Omega模型下带投资的红利策略研究

The Research on Dividend Strategy with Investment in the Omega Model

  • 摘要: 本文在Omega模型下研究一种带投资的分红策略, 即当盈余超过边界时, 用部分超额收益作为红利直接分发, 另一部分则作为投资资本进行多阶段动态投资, 在特定时刻将所得收益与投资成本之和作为红利进行分发. 本文在此分红策略下, 最终得到最优动态投资策略以及最优红利策略.

     

    Abstract: This paper considers a dividend strategy with investment in Omega model. If at a potential dividend-payment time the surplus is above , part of the excess are paid as dividends directly, the other part are used as dynamic investment capital, at a particular time, the sum of profits and investment capital will be paid as another dividend. Under this dividend policy, we get the optimal dividend strategy and the optimal portfolio policy.

     

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