Table of Content

    28 June 2005, Volume 13 Issue 3 Previous Issue    Next Issue
    Risk Budgeting and Investment Structure Optimizing Models
    DU Ben-feng
    2005, (3):  1-5. 
    Abstract ( 1960 )   PDF (678KB) ( 1555 )   Save
    Large investors, including plan sponsors,foundations,etc., face several difficulties in managing their assets.Some of the most perplexing relate to manager structure.Even though and asset allocation study directs investors to the most appropriate asset class structure,most investors have little to guide them in determining the manager structure that will put their money to work in the most effective way.We draw on the literature of active management related to building portfolios of securities,and adapt it to the problem of building portfolios of managers.
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    Moving Adjust Model of Margins in Futures Trade Based on GARCH-EWMA Model
    LIU Yi-fang, CHI Guo-tai, YU Fang-ping
    2005, (3):  6-14. 
    Abstract ( 2208 )   PDF (2279KB) ( 1644 )   Save
    In this paper,based on the idea of EWMA model and GARCH model,combined the idea of SPAN system,using the important functions of the margin in the future markets as the consideration factors which remedy the largest loss in tomorrow and guarantee the trade running normally,making use of venture administering methods of symbolic statistics and VaR,we establish the moving adjust model of margin.Consequently,under the precondition of determined venture coefficient, decrease the rate of margin to the best of our abilities and offer new computing method for the determination of the future markets.The characteristics of this model are as follows:Firstly,we make use of the GARCH model of VaR method to determine the key parameter and attenuation factor of EWMA model, this will solve the problem to assign the decay factors by person causing the model with strong factors man-made. Secondly, introduce the fluctuation functions into the model, use them to confirm the fluctuation coefficient following the time "t", and adopt a lot of data of soybeans and soy meals contracts to fit the fluctuation functions,thus get the continuous function between the fluctuation functions and the time"t".This model can be used to replace the coarse functions used in Dalian Commodity Exchange.Thirdly,adopt nearly 4500 data of the history contracts, and give statistical analysis to the futures contracts of soybeans and soy meals to get the probability distribution of the limit up/down situation of the two types of contracts.Finally,comprehend each situation to get the final margins,thus make the model more comprehensive.
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    Behavioral Finance:Perceived Risk and Perceived Expected Return
    YANG Chun-peng, WU Chong-feng, CHEN min
    2005, (3):  15-19. 
    Abstract ( 2124 )   PDF (1378KB) ( 1916 )   Save
    Under the frame of behavioral finance,this article established a model of perceived risk and a model of perceived expected return based on investor psychology in which over-confidence was taken into consideration,and further studied the relationship between perceived risk and perceived expected return.We showed that the negative correlation between perceived risk and perceived expected return which is contrary to the results in the standard finance theory.Through financial experiments,Shefrin(2001) found it is negatively correlated between perceived risk and perceived expected return.This article gave an effective explanation to the research of Shefrin(2001).
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    A Study of the Impact on Chinese Stock Market of the Classified Information
    LING Shi-qin, YANG Bo, YUAN Kai-hong
    2005, (3):  20-25. 
    Abstract ( 1845 )   PDF (1845KB) ( 1960 )   Save
    The high-frequency-data-based classified information mixture distribution EGARCH model,which is put forward in this article,is based on market microstructure theory.We take an empirical test on the price-volume relation in the Chinese stock market by adding the high-frequency-data-based volume caused by good news and bad news in the EGARCH model as the classified information flow proxy.In addition,the result of our work can support that the classified volume is an interpretation of the persistence of the volatility of the stock market,and we can distinguish the different effect caused by the classified information.
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    The Real Option Value of the Multi-Period Venture Investment
    LIU Xiao-hong
    2005, (3):  26-31. 
    Abstract ( 1891 )   PDF (833KB) ( 2968 )   Save
    Based on the real option character in the venture investment decision,this paper measured the value brought by the multi-period investment strategy in comparison with the single-period investment strategy.Aimed at the effect brought about by the multi-period venture investment,we defined the deferred effect and risk effect. At the end we validated the option value of multi-period investment by case analysis.
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    Study on Portfolio Risk Management Based on Behavioral Finance
    JIANG Ji-jiao, YANG Nai-ding
    2005, (3):  32-36. 
    Abstract ( 2185 )   PDF (1490KB) ( 2041 )   Save
    Considering mental factors,behavioral finance is introduced into decision-making system of risk management executors. Bounded rational mental structures of managers are pointed out.It’s formed the risk measurement model based on BSV(Barberis-Shleifer-Vishny) ideology,by which the traditional behavioral portfolio theory is adjusted.Simulation results show it’s approaching the practical situation.
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    Two Mechanisms of Supply Chain Coordination Based on Price Discount under Probabilistic Demand
    LI Jian-li, LIU Li-wen
    2005, (3):  37-43. 
    Abstract ( 2049 )   PDF (1428KB) ( 1802 )   Save
    This paper studies a one-supplier-n-buyer system selling one type of product with multi-period and probabilistic customer demand.We give two strategies of supply chain coordination: quantity coordination and time coordination.Making a detailed analysis,we show that compared to the traditional decentralized system,quantity coordination policy can improve the performance of the supply chian considerably.Furthermore,time coordination can realize a better performance based on the above improvement.The implementing method of two coordinating mechanisms is given.Finally we present a numerical example.
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    An EOQ Model for Deteriorating Items with Time-Varying Demand Purchase Price and Partial Backlogging
    LUO Bing, YANG Shuai, XIONG Zhong-kai
    2005, (3):  44-49. 
    Abstract ( 2065 )   PDF (2183KB) ( 1723 )   Save
    An EOQ model is developed for deteriorating items with time-varying demand purchase price and partial backlogging under stock dependent selling rate and time-value of system cost.A numerical example and sensitivity analysis are presented to illustrate the model by the software Mathematica version 4.1 The parameters associated with the model affect the optimal solution in various degrees.
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    Petri Net-Based Workflow Optimization Analysis
    ZHOU Jiang-bo, LING Hong, XU Zheng-chuan
    2005, (3):  50-55. 
    Abstract ( 2068 )   PDF (639KB) ( 2725 )   Save
    Workflow management technology is the core technology to realize business process reengineering,process management and process automation.In the workflow reference model,workflow verification and optimization are two key segments of process definition tool.After reviewing related research papers,on the foundation of the classical Petri net theory,the Petri net-based algorithm for verifying the sound of workflow processes and process optimization are proposed.Optimization of insurance claim process as an example verifies the validity of the process optimization algorithm.
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    Elastic CSP and Its GA-Based Interactive Solving Agent
    DU Shao-Fu, LIANG Liang, YU Yan
    2005, (3):  56-61. 
    Abstract ( 2649 )   PDF (1355KB) ( 998 )   Save
    Constraint satisfaction problems (CSP) and the relevant evolutionary algorithms are reviewed first.Then we introduce a new CSP paradigm,elastic CSP model(ECSP),which is the improvement on the existing partial CSP model.We formularize ECSP as 6-tuple .For the purpose of finding the satisfactory solution(s) for decision,an interactive multi-agent architecture is designed,which integrates several technologies including multi-agent,genetic algorithm and distributed parallel computing.Furthermore,we elaborate the GA solver algorithm in the solving agent.How to determine the adaptive function?Which encoding method is chosen?How to define GA operators and initial population?Finally,we give a simple example to demonstrate the validity of our approach.
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    The Linearization of Contracts and Linear Contracts
    ZHANG Wei
    2005, (3):  62-67. 
