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The Survival Strategies for a Company with Fixed Liabilities
债务固定的公司最优生存策略

Keywords: security,portfolio theory,the rate difference on savings and loan,controlled diffusion process,stochastic control
证券
,组合选择,存贷利率差,受控扩散过程,随机控制

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Abstract:

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.

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