Table of Content

28 August 2006, Volume 14 Issue 4 Previous Issue    Next Issue

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Semi-Parametric Estimation Methods on Long-Memory Processes with Added Noise ZHAO Wei, HE Jian-min 2006, (4):  1-5.  Abstract ( 2106 )   PDF (1455KB) ( 2220 )   Save The parameter estimation of long memory process with added noise is always ignored.In this work,after the sample data are aggregated,the methods of semi-parametric estimation including local Whittle estimation and log-periodogram regression are used.Compared to LP regression,LW estimation was proved to solve the parameter selection,and it also can neglect the impression of noise data.Then LW estimation was applied in China stock market.The results presented that long memory was found greater during the gravely outburst events,and which was stronger in the post-event than in the pre-event. References | Related Articles | Metrics

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Estimating the Permitted Ruin Probability of CIRC towards P&C Insurers LI Jian-lun, FANG Zhao-ben 2006, (4):  6-12.  Abstract ( 2137 )   PDF (2297KB) ( 1355 )   Save This paper makes researches on the permitted ruin probability of the China Insurance Regulatory Commission towards P&C insurance industry.Based on the current regulation rules of the Chinese insurance industry and released data,Copula method and Quasi Monte Carlo simulation are applied to estimate the permitted ruin probability.The estimaed probabliity is 1.28%.This value can serve as a benchmark for the China solvency regulation reform.Furthermore,the relationship between the policy coefficients and the permitted ruin probability is analyzed by simulated samples. References | Related Articles | Metrics

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Are Returns of Opened End Funds Inflated?——An Analysis of Calendar Effect in the Chinese Stock Markets ZHAO Xiu-juan, WU Qi-fang, WANG Shou-yang 2006, (4):  13-18.  Abstract ( 2181 )   PDF (1296KB) ( 1579 )   Save In this paper,we intend to find evidence if opened-fund returns are abnormally inflated in the last trading day.Firstly,dummy variables are introduced in the regression to analyze the calendar effect of specific trading days.We also discuss the returns change among groups of the different historic performance and among the 10 trading days around the calendar end.We find that returns of trading days at month-end are higher than those of common days.Furthermore,we prove that the returns show a changing trend in the 10 trading days around month-end and quarter-end,enlarged from a rather low level and decreased from a summit.Some possible explanations are given out for the empirical findings. References | Related Articles | Metrics

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Risk Control Mechanism of Active Portfolio Investment with Tracking Error Constraints FANG Yi, ZHANG Yi-shan 2006, (4):  19-24.  Abstract ( 2169 )   PDF (1990KB) ( 1555 )   Save TEV (Tracking Error Volatility) Optimization which is widely used in active portfolio management has an inherent flaw.The assets of investors have greater risk,owing to the actions of managers.Jorion(2003)noted that C-TEV(Constant-TEV)Optimization can improve performance of the portfolio.The paper concentrates on TEV Optimization and C-TEV Optimization.It explores the conclusion of Jorion is not fully right and discusses efficiency,cost,role of benchmark and risk preference,and designs a more effective risk control mechanism. References | Related Articles | Metrics

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Bounded Logistic Default Model and Empirical Evidences from China SHI Xiao-jun, REN Ruo-en, XIAO Yuan-wen 2006, (4):  25-29.  Abstract ( 2148 )   PDF (1660KB) ( 1620 )   Save Cramer (2004) pointed out shortcoming of plain Logistic default model and put forward bounded Logistic model.This paper does some further research about bounded Logistic default model.We first demonstrate why bounded Logistic default model is superior to plain Logistic model theoretically through Bayes analysis.Then we give empirical evidences based on China companies' data.We not only find evidences about Cramer's problem,but also find that bounded Logistic model can solve the Cramer's problem,which is not sensitive to critical value and has higher prediction efficiency. References | Related Articles | Metrics

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The Random Expected Value Model of Revenue-Sharing Contract Coordination in Supply Chain QIU Ruo-zhen, HUANG Xiao-yuan 2006, (4):  30-34.  Abstract ( 2425 )   PDF (1347KB) ( 2147 )   Save The revenue-sharing contract in supply chain contract coordination is studied in this paper.The random expected value model of revenue-sharing contract coordination in supply chain with underage cost is developed and the relation between revenue-sharing contract parameters for coordinating decentralized supply chain is educed,and the effect of revenue-sharing mechanism for improving the operational performance of entire supply chain is analyzed.A mixed intelligent arithmetic for random expected value model is designed and simulation is done aiming at revenue-sharing contract coordination model,and the impacts of variety of revenue-sharing contract parameters on supply chain members' performance are discussed.The results show the random expected value model of revenue-sharing contract coordination developed in this paper is practical and coordinates the operation of supply chain with random demand. References | Related Articles | Metrics

