Optimal dividend policies with random profitability

Autor: Max Reppen, Jean-Charles Rochet, H. Mete Soner
Přispěvatelé: Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich] (ETH Zürich), Toulouse School of Economics (TSE), Université Toulouse 1 Capitole (UT1), Université Fédérale Toulouse Midi-Pyrénées-Université Fédérale Toulouse Midi-Pyrénées-École des hautes études en sciences sociales (EHESS)-Centre National de la Recherche Scientifique (CNRS)-Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), University of Zurich, Soner, Halil Mete
Jazyk: angličtina
Rok vydání: 2020
Předmět:
Economics and Econometrics
Mathematical optimization
3301 Social Sciences (miscellaneous)
Singular control
2002 Economics and Econometrics
Dividend policy
01 natural sciences
FOS: Economics and business
010104 statistics & probability
2604 Applied Mathematics
Accounting
Bellman equation
0502 economics and business
FOS: Mathematics
0101 mathematics
B- ECONOMIE ET FINANCE
Mathematics - Optimization and Control
Mathematics
1402 Accounting
050208 finance
Applied Mathematics
05 social sciences
[SHS.ECO]Humanities and Social Sciences/Economics and Finance
Mathematical Finance (q-fin.MF)
10003 Department of Banking and Finance
330 Economics
Constraint (information theory)
Dynamic programming
Dividend problem
Bankruptcy
2003 Finance
Optimization and Control (math.OC)
Quantitative Finance - Mathematical Finance
Viscosity solutions
Dividend
Profitability index
Barrier strategy
Social Sciences (miscellaneous)
Finance
Zdroj: Mathematical Finance
Mathematical Finance, 2020, 30 (1), pp.228-259. ⟨10.1111/mafi.12223⟩
Mathematical Finance, 30 (1)
ISSN: 1467-9965
DOI: 10.1111/mafi.12223⟩
Popis: National audience; We study an optimal dividend problem under a bankruptcy constraint. Firms face a trade�off between potential bankruptcy and extraction of profits. In contrast to previous works, general cash flow drifts, including Ornstein–Uhlenbeck and CIR processes, are considered. We provide rigorous proofs of continuity of the value function, whence dynamic programming, as well as comparison between discontinuous sub� and supersolutions of the Hamilton–Jacobi–Bellman equation, and we provide an efficient and convergent numerical scheme for finding the solution. The value function is given by a nonlinear partial differential equation (PDE) with a gradient constraint from below in one direction. We find that the optimal strategy is both a barrier and a band strategy