英文标题：
《Optimal Investment in a Dual Risk Model》
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作者：
Arash Fahim, Lingjiong Zhu
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最新提交年份：
2015
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英文摘要：
Dual risk models are popular for modeling a venture capital or high tech company, for which the running cost is deterministic and the profits arrive stochastically over time. Most of the existing literature on dual risk models concentrated on the optimal dividend strategies. In this paper, we propose to study the optimal investment strategy on research and development for the dual risk models to minimize the ruin probability of the underlying company. We will also study the optimization problem when in addition the investment in a risky asset is allowed.
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中文摘要：
双风险模型是风险投资或高科技公司建模的常用模型，对于这些公司，运行成本是确定的，利润随时间随机到达。关于双重风险模型的现有文献大多集中在最优股利策略上。在本文中，我们提出研究双重风险模型的最优研发投资策略，以最小化标的公司的破产概率。此外，我们还将研究风险资产投资允许时的优化问题。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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