 )   PDF (725KB) ( 1757 )   Save In some input-output tables,such as input-output table for enterprise,material input-output table,or value input-output table in detailed sectors,how to arrange by-product is a difficulty that must be solved.On the study of the existing methods,a new one called add line and row to arrange by-product is given in this paper.Its advantages are discussed. References | Related Articles | Metrics

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A Framework for Enterprise Intelligent Decision Support Systems Based on Internet YANG Shan-lin, ZHU Wei-dong, LIU Ye-zheng 2002, (6):  76-80.  Abstract ( 2097 )   PDF (508KB) ( 2451 )   Save The paper first discusses the new development of enterprise intelligent decision support systems,which is brough forth by the Internet environment,and presents the architecture of enterprise intelligent decision support systems based on Internet.Then this paper in detail analyses the integration and function of the subsystems such as the problem processing system,the Internet information extraction and memory system,the data base and data warehouse system,and the qualitative & quantitative analyzing system.The usage of the data mining and OLAP in the system is also discussed.The paper provides a decision support process for the system.Essential problems in the organization and design process of this system are discussed at the last. References | Related Articles | Metrics

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A New Scheme for Computing the Contrary Problem of Fuzzy Comprehensive Evaluation JIN Ju-liang, WEI Yi-ming, FU Qiang, DING Jing 2002, (6):  81-83.  Abstract ( 2099 )   PDF (780KB) ( 1867 )   Save It helps to summarize evaluation experiences to compute the contrary problem of fuzzy comprehensive evaluation,which possesses wide practical value.At present,the common method for solving the problem is an experiential enumerating optimization method,whose results relate to personal experience and enumerating number.Therefore,in this paper,the contrary problem is equivalent to a nonlinear optimization problem which includes maximum and minimum operation,whose objective function is the close degree function between two fuzzy sets and optimized variables are weight fuzzy set.The optimization problem can be resolved by using a scheme based on accelerating genetic algorithm developed by the authors.The result of the example analysis shows that the scheme is simple,effective and universal,and that the computation precision of the scheme is higher than one of the enumerating optimization method.The scheme takes on important value in both theory and practice of fuzzy comprehensive evaluation. References | Related Articles | Metrics

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A TOPSIS Method with Linguistic Information for Group Decision Making WANG Xin-rong, FAN Zhi-ping 2002, (6):  84-87.  Abstract ( 2170 )   PDF (1211KB) ( 1888 )   Save With regard to multiple attribute group decision making problems with linguistic assessment information,a new TOPSIS method is proposed.In the method,LWD operator and LOWA operator are used to aggregate the linguistic information.The optimization alternative(s)is determined by calculating the distance of every alternative and positive ideal solution and negative ideal solution.It is most similar to positive ideal solution and far away fvom negative ideal solution.Finally,a numerical example is used to illustrate the use of the proposed method. References | Related Articles | Metrics

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A Study on the Consumer Behavior in Electronic Commerce LI Zhi-cheng, LIU Mei-lian 2002, (6):  88-91.  Abstract ( 7588 )   PDF (806KB) ( 20798 )   Save In this paper,it has been first described about the characteristics of the consumer behavior based on electronic commerce which are more segmented consumer market,strengthened service demand,expanded selection zone and perceptual consumer behavior and consumer joining in the direct cycle of the production and consumption;then the micro and macro factors that have effect on the consumer behavior have been analyzed;finally,a model based on TPB to measure consumer behavior has been established. References | Related Articles | Metrics

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Optimal Spillovers for Cooperative and Noncooperative R&D in Duopoly HUO Pei-jun, CHEN Jian, CHEN Ji-xiang 2002, (6):  92-96.  Abstract ( 2281 )   PDF (2199KB) ( 2008 )   Save This paper considers a duopolistic model where the two firms both conduct R&D activities with spillovers.Each firm decides its R&D investment before they compete in the product market.According to whether cooperation exists in R&D stage and output stage,the paper studies the spillover levels that maximize the profits of the firms under three cases.The effects of change of spillovers on R&D expenditures,outputs,profits,consumer surplus and social welfare are analyzed under every case. References | Related Articles | Metrics

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The Study of Organizational Commitment with Scenario-Simulated Method LIU Xiao-ping, WANG Zhong-ming, Brigitte Charle-Pauvers 2002, (6):  97-100.  Abstract ( 2238 )   PDF (1631KB) ( 3352 )   Save In this study the antecedents and outcomes of organizational commitment were examined with the scenario-simulated method,which differentiated from traditional survey research method.The results of this study attributed not only to our understanding of organizational commitment,but also to the scenario-simulated method. References | Related Articles | Metrics