Table of Content

28 October 2006, Volume 14 Issue 5 Previous Issue    Next Issue

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Optimal Estimation of Value-at-Risk and Conditional Value-at-Risk LIU Xiao-mao, DU Hong-jun 2006, (5):  1-6.  Abstract ( 1964 )   PDF (2215KB) ( 2317 )   Save In this paper,statistical method is used to improve the estimation of value-at-risk(VaR) and conditional value-at-risk(CVaR).These methods can avoid burdensome simulation calculation or parameters estimation and improve estimation precision.This paper discusses the optimal estimation of value-at-risk and conditional value-at-risk for assets under normal distribution and gives the uniformly minimum variance unbiased estimates(UMVUE),the best linear unbiased estimates(BLUE) and the best linear invariant estimates(BLIE) of VaR and CVaR based on order statistics.Furthermore,we show the practicability and validity of these methods through empirical analysis. References | Related Articles | Metrics

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The Research of Multiple-Index and Relative Design and Application on Stock Option Incentive Mechanism ZHONG Mei-rui, HUANG Jian-bai 2006, (5):  7-13.  Abstract ( 2091 )   PDF (1621KB) ( 1913 )   Save The efficiency of option incentive contract is affected by system risk which is uncontrolled by manager so as to lead to the distortion of incentive. The paper introduces the idea of relative performance to the design of option incentive based on foregoing research in allusion to the phenomena.Namely exercise price is indexed and mature option income is constructured in option incentive contract.So the paper establishes the exercise price and pricing model of multiple-indexed stock option relatively.Finally,when the efficiency of multiple-indexed stock option relatively is tested by the case,we find two important features: the multiple indexation of exercise price may change the sign of option value and the relativitization of the structure of mature option income may make option value quantitative order difference. References | Related Articles | Metrics

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The Volatility Spillover Analysis and Empirical Study of the Financial Markets ZHANG Rui-feng, ZHANG Shi-ying, TANG Yong 2006, (5):  14-22.  Abstract ( 2184 )   PDF (3155KB) ( 2904 )   Save It is very important to measure volatility spillover for the dynamic investment portfolio and risk management.The known literature tends to study whether volatility spillover exists between two financial markets.However,the probability of spillover occurence has not yet been mentioned.On the basis of the researching on the influence probability between two financial markets,the paper introduces quantile to expresse the market risk,and testifies the relationship between the linearity correlation and the influence probability of two financial markets,whereafter,defines the new conception of volatility spillover of the financial market,sets up the regression model and testifies the relationship between the parameters and influence probability with the different linearity correlation,and conducts the empirical analyses. References | Related Articles | Metrics

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Portfolio Selection with Short Sales in a Frictional Market LIU Ming-ming, GAO Yan 2006, (5):  23-27.  Abstract ( 2063 )   PDF (2570KB) ( 1975 )   Save The capital market has a key feature of uncertainty.To measure the risks induced by uncertainties,we proposed a new function based on absolute deviation function.Considering a frictional market,the mean-absolute deviation(MAD) model is constructed.The special structure of the model is utilized to transform a nonsmooth program into a linear one,which can be solved by simplex method.The numerical analysis compares the efficient frontiers of portfolio selection under various risk measures,and shows the validity of the method. References | Related Articles | Metrics

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The Portfolio Selection Problem in Frictional Market Allowing Short Sale HUANG Si-ming, CHEN Wei, YANG Guo-liang 2006, (5):  28-32.  Abstract ( 2032 )   PDF (1321KB) ( 2212 )   Save There exist frictions such as transaction costs,taxes in stock market.The investors will be affected by these frictions in their investment decision.In this paper,we propose a mathematical model for optimal portfolio selection problem with market frictions,using investors maximal utility as objective function.We also discuss the portfolio selection model which includes market frictions and short sales.This model can be formulated as a convex quadratic programming problem.We propose a path-following algorithm for solving this model. References | Related Articles | Metrics

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Option Game Model on R&D Investment Decision under Uncertainty HUANG Xue-jun, WU Chong-feng 2006, (5):  33-37.  Abstract ( 2158 )   PDF (1496KB) ( 2058 )   Save Assuming that production price(stochastic demand) follows geometric Brown motion with jumps,uncertainty features coming from sudden events and future market in the research and development projects can be simulated.Previous duopoly option game models in which the stochastic demand follows geometric Brown motion to simulate market uncertainties are extended.In the same time,real option approach under geometric Brown motion with jumps merges with the competition strategic interaction.And sensitivity analyses show that different uncertainties effect on research and development projects option value and the participants' entry threshold.The more is uncertainty,the more is participants' threshold.Sudden events occurring can reduce the project option value.If market uncertainty is lager,the follower's option value will increase,but the leader's value does not always increase. References | Related Articles | Metrics