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Research on the Model of Determination of Multiple Products Optimal Combinatorial Supply Patterns CHEN Pei-you, WANG Ding-wei 2006, (4):  35-39.  Abstract ( 2121 )   PDF (1097KB) ( 1677 )   Save Under the circumstance of price competition,the reverse auction in electronic commerce can offer purchaser more products and services,therefore it will be more flexible.This paper presents the reverse combinatorial auction mechanism of procurement contracts,establishes the mathematical model of determination of multiple products optimal combinatorial supply patterns in reverse auction,and designs a bi-layer optimal algorithm to solve this model,finally,and demonstrates the applicability of the model and the validity of the algorithm by examples. References | Related Articles | Metrics

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The Price Decision Model for the System of Supply Chain and Reverse Supply Chain WANG Yu-yan, LI Bang-yi, SHEN Liang 2006, (4):  40-45.  Abstract ( 2374 )   PDF (1713KB) ( 3686 )   Save The system of supply chain and reverse supply chain between the manufacturer and the retailer is studied in this paper.The price decisions are analyzed by game theory.A non-cooperative game equilibrium and a cooperative game equilibrium are obtained.Efficiency of every decision is further analyzed.In addition,an approach to coordination is given which can be used easily in practice. References | Related Articles | Metrics

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Supply Chain Contract Designing with Retailer Promotional Effort JI Xiao-li 2006, (4):  46-49.  Abstract ( 2027 )   PDF (983KB) ( 2053 )   Save In most supply chain contract literatures,the customers' demand is often hypothesized as an independent and exogenous stochastic variable.But in factual conditions,it is often influenced by retailer's promotional effort.In this article,optimal promotional effort and order quantity of the integrated and non-cooperative modes are firstly analyzed under demand with promotional effort.Then a buy-back contract with effort sharing is founded to coordinate incentive discrepancy between supply chain members.Finally,an instance displays the different supply chain performance under the different strategies with no promotional effort and coordination,with promotional effort but no coordination,and with promotional effort and coordination. References | Related Articles | Metrics

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Bayesian Game with Sequential Belief Revisions in Supply Chain LIU Kai-jun, ZHANG Zi-gang, ZHOU Yong-hong 2006, (4):  50-55.  Abstract ( 2052 )   PDF (1706KB) ( 1517 )   Save This paper presents the sequential belief revision method to eliminate information asymmetry in supply chains.It is assumed that the retailer has private information about the demand and the supplier only partially knows the retailer's optimal decisions.The supply chain is modeled within a multiphase Bayesian game with observable results.The supplier revises his belief between phases according to Bayesian rule.This paper shows that with the sequential belief revision method,the supplier's belief will converge to the retailer's private information and asymmetric-information game will converge to the symmetric-information game.And numerical studies verify the effect iveness of the method. References | Related Articles | Metrics

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An Algorithm for Shortest Path with Multi-Modal in Time-Varying Network WEI Hang, LI Jun, LIU Ning-zi 2006, (4):  56-63.  Abstract ( 2291 )   PDF (1952KB) ( 2097 )   Save In the transportation,there are many modes,such as truck,train,waterway,airplane and so on.The different mode has the different cost,but the different modes want to transship.Thus,there exists the transshipment in transportation.The paper wants to find the shortest path with multiple modes in the time-varying network.The problem also has constraints to the time and to the destination.In order to solving the problem,we transformed the transportation network and analyzed the transportation cost and transshipment cost.Then,we developed the label algorithm to the problem and gave the computational complexity of the algorithm.At last,a case was studied. References | Related Articles | Metrics

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Research on Consistency and Priority of Interval Number Complementary Judgment Matrix GONG Zai-wu, LIU Si-feng 2006, (4):  64-68.  Abstract ( 2270 )   PDF (1971KB) ( 2282 )   Save There is few research on properties of interval number complementary judgment matrix in literatures at home and abroad,so the priority approach research is short of the base of corresponding theory.For the reason that the flaws are given above,this paper conducts the research on properties and priority of interval number complementary judgment matrix.On the grounds of the definition of interval number complementary judgment matrix,this paper proposes concepts of complete consistency,restricted max-max transitivity and weak transitivity for interval number complementary judgment matrix,studies their relations which show that these concepts of consistency for interval number complementary judgment matrix are in accord with the consistency of human thinking.Based on the consistent propriety,nonlinear programming methods for priorities of interval number complementary judgment matrix which is illustrated by a numerical number are set up. References | Related Articles | Metrics

