【摘要】 本文在指数效用函数的假设条件下,讨论具有随机风险的企业,极大化期望终止效用的最优投资策略问题。企业投资选择是储蓄、贷款及风险投资(如购买股票)交易。本文主要结果是:从贷款利率高于存款利率的实际出发,运用随机最优控制理论,对于具有随机风险的企业,得到使企业期望终止效用取最大值的最优投资策略,并对这些结果给出了应用举例。更多还原

【Abstract】 Under the assumption of exponent utility, this paper treats optimal investment policies of a firm with a random risk process. The firm’s choice on investment can be savings, loan and trading of risky asset. 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 that maximize the expectation of terminal utility. Furthermore, we present an example of application in the end.更多还原