    Abstract ( 1998 )   PDF (2299KB) ( 1579 )   Save
    The paper discusses the linearization of contracts and linear contracts in principal-agent relationships under asymmetric information.Our Starting point is the difference of capability between agents;therefore adverse selection and moral hazard coexist.To handle such a problem,we get a parametrized payment contract concave on output,linearize it,and in view of its instability substitute it with non-parametrized linear contracts,which is more approximate to realistic contracts.
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    An Analysis of Competitive Telecom Network Interconnection
    LIAO Cheng-lin, LI Yi
    2005, (3):  68-73. 
    Abstract ( 2011 )   PDF (1996KB) ( 1486 )   Save
    The competitive telecom network operators may refuse interconnection or may collude in levying high access price because of their own profit.The government’s regulation is necessary since both of the two kinds of conduct do harm consumers’ welfare.Using a three-stage game theory model containing Undercut-Proof Equilibrium mechanism and some contribution factors such as network externalities,dominant (operator’s) market share,market capacity,and users’ switch cost,this paper analyzes the issues of telecom network interconnection,including (service) pricing,connection decision-making,access price regulation,and welfare change.It is concluded that there exists a rational section of access price,in which the telecom network operators will have impetus to interconnect each other and welfare will be improved.
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    The Research on Advertisement Effect Models in the Process of City Marketing
    ZHOU Bing, LIU Yan
    2005, (3):  74-78. 
    Abstract ( 2039 )   PDF (1301KB) ( 1753 )   Save
    Referring to the foregoing studies on the advertisement effect models for traditional product advertisements,the connotation of city products,as well as that on the characteristics of the means of publicizing,the paper intends to clarify two categories of rather important true Advertisement Effect Models that are applied in the process of city marketing.Those disregarding the advertisement media belong to the first category,while those differentiate the selected media strictly forms the other, and provide a profound basis for the strategy of city marketing.
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    Study on Runnable Mechanism of Investor Relation Management of Chinese Listing Company
    LI Xin-dan, LIU Yu-can, XIAO Bin-qing
    2005, (3):  79-83. 
    Abstract ( 1989 )   PDF (539KB) ( 1675 )   Save
    In this paper, operating mechanism of index of Investor Relation Management is put forward.That is,positive effect of management index on quality index,positive effect of quality index on outcome index,and positive effect of management index on outcome index.These three hypotheses are confirmed by using Structural Equation Model.
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    Resource Sharing Decision Model Based on Stackelberg Game in Collaborative Knowledge Creations
    WANG Jian-yu, FAN Zhi-ping, JIANG Yan-ping, HU Guo-dong
    2005, (3):  84-88. 
    Abstract ( 2112 )   PDF (1409KB) ( 2237 )   Save
    For any collaborative endeavor to succeed,adequate allocation and sharing of resources are important in inter-organizational collaborative knowledge creation. The purpose of this paper is to explore the condition for resource sharing and maintaining collaboration in inter-organizational collaborative knowledgecreation. Firstly,using the game theoretic framework,the collaboration for knowledge creation is modeled as a Stackelberg leader-follower game with one leader and multi-follower. In this model,decisions are made at two stages. In the first stage,the leader sets the level of its involvement,which is called the participation rate,and in the next stage,the follower reacts to the leaders’ decision by setting an optimal value for the total efforts and respective participation rate. The equilibrium values of current efforts in knowledge creation,the leader and followers’ resource participation rate,and the total expected gain were then determined. Finally,it’s pointed out that maintaining an optimal ratio between the leader’s and followers’ marginal gains is important for the formation and continuation of the collaboration.
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    Research on Determining Weights of Combination Evaluation Method Using Cooperative Games
    CHEN Yan-tai, CHEN Guo-hong, LI Mei-juan
    2005, (3):  89-94. 
    Abstract ( 1936 )   PDF (1533KB) ( 2428 )   Save
    We use cooperative games method in this paper.First single evaluation methods with homogeneity used to combination evaluation are players. Average is the reference criterion of error between single evaluation results and combination evaluation results.Then quadratic sum of error is cooperative result.Give weights to single methods based on single error contribution to sum error.Finally take use of the EV software version 1.0,which is self-developed based on MATLAB,to make simulation and comparison.