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The sequential optimal decision of three parallel procedure chains LI Xing-mei, QI Jian-xun, NIU Dong-xiao 2006, (4):  69-74.  Abstract ( 1976 )   PDF (1774KB) ( 1371 )   Save The sequential optimal decision of three parallel procedure chains is one of the focuses in the theory of project planning and control at present.Without considering every machine idle time,a new arithmetic is provided in view of slack job time per machine.It is feasible and easy to use through example,. References | Related Articles | Metrics

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Research on Model and Application of Resource Allocation in Multi-project Management Based on Stochastic Theory CHEN Ning, ZHANG Xue-yan, WU Zhen-ye, CHEN Shi 2006, (4):  75-80.  Abstract ( 2220 )   PDF (1343KB) ( 1803 )   Save To solve the shared resource allocation problem in multi-project management,research on characters of enterprise resources under IT circumstances was done.And resource equivalent efficiency and efficiency conversion factor used in enterprise resource concurrent allocation were determined by virtue of stochastic theory.A model for resource allocation was proposed and a corresponding algorithm was presented with mathematical analysis.The model and algorithm were applied to give an example,which was analyzed to realize the rational resource allocation in enterprise multi-project management. References | Related Articles | Metrics

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Convertible Bond Pricing Model Based on Partial Least Square Method and Its Empirical Research HAN Li-yan, MOU Hui, WANG Ying 2006, (4):  81-87.  Abstract ( 2240 )   PDF (2359KB) ( 2411 )   Save This paper creatively develops the convertible bond pricing model based on Partial Least Square Regression(PLS).We formulate this model from the American option pricing model based on PLS.Compared with the traditional models,this model originated from a new thought,and can solve the convertible bond pricing problem under multi-factors and path-dependence.Using the data from Aug.1st 2004 to Aug.1st 2005 in Chinese capital market,we calculate the market prices of 31 convertible bonds during this period.The results show that the theoretical price of PLS model has a good fit with the actual price of convertible bond.The ratio of price error is lower than 5%.This testifies that the convertible bond pricing model based on Partial Least Square Method is practical and can provide theoretical support for investment decision. References | Related Articles | Metrics

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The Game Analysis on Financing Strategy and Product Differentiation Strategy in the Frame of Bertrand Competition YANG Guang-qing, JIANG Lu-quan, WANG Huan-chen, CHEN Ming-yi 2006, (4):  88-94.  Abstract ( 2270 )   PDF (2041KB) ( 1629 )   Save The financing strategy and product differentiation strategy both are important basic decisions.In a three-stage dynamic game model based on vertical product differentiation,the article studies that enterprise's debt financing strategy imposes effect on product differentiation strategy and pricing decision under uncertainty,at the same time,we compare competition equilibrium outcomes with that under non-debt financing.The research shows that under debt financing,equilibrium quality and equilibrium price are higher,the degree of vertical product differentiation is lower,also the higher debt level is,the higher the enterprise's equilibrium quality,equilibrium price,equilibrium profit and the degree of vertical product differentiation are. References | Related Articles | Metrics

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The Effect of Internet Environment on Market of Digital Content Product LIU Zhuo-jun, ZHOU Cheng-xiong 2006, (4):  95-99.  Abstract ( 1957 )   PDF (1253KB) ( 1913 )   Save The paper has discussed the effect of internet environment on market of digital content product,based on Cournot model.After comparing price,share of market and condition of eliminating piracy product under conventional environment and internet environment,we found that piracy product shares more market in conventional environment for lower marginal cost.but in internet environment,piracy product won't be preponderant again. References | Related Articles | Metrics

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The Effect of the Allocation Regulations upon IPO Underpricing under Bookbuilding XIONG Wei-qin, MENG Wei-dong, ZHOU Xiao-hua 2006, (4):  100-107.  Abstract ( 1996 )   PDF (1934KB) ( 1752 )   Save On the objective of maximizing the institutional investors' expected utility,this paper works out their optimal bidding strategies under two difference bookbuilding regulations that is,to decide the institutional investors' IPO allocation shares before and after their bidding.Furthermore,we establish the IPO pricing and underpricing models.Our analysis indicates that institutional investors have incentive to shade their demands in order to avoiding the "Winner's Curse" and pursuing higher expected IPO underpricing.Supply uncertainty could prohibit the extreme demand reduction and eliminate some high underpricing section which may exist under the condition of certain supply,So,it has higher IPO bookbuilding efficiency. References | Related Articles | Metrics

