具有随机风险的公司最优投资策略  

Optimal Investment Policies for a Firm with a Random Risk Process

作　　者：杨昭军[1,2] 李致中[1] 刘再明[1] 

机构地区：[1]长沙铁道学院科研所 [2]湖南税务高等专科学校,湖南长沙410116

出　　处：《应用数学》2000年第4期5-9,共5页Mathematica Applicata

摘　　要：本文讨论具有随机风险的公司的最优投资策略问题 .公司投资选择是存款、贷款及股票交易 .因市场的不完备性 ,公司在任一时刻均存在概率为正值的破产可能性 .本文主要结果是 :从贷款利率高于存款利率的实际出发 ,运用最优随机控制理论 ,得到使公司生存概率取最大值的最优投资策略 ,以及相应的最大生存概率 。This paper treats optimal investment policies for a firm with a random risk process. The flrm's choice on investment can be savings, loan and stock trading. As a fundamental incompleteness in the market, there is always a positive probability of ruin in the firm. The principal achievements are as follows: According to the fact that the interest rate on loan is higher than the one on savings, we acquire the optimal policies which maximize the survival probability, and this maximal survival probability. Furthermore, we have strictly proved these conclusions are right.

关 键 词：随机控制 受控扩散过程 不完备市场 随机风险 公司 最优投资策略 

分 类 号：F272.3[经济管理—企业管理] O224[经济管理—国民经济]