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    The Role of Communication in the Mass Unexpected Incident Management
    LIU De-hai
    2005, (3):  95-102. 
    Abstract ( 2033 )   PDF (2189KB) ( 1814 )   Save
    This paper analyses the different effects that the communication has on the measure of mass unexpected incident in the different developing phases using evolutionary game theory.It educes the evolutionary functions that mass unexpected incident is in the system crisis phase and transforming phase using the generalized replicator dynamics model,that degenerate to the infection diffusion function including learning obstacle.It analyses the effect that governmnt takes opening communication measure in the different phases,through making strategy-specific barriers to learning endogenetic disposed that is the funetion of the opening communication degree.It draws the conclusion that government needs to control the opening communication degree in the system crisis phase,and duly open communication in order to lead different social estates to engender the new cognizing equilibrium in the system transformaing phase.
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    Rebuilding PSG Fuzzy Decision-making System Using SVD Method
    LIU Bin, HE Jian-min, CAO Hui-yu
    2005, (3):  103-107. 
    Abstract ( 1954 )   PDF (1748KB) ( 1568 )   Save
    The method using SVD to rebuilding PSG fuzzy model is presented in this paper,in new model,the number of fuzzy rules is reduced.In terms of the property of singular values,an approximation of matrix Ω,which is conducted by consequents of fuzzy rules,is obtained by selecting proper singular values of Ω.Using the approximation of Ω,a new rule base is constructed.Generally,the dimension of imput variables in new rule base is smaller than in original one,thus,the size of rule base is reduced effectively.Finally,a numerical example with simulations is given to demonstrate the method discussed throughout this paper.
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    Study on Knowledge-Firms’ Incentive Based on Game Theory
    PAN An-cheng, HU Han-hui, ZHOU Ye
    2005, (3):  108-114. 
    Abstract ( 2049 )   PDF (2405KB) ( 2158 )   Save
    Efficient incentive mechanisms can exert knowledge-employees’ more creativeness for the knowledge-firms.Under the conditions of the two-stage information asymmetry of value creation and value-addition distribution within the process of firms’sustainable growth,this paper analyzes the Stackelberg game between firm and knowledge-employee,and addresses the mechanism and value-addition distribution of the co-op game behavior in virtue of the evolutionary process of the fully co-op model.The result suggests that the short-run incentive is significantly complementary with the long-run one,and to adjust properly the level of the two can maximize the systematic income of the firm.How to allot firm systematic premiums is further researched,and it is argued that knowledge-employees’risk attitude and position significantly influence the incentive effort.
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    The Designing of Executive’s Payment Based on Two-Dimension Relative Performance Evaluation
    XU Xi-xiong, WAN Di-fang, LIANG Qiao-zhuan
    2005, (3):  115-118. 
    Abstract ( 1820 )   PDF (2138KB) ( 1313 )   Save
    The best way to incentive agents is to bind the compensation with their operative performance.We design an executive’s compensation contract based on two-dimension relative performance evaluation,so as to eliminate risk imposed on executives by external systematic circumstance and resource of enterprise.Then we represent a brief discussion about the model and prove its Pareto-efficiency relative to traditional model.
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    An Empirical Analysis Model of the Relationship Between Power Generation Listed Corporations’ Performance and Super Managers’ Compensation
    ZHANG Li-hui, HAN Jin-shan, TAN Zhong-fu, LI Han-fang
    2005, (3):  119-125. 