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Study on VMI Model Based on Revenus-Sharing Contract CAI Jian-hu, HUANG Wei-lai, ZHOU Gen-gui 2006, (4):  108-113.  Abstract ( 2130 )   PDF (1669KB) ( 1842 )   Save A vendor managed inventory(VMI)model is analyzed,and the products are sold over a single selling season.The interaction between the supplier and the retailer is modeled as a Stackelberg game with complete information,where the retailer acts as a leader by setting the revenue share.We also analyze the contract when the retailer pays the supplier a surplus subsidy for the products that are not sold out,and we show that,by using this two-parameter contract,the performance of the supply chain can be improved,and the channel can be coordinated.We also find the range in which the expected profits of all parties are increased.All our findings are illustrated by a numerical example. References | Related Articles | Metrics

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Research on Evaluation for Newspaper Advertising in Service Company HUANG Jin-song, ZHAO Pin, YAN Heng-qiu, LU Qi-bin 2006, (4):  114-120.  Abstract ( 1875 )   PDF (1754KB) ( 1396 )   Save Based on geometric lag distribution dynamic econometric model,the article builds up the relationships between advertising and customer telephone responses, and evaluates the short-term effectiveness of different newspaper advertising by using practical data.Results reveal that the model could evaluate and predicate the same sort of media better.Customer telephone response variable shows short-term advertising stimulus-response characteristic.The bias will exists when we use newspaper circulation as media selection criterion.Retention rate of newspaper advertising is very low,so companies who rely on newspaper advertising heavily could deliver advertising everyday or every other day. References | Related Articles | Metrics

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The Practical Method of Dynamically Evaluating the Comprehensive Performance Based on Evidential Reasoning WANG Xue-rong 2006, (4):  121-127.  Abstract ( 2341 )   PDF (1587KB) ( 1937 )   Save It is very difficult to give satisfactory evaluation on comprehensive performance of the organization with practiced IMS(integrated management system),because of multi-layer,multi-index,many non-precise and complex variables in it.Based upon the evidential reasoning,a new solution of dynamically evaluating with uncertain information in multi-attribute hierarchical evaluation process is proposed,and the comprehensive performance evaluation index system is build up.The steps of this method is that,firstly,all evaluating indexes are divided into two parts:qualitative and quantitative items;secondly,each item is standardized;thirdly,from bottom layer,each item is analyzed dynamically and comprehensively,and the synthesis of the evaluated compositors is got by integrating each evaluation.Finally,applying the method proposed to evaluating the management,actuality of an enterprise shows that the method is practical and scientific. References | Related Articles | Metrics

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Interaction Preference of Firms in Industrial Cluster and Evolution of Knowledge Networks: Model and Simulation FU Rong, QIU Li, ZHANG Xi-zheng, HU Xiang-yun 2006, (4):  128-133.  Abstract ( 1945 )   PDF (1390KB) ( 1594 )   Save Evolution of microcosmic Knowledge Network(KN) is precondition and important part of evolution procedure of industrial cluster network.In this paper, firms in industrial cluster are classified as Task-lead and Knowledge-lead according to their preference of interaction among them.A Multi-agent-based model is constructed and simulated using Blanche software which is a tool for research of multi-agent networks.The characteristics and the effect to KN evolution of Task-lead KN and Knowledge-lead KN are analyzed based on the simulation of the model.Finally,the limitation of the research is concluded and the agendas are discussed for the future research. References | Related Articles | Metrics

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Enterprise Promise Management and its Model Study XIAO Yuan 2006, (4):  134-140.  Abstract ( 2099 )   PDF (1338KB) ( 1336 )   Save Business enterprise competition exist everywhere.How to choose the self-suited develoment strategy directoy relates to the existence of enterprise.This article establishes a mathematical model of enterprise competition promise management.The Cournot oligarch competition game,promise management game and dual monopoly game are also analyzed. References | Related Articles | Metrics

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A Study on the Motivational Mechanism of Creative Situation ZHANG Jian, GUO De-Jun 2006, (4):  141-148.  Abstract ( 2256 )   PDF (1339KB) ( 1533 )   Save Based on organismic dialectical metatheory and empirical research approach,this study explores the relationship between creative situation and creative behavior systematically.The main findings are as follows:the opinion is true which is proposed by organismic dialectical metatheory that the needs and the motivation mediate the situation and the behavior;the supports from leaders and richness of the resources are primary components in creative situation;the satisfaction of self-determination and competence is the core of creative activity;enjoyment is the direct cause for creative behavior,and pursuit for challenge is the most important indirect cause. References | Related Articles | Metrics