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Multi-Period Model for Assets Liability Management and Its Application JIN Xiu, HUANG Xiao-yuan 2006, (5):  38-44.  Abstract ( 1980 )   PDF (1663KB) ( 2663 )   Save A multi-period stochastic optimal model is established for assets liability management concerning the uncertainties of future economic factors based on the domestic actual situation.Researches are carried out on the dynamic assets allocations of fund companies,individual financial plans,banks assets liability management and pension problems.The optimal asset allocations have been realized when the objective function and constraints are adjusted and improved according to every specific problem and the uncertain economic factors are predicted using the vector autoregressive method.Then,the investment strategies linked with liability selection and investors' wealth come to optimization by means of multi-period stochastic programming. References | Related Articles | Metrics

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The Empirical Study on Multi-Factor Pricing Model Based on Liquidity Risk LU Jing, TANG Xiao-wo 2006, (5):  45-51.  Abstract ( 2880 )   PDF (2527KB) ( 2677 )   Save The paper studies the effect liquidity risk of the on stock pricing base on multi-factor assets pricing model.Provided that liquidity being regarded as compensation of stock returns,stock expected returns will relate with stock's liquidity risk and market portfolio's liquidity risk.Liquidity has somewhat prediction effects.The present illiquidity stock will be of illiquidity in the future,and its expected returns will be high. References | Related Articles | Metrics

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The Research on Overall Efficiency of Chinese Commercial Banks Based on DEA Approach CHI Guo-tai, YANG De, WU Shan-shan 2006, (5):  52-61.  Abstract ( 2464 )   PDF (2531KB) ( 2297 )   Save Based on the non-Archimedian infinite model C2R of the Data Envelopment Analysis,combined with characteristics of Chinese mainland banks' inputs and outputs,the paper sets up an index system of inputs and outputs as well as an overall efficiency evaluation model for Chinese banks,which considers not only the profit ability,but also the control capacity of banks risk.The overall efficiency values of Chinese banks are given respectively based on the samples of state-owned banks and 14 integrated samples both state owned banks and stock banks.The input redundancy of labor,net value fixed assets,operating expenses,owner's equity and output deficiency of operating income,total increase in deposits,total increase in loans,ROE,decrease in bad debts ratio,are also calculated.The contributions and characteristics of the paper are:1) the bad debt ratio is used to reflect the quality of the outputs,which is an improvement to the current literature of neglecting the difference in loans quality;2)the inefficiency reasons of banks are listed out by quantitative analysis,and the pertinent macro strategies and concrete measures on improving banks efficiency are given;3) Combining both state owned banks and stock banks as a whole group of efficiency evaluation shows the real efficiency distance between two different kinds of banks. References | Related Articles | Metrics

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Optimal Ordering Model for Multi-Products with CVaR Constraints ZHOU Yan-ju, QIU Wan-hua, WANG Zong-run 2006, (5):  62-67.  Abstract ( 1967 )   PDF (2657KB) ( 1974 )   Save Multi-products ordering decision is often made conventionally,lacking of putting the risk under control,by the expected cost reduction or the expected profit improvement under the stochastic environment,which didn't conform to the real decision-making process.Based on analyzing some similar characteristics between portfolio and product combination,the paper proposed an optimal ordering model for multi-products with conditional value-at-risk(CVaR) which is used popularly in the field of financial engineering.The model is then tested by simulative data,the outcome of which follows four fundamental rules for profit-risk decision-making completely.Moreover the model can be formulated as a linear programming problem which is solved by the technique software easily. References | Related Articles | Metrics

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Integrated Static Modeling of Airline Seat Inventory Control and Overbooking ZHU Jin-fu, LIU Wei, GAO Qiang 2006, (5):  68-72.  Abstract ( 2098 )   PDF (860KB) ( 2375 )   Save The integrated static modeling of seat inventory control and overbooking for airline revenue management was studied in this paper.Firstly,a simple overbooking equation was given for single-leg single-class seat inventory flight,with seat reservation process simulated as queuing process and maximized flight revenue as objective function.Secondly,the idea was extended to multi-class seat inventory situation by using dynamic program to build integrated static model of seat inventory control and overbooking.After two theorems were proved,optimal seat reservation decision equations of each level seat inventory were obtained.Finally,an instance was analyzed to show the utilization of the decision equations. References | Related Articles | Metrics

