金融公司股利率与经营约束的相互影响
Interplay between dividend rate and business constraints for a financial corporation
摘要：
我们研究了一个企业模型，该模型可以选择不同的生产/经营政策，具有不同的期望利润和风险。在模型中，既有对股利分配率的限制，也有对公司所能承担的风险的限制。目标是最大化总股息分配的预期现值。我们概述了相应的Hamilton-Jacobi-Bellman方程，明确计算最优收益函数，并确定最优策略。作为这些结果的结果，股息率和业务约束的方式影响的最优策略被揭示。特别是，我们表明，在一定的约束条件和外生参数的随机过程，管理回报之间的关系，一些业务活动可能是多余的，也就是说，在最优政策下，他们将永远不会被用于任何情况下。
英文摘要：
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corresponding Hamilton-Jacobi-Bellman equation, compute explicitly the optimal return function and determine the optimal policy. As a consequence of these results, the way the dividend rate and business constraints affect the optimal policy is revealed. In particular, we show that under certain relationships between the constraints and the exogenous parameters of the random processes that govern the returns, some business activities might be redundant, that is, under the optimal policy they will never be used in any scenario.
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