带有负债和交易费用的股份有限公司最佳融资策略  

Optimal Financing Policies of Incorporated Firm with Debt Liability and Transaction Costs

作　　者：袁继红[1] 刘坤会[1] 

机构地区：[1]北京交通大学理学院,北京100044

出　　处：《北京交通大学学报》2006年第6期65-68,共4页JOURNAL OF BEIJING JIAOTONG UNIVERSITY

摘　　要：考虑在随机环境下运作的带有负债和交易费用的股份有限公司的最佳融资问题,以最大化公司价值的方式找到随时间变化的保留盈余和增发普通股的最佳融资组合,以变分不等式的形式把此问题明确描述为扩散过程的奇异型随机控制问题,并给出其显式解.同时刻划了公司价值函数,并指出最佳控制策略可用两个阈参数来描述:当公司资产降至较低的阈值以下时,公司就保留所有盈余,并按需进行扩股融资;当公司资产超过较高的阈值时,公司就把所有盈余派发为股利,而且不进行扩股融资;当公司资产在此两阈值之间时,公司就保留所有盈余,而且不进行扩股融资.We consider the problem of finding an optimal financing mix of retained earnings and external equity for maximizing the value of an incorporated firm with a debt liability and the transaction costs in a stochastic environment. We formulate the problem as a singular stochastic control for a diffusion process by means of variational inequalities and obtain an explicit solution. We characterize the value function and show that the optimal policy can be characterized in terms of two threshold parameters. With asset level below the lower threshold, the optimal policy is to finance the firm growth by retaining all earnings and raising the required external equity financing. With asset level above the higher threshold, the optimal policy is to pay all retained earnings as dividends and to bring in no new equity. Bctween the two thresholds, the optimal policy is to retain all earnings and not raise any external equity.

关 键 词：随机控制 最佳融资问题 奇异型随机控制 阈型股利派发策略 变分不等式 

分 类 号：O157.1[理学—数学]