债务固定的公司最优投资策略

Optimal strategies for company with fixed liabilities

从贷款利率高于存款利率的实际出发 ,对单位时间内必须偿还固定数量债务的负债公司 ,讨论他们极小化破产罚款额贴现值的最优投资策略问题 ,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 ,可看出存贷利率差异对公司行为的具体影响 。

This paper assumes that loan rate is higher than saving rate, and deal with the issue on minimizing the discounted penalty of bankruptcy 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 is remarkable.