Optimal technology investment-dividend strategy for a R&D firm

被引：0
|
作者：
Chen S. [1 ]
Zeng Y. [2 ]
Gu A. [1 ]
机构：
[1] School of Management, Guangdong University of Technology, Guangzhou
[2] Lingnan(University) College, Sun Yat-sen University, Guangzhou
[3] School of Applied Mathematics, Guangdong University of Technology, Guangzhou
来源：
Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2019年 / 39卷 / 06期
基金：
中国国家自然科学基金;
关键词：
Dividend strategy; Dual risk model; R&D firm; Stochastic control; Technology investment;
D O I：
10.12011/1000-6788-2018-0276-13
中图分类号：
学科分类号：
摘要：
This paper considers the optimal technology investment-dividend strategy for a R&D firm in the presence of new technology investment. Supposing that the firm's capital reserve follows a dual risk model and that the firm has a liquidation value when it declares bankruptcy, our objective is to maximize the expected present value of cumulate dividend payments plus liquidation value. Using the theories of mixed singular control and optimal stopping, we explicitly obtain the firm's optimal technology investment-dividend strategy and the optimal value function when its profits are exponentially distributed. Finally, we analyze the effect of model parameters on the firm's optimal strategy and provide some economic insights. © 2019, Editorial Board of Journal of Systems Engineering Society of China. All right reserved.
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页码：1394 / 1406
页数：12
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