In this paper, we study the optimal financing problem in the dual model. We introduce a value function which considers both the expected present value of the dividends payout minus the equity issuance and a penalty at...In this paper, we study the optimal financing problem in the dual model. We introduce a value function which considers both the expected present value of the dividends payout minus the equity issuance and a penalty at ruin. In order to get the optimal strategy,two categories of suboptimal models are constructed and studied. Based on these two suboptimal models, we identify the value function and the optimal strategy in the general optimal problem.展开更多
基金Supported by the National Natural Science Foundation of China(Grant No.11361007)the Guangxi Natural Science Foundation(Grant No.2014GXNSFCA118001)+3 种基金the Fostering Project of Dominant Discipline and Talent Team of Shandong Provincial Higher Education Institutionsthe Fostering Project of Dominant Discipline and Talent Team of SDUFEProject of Shandong Provincial Higher Educational Science and Technology Program(Grant Nos.J15LI01J17KA163)
文摘In this paper, we study the optimal financing problem in the dual model. We introduce a value function which considers both the expected present value of the dividends payout minus the equity issuance and a penalty at ruin. In order to get the optimal strategy,two categories of suboptimal models are constructed and studied. Based on these two suboptimal models, we identify the value function and the optimal strategy in the general optimal problem.
