存在借贷资金的随机资金预算问题研究

Capital Budgeting with Borrowing Money in Stochastic Environment

讨论了企业运用自有资金及银行贷款进行投资时的资金预算问题,与以往的研究不同,本文假设投资支出、年投资收益以及银行贷款都为随机变量,而且,文章的研究并不要求待选的投资项目具有相同的投资期或具有相同的寿命周期.给出了随机环境下净现值收益的期望值模型及期望值目标规划模型,并设计了基于随机模拟的遗传算法,给出了模型的一般解决方法,此外,还提供了两个数值例子,用以说明建模思想,并例证算法的有效性.

Traditional capital budgeting problem is concerned with allocation of financial resources owned by the company itself. However, in practice, companies usually make use of bank loan to make investment. Therefore, in this paper, we discuss the capital budgeting problem when the investment capital comes partially from bank loan. The paper provides two types of expected value models with investment outlays, returns of projects and bank loan to be stochastic variables. A random simulation based genetic algorithm is also designed to provide a general solution for the proposed optimization problems. Moreover, two numerical examples are also provided for the sake of illustration.