    Abstract ( 1882 )   PDF (675KB) ( 1856 )   Save
    The industry of power generation is on stage of change from monopoly to competition,from planned economy to market economy.The reward motivation to senior managers of power generation corporations is more and more concerned.It this paper,38 corporations,which have come to the domestic security market,are selected as stylebook. Demonstrated studies have been made on relationship between manager reward and management performance from 2001 to 2003.First,all-years and annual analyses of correlation and partial correlation have been made to all samples and abnormal-excluded samples,then contingency table is used to analyze relationship between performance and reward.The result shows no correlation between the two.The final part of the paper explains the result according to practical situation of the corporations,and proposals are given to the design of the senior managers’ reward system.
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    On the Model of Performance Evaluation to Establish a Fair Incentive System
    LI Zhi-xue, WANG Ping-xin
    2005, (3):  126-130. 
    Abstract ( 2033 )   PDF (634KB) ( 1620 )   Save
    The key to effective incentive lies in fair,but the basis of fair is right performance evaluation.When performance evaluation theory is developing toward customers,employees,operators and non-financial both on abroad and in the country, this paper has paid attention to the limitation of scoring to the traditional performance evaluation method,and presented three necessary conditions for setting up a reasonable performance evaluation method,which are score of evaluation being continued,the non-linear relationship between value for evaluation, and quantity for evaluation and same value exchanging between positive index and relative reverse index etc..Furthermore, it has built a performance evaluation model fitted for those conditions,at the same time, made a factual calculation on parameter and application of this model.
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    Exploring in Construction of Integrative Management System of Environment-Health-Safety- Transportation of the Qinghai-Tibet Railway
    SUN Yong-fu, YANG Hao
    2005, (3):  131-137. 
    Abstract ( 2046 )   PDF (813KB) ( 1541 )   Save
    Based on the idea of development with science and the analysis about the characteristics of the constructional and operational environment and the layout of productivity of Qinghai-Tibet railway,the paper puts forward the necessity, the basic assumption and the general idea of setting up an integrative management system of environment-health-safety-transportation in the Qinghai-Tibet railway. It also systematically explains the approach to realizing the integrative management system,which includes the research on the environmental aspects and the rule of disaster generation and the social environment and transport demands of the area along the line, the entironment protection, the establishment of the inspecting environment and indicating disaster system, the enhancement of the railway employees’ labor insurance and the prevention and cure of their occupational disease etc.On the basis of the research and practice of the integrative management system,it aims to exert the commonweal of railway and build up and manage the top ranking plateau railway.
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    Benefit Analysis about the HTVC Integration System’s Development Process under Mutilation Solution Strategy
    HOU He-yin, WANG Huan-chen
    2005, (3):  138-143. 
    Abstract ( 2211 )   PDF (1721KB) ( 1307 )   Save
    From the mutilation solution’s viewpoint,the HTVC system’s development process is profoundly analyzed,when there is the double-sided moral hazard between entrepreneur and venture capitalist.Concretely,the equilibrium contracts are strictly proofed,according to maximizing the entrepreneur’s expected absolute benefit or that of the venture capitalist;monotony relationship for equilibrium contracts and constituents’ efforts about sunk capital amount are researched;By numerical analysis,the HTVC system’s holistic expected benefit(concluding the absolute benefit and the relative one’s monotony relationship with sunk capital amount are described,and its realization are separately compared with its realization under the holistic solution tactic.
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    An Evaluation of High-Tech Development Zones in China Based on the Method of Entropy Weight
    HAN Bo-tang, LI Qiang, ZHANG Cai-bo, ZHU Mei-guang
    2005, (3):  144-148. 
    Abstract ( 1963 )   PDF (1658KB) ( 1843 )   Save
    Based on the entropy fundamentals,we introduced the Theil index and improved the method of multi-factor & multi-level fuzzy comprehensive evaluation in this paper.Compared with the method of cluster analysis or expert’s experience,this method heightened the veracity and rationality of the evaluation results.Besides,we also introduced the method of the best solution model of optimal membership degree vector and draw a conclusion of the status of China’s High-Tech Development Zones in 2003.The status shows the polarization between the zones in the east and west area of China.So,it is necessary to classify and manage the zones respectively according to their development status.
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