调整成本与企业最优投融资理论

IF 2 4区计算机科学 Q3 AUTOMATION & CONTROL SYSTEMS

Optimal Control Applications & Methods Pub Date : 2007-10-29 DOI:10.1002/OCA.4660020106

Winston T. Lin

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引用次数: 3

摘要

为了分析现值最大化企业的投融资决策，提出了一个明确考虑投融资调整成本影响的动态最优控制模型。该模型受权益-资本形成和线性齐次收益-投资可能性函数的约束，该函数由调整成本函数和普通生产函数两部分组成。采用庞特里亚金极大值原理对模型进行求解。该模型得到的主要结果包括:最优投资决策规则、最优投融资计划、企业的长期股权需求以及受调整成本存在影响的长期投融资行为。

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Adjustment costs and the theory of optimal investment and financing of the firm

A dynamic optimal-control based model that explicitly includes the effects of adjustment costs of investment and financing is presented to analyse the investment and financing decisions of a present value-maximizing firm. The model is constrained by an equity-capital formation and a linear homogeneous earnings-investment possibility function composed of two components: an adjustment-cost function and an ordinary production function. Pontryagin's maximum principle is used to solve the model. The main results derived from the model include an optimal investment decision rule, an optimal investment-financing plan, the long-run equity demand for the firm, and the long-run behaviour of investment and financing as they are affected by the existence of adjustment costs.

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来源期刊

Optimal Control Applications & Methods 工程技术-应用数学

CiteScore

3.90

自引率

11.10%

发文量

108

审稿时长

3 months

期刊介绍： Optimal Control Applications & Methods provides a forum for papers on the full range of optimal and optimization based control theory and related control design methods. The aim is to encourage new developments in control theory and design methodologies that will lead to real advances in control applications. Papers are also encouraged on the development, comparison and testing of computational algorithms for solving optimal control and optimization problems. The scope also includes papers on optimal estimation and filtering methods which have control related applications. Finally, it will provide a focus for interesting optimal control design studies and report real applications experience covering problems in implementation and robustness.