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债务固定的公司最优生存策略
引用本文:杨昭军,李致中. 债务固定的公司最优生存策略[J]. 系统工程理论与实践, 2000, 20(5): 54-57. DOI: 10.12011/1000-6788(2000)5-54
作者姓名:杨昭军  李致中
作者单位:(1)长沙铁道学院科研所;(2)湖南税务高等专科学校
摘    要:在数理金融分析中,通常在存、贷款利率相同的条件下讨论投资者的最优决策问题.实际上存贷利率总有差异对此,本文假设贷款利率高于存款利率,讨论单位时间内必须偿还固定数量债务的负债公司最优生存策略问题,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,可看出利率差异对投资者行为的具体影响,该影响是不可忽视的.

关 键 词:证券  组合选择  存贷利率差  受控扩散过程  随机控制   

The Survival Strategies for a Company with Fixed Liabilities
YANG Zhao-jun,LI Zhi-zhong. The Survival Strategies for a Company with Fixed Liabilities[J]. Systems Engineering —Theory & Practice, 2000, 20(5): 54-57. DOI: 10.12011/1000-6788(2000)5-54
Authors:YANG Zhao-jun  LI Zhi-zhong
Affiliation:(1)Science Research Institute of Changsha Railway University;(2)Hunan Taxation College
Abstract:In mathematical financial analysis, the issues on the optimal strategies of investors are normally treated in the assumption of the identical interest rate on savings and loans. The saving and loan rates, however, vary in reality. Hence, we assume that loan rate is higher than saving rate, and deal with the issue on the survival strategies for a company which must withdraw funds continuously at a given rate per unit time. We have acquired optimal policy which is the pathwise linear function of the company's current property. By comparison, we find out the concrete influence of the rate difference on investors. The influence can not be ignored.
Keywords:security  portfolio theory  the rate difference on savings and loan  controlled diffusion process  stochastic control
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