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Chinese Journal of Management Science ›› 2003, Vol. ›› Issue (2): 24-29.

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Stochastic Optimization Model On Firm Valuation

CHEN De-quan1,2, HUANG Min1,2, LIN Ze-fu1,2   

  1. 1. Institute of Policy and Management, Chinese Academy of Science, Beijing 100080, China;
    2. Chinese Science and Technology University, Business school, Anhui Hefei 230026, China
  • Received:2002-08-02 Revised:2003-03-10 Online:2003-04-28 Published:2012-03-06

Abstract: This article studies the value of the firm under the condition of stochastic future net cash flows,and builds up the stochastic optimization model of the firm value.We discuss the firm’s debt capacity and capital structure under certain constraints and fixed risk level,which maximizes the firm’s value.Then we implemented the model into the real world projects.

Key words: net cash flow, capital structure, stochastic process,stochastic programming

CLC Number: