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- W2107001486 abstract "We consider a class of optimal consumption and portfolio problem that a corporation faces in which it must pay some debt liability continuously at a given rate due to a previous debt financing, such as bond liability or loan amortization. We model the dynamics of the corporate assets as a diffusion process with controlled drift. In this problem, what the corporation mostly concerns about is how to attain the previously fixed objective assets level in the shortest time, i.e. the objective of the management is to choose the fraction of the total assets invested in the risky asset to minimize the expected time that the corporation first get the previously fixed objective assets. With Bellman dynamic programming principle we find the corresponding optimal policy and the corresponding optimal expected time. We also give some numerical cases for the problem." @default.
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- W2107001486 date "2007-06-01" @default.
- W2107001486 modified "2023-09-25" @default.
- W2107001486 title "Optimal Investment Policy on Consumption and Portfolio Problem for Companies with Debts" @default.
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- W2107001486 doi "https://doi.org/10.1109/icsssm.2007.4280132" @default.
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