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。
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.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2000年第5期54-57,共4页
Systems Engineering-Theory & Practice
关键词
债务固定
公司最优生存策略
证券
security
portfolio theory
the rate difference on savings and loan
controlled diffusion process
stochastic control