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Integrated Process Planning and Scheduling with Maximizing the Weighted Number of Whole set orders ZHOU Shui-yin, SHENG Pei-feng 2006, (5):  73-80.  Abstract ( 2143 )   PDF (2136KB) ( 1510 )   Save In this paper,we propose an integrated process planning and scheduling model with maximizing the weighted number of whole set orders,one of the most important merits of this model is for supporting the global optimization.This paper has added such consideration: precedence constraints between operations in the same job,transition time and setup time.Then we propose a 0-1 integer progra ming model,and design a heuristic approach based on GA.Anumeric example is given in the end of the text to prove the efficiency of the algorithm which has been designed to solve the whole set order problem in the text. References | Related Articles | Metrics

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Real Options on Diversified Investment under Agency Conflicts PENG Cheng, LIU Xing 2006, (5):  81-86.  Abstract ( 1887 )   PDF (2270KB) ( 1797 )   Save This paper establishes diversified investment models of debt-financed firms aiming aim at maximizing equity value and firm value respectively.After comparing investment decisions under these two different objectives,it analyzes the non-optimization problem resulted from conflicts between equity-holders and debt-holders.The results reveal that,if there is no debt risk before and after diversified investment,those investment decisions maximizing equity value would maximize firm value at the same time.If investment could shift risk free debt to risk debt,equity-holders would over-invest in diversification projects.If there is debt risk before and after diversification,the firm would under-invest in diversification projects. References | Related Articles | Metrics

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Pricing Analysis in Retailers Competing Model LIN Zhi-bing, CAI Chen, XU Bao-guang 2006, (5):  87-90.  Abstract ( 2139 )   PDF (1452KB) ( 2194 )   Save This article analyses increment services affecting the optimal retail price and the market demand based on two retailers competing,then extends it to multi-retailer,and gets the parameters that make every retailer of the competing system to be optimal in profit,also gets the super limit of the price vector fluctuation.The conclusion is helpful for each side of supply chain to grasp the stability of the market. References | Related Articles | Metrics

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Evaluation on Relative Efficiency Validity of Medicine Industry Companies Based on Mixed DEA Model FU Yu-wei, YIN Hang, YANG Gui-bin 2006, (5):  91-97.  Abstract ( 2109 )   PDF (2407KB) ( 1613 )   Save The DEA model is widely used to evaluate the relative efficiency as a kind of objective decision method with multiple indexes,but the two basic models,the C2R model and the C2GS2 model,which are frequently used at present,meet limitations while they are used alone,the evaluation results are often unsatisfactory.In order to solve this problem,a mixed DEA model has been built in this paper,and it is used to evaluate the validity of the business efficiency of listed companies.At the same time,the paper explains how to use this mixed DEA model,and has verified the feasibility and rationality of the model. References | Related Articles | Metrics

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Study on the Enterprise's Product Innovation Diffusion and Adopter's Behavior Decision Patterns ZHAO Xin-gang, YAN Yao-min, GUO Shu-dong 2006, (5):  98-103.  Abstract ( 2096 )   PDF (1311KB) ( 1716 )   Save Based on the SIR models,in this paper the authors make a study on the determinants of adoption at the individual level and the behavior selection patterns in product innovation diffusion process by using the information economics theory and draw some important conclusions of promoting the product innovation diffusion at the same time. References | Related Articles | Metrics

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Building Default Discriminating NN Model on Firm's Short-Term-Loan Data-Considering Qualitative Indexes and Misclassification Loss GUO Jian-wei, TANG Chun-yang, FENG Zong-xian 2006, (5):  104-108.  Abstract ( 2210 )   PDF (659KB) ( 1524 )   Save To date,using models to predict whether firm's default is still a problem.It shows as follows: a. most models using pair wise pattern;b. lack of qualitative indexes that affect firm's default;c. asymmetric misclassification loss between normal firm and default firm.So,introducing qualitative indexes,using all samples and considering misclassification loss,this paper builds a neural network model on short-term-loan data.Though training,and testing,its performance is good. References | Related Articles | Metrics

