| 债务固定的公司最优投资策略 |
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| 引用本文： | 杨昭军.债务固定的公司最优投资策略[J].系统工程学报,2001,16(2):138-141,155. |
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| 作者姓名： | 杨昭军 |
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| 作者单位： | 湖南大学数学博士后流动站, |
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| 摘 要： | 从贷款利率高于存款利率地实际出了，对单位时间内必须偿还固定数量债务的负债公司，讨论他们极小化破产罚款额贴现值的最优投资策略问题，得到最优策略是公司当前财富净值的分段线性函数。通过比较，可看出存贷利率差异对公司行为的具体影响，影响是显著的。
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| 关 键 词： | 随机控制 最优投资策略 债务 负债公司 存款利率 银行 |
| 文章编号： | 1000-5781(2001)02-0138-04 |
Optimal strategies for company with fixed liabilities |
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| YANG Zhao-jun.Optimal strategies for company with fixed liabilities[J].Journal of Systems Engineering,2001,16(2):138-141,155. |
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| Authors: | YANG Zhao-jun |
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| Abstract: | This paper assumes that loan rate is higher than saving rate, and deal with the issue on minimizing the discounted penalty of bankruptcy for a company which must withdraw funds continuously at a given rate per unit time. We have ac quired optimal policy which is the pathwise linear function of the companyscurrent property. By comparison, we find out the concrete influence of the rate di fference on investors. The influence is remarkable. |
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| Keywords: | security portfolio theory the rate difference of saving and loan controlled diffusion process stochastic control |
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