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Optimal investment policy

 

作者: MARIO LEFEBVRE,  

 

期刊: International Journal of Systems Science  (Taylor Available online 1987)
卷期: Volume 18, issue 1  

页码: 75-81

 

ISSN:0020-7721

 

年代: 1987

 

DOI:10.1080/00207728708963949

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

This paper deals with a system of two linear ordinary differential equations representing the rate of change with respect to time of the liquid and the non-liquid assets of a company. These equations involve a control variable that gives the rate at which the company invests. The objective is to find the investment policy that will maximize the minimal value taken by the liquid assets, assuming that the company remains in business forever. The actual value of the minimal liquid assets obtained by using this optimal policy is also determined.

 

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