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Analysis of a Game with Bounded Rationality in Oligopoly Market ZHANG Ji-xiang, DA Qing-li, WANG Yan-hua 2006, (5):  109-113.  Abstract ( 2276 )   PDF (1590KB) ( 2187 )   Save Based on the players with bounded rationality,the game model is built to analyze a nonlinear duopoly game with heterogeneous players and different functions of cost.The existence and stability of the Nash equilibrium of this system are studied.The complex dynamics, bifurcations,strange attractor and chaos are displayed by simulating numerically and the largest Lyapunov exponents are computed.We show thatenterprise's expectations have an impact on the result of duopoly game. The conclusions provide enterprise with theories of output decision-making in chaotic market. References | Related Articles | Metrics

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Study on the Nash Equilibrium of Duopoly Strategy Output-Making Based on Bounded Knowledge and Bounded Rationality FANG Zhi-geng, LIU Si-feng, LI Yuan-nian, CUI Jiang-tao 2006, (5):  114-120.  Abstract ( 2038 )   PDF (2174KB) ( 1723 )   Save The most fatal flaw of the classic Cournot oligarch model and the related oligarch output-making competition model at present is that the assumption for the goal of oligarch,the assumption for time-order and the assumption for bounded rationality and bounded knowledge are all badly different from reality.In this paper,according to the new game condition assumption,a descriptive game structure model is constructed which has a stronger adjustability to practical decision-making conditions.This model can make a perfect description for the strategy output-making decision-making problem which has the first-knowing game player between the leading manufacturer and the subordinate manufacturer in reality.And it has been proved that the classic Cournot game model is a case of this model.On the basis of the above mentioned,in this paper it is proved that competition strategy is a kind of Nash equilibrium of duopoly output-making competition based on strategy benefit,and also the accumulation point equilibrium of duopoly strategy adjusting is found.Further more,the damping Nash equilibrium of the first decision-making oligarch which contains strategy expanded damping conditions is discovered,and the con structive demonstration and simulation example are also given in the paper. References | Related Articles | Metrics

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The Mode Decision on Merger of Firms with the Characteristic of Network Externality CHENG Gui-sun, CHEN Hong-min, SUN Wu-jun 2006, (5):  121-127.  Abstract ( 2068 )   PDF (1609KB) ( 1564 )   Save The paper builds the merger models for the industrial structures of upstream duopoly with downstream oligopoly and upstream and downstream oligopoly with the characteristic of network externality respectively,and studies the game equilibrium when the firms take the horizontal and vertical merging as the strategy variables.The conclusions show the mode decisions have not been affected by the degree of network externality under the industrial structure of upstream duopoly with downstream oligopoly,but affected by the degree of network under the industrial structure of upstream and downstream duopoly.Furthermore,the paper shows the conflicts of interest between the firms and the government in the merger mode decision. References | Related Articles | Metrics

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Study on an Instrument to Measure Knowledge Management Processes: Development,Purification and Test HAN Wei-he, LI Hao, ZHONG Qiu-yan 2006, (5):  128-136.  Abstract ( 2246 )   PDF (2454KB) ( 2695 )   Save An increasing number of attentions to knowledge management are paid by practitioner and scholars.It is becoming important how to measure knowledge management processes.Based on the classification of knowledge management processes,an instrument to measure knowledge creation,organization,transfer,and application is developed.Pretest,pilot test,and survey are implemented to purify the items.Reliability and validity of the instrument are tested empirically.Four dimensions consisted of 47 items are included in the final instrument.The theoretical and practical implications of this study are discussed. References | Related Articles | Metrics

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An Empirical Study on Management Level,Career Experience and Project Performance YANG Ren-fei, CHEN Xiao-peng, TONG Yun-huan 2006, (5):  137-142.  Abstract ( 2130 )   PDF (1219KB) ( 1458 )   Save Based on the data from questionnaire in 2005,this paper launches an empirical study of the impact of management level difference and career experience difference of management teams on the performance of project during the course of new technology commercialization.The results found that the ampler the career experience of the management team is,the better the performance of project is,but the difference of administration level of project principals measured in the firm has no particular difference on the success of new technology commercialization. This result differs from the existing conclusions out of China.Finally,the paper presents some simple analysis about the possible reasons for the difference. References | Related Articles | Metrics

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Research on the Technological Innovation Population Evolution Based on Ecology HUANG Lu-cheng, ZHANG Hong-cai 2006, (5):  143-148.  Abstract ( 2059 )   PDF (1114KB) ( 1664 )   Save The technological innovation population is the sel of technological innovation organizations in the industry.Based on the ecology,the paper analysis the process of technological innovation population evolution in the communication manufacturing industry. References | Related Articles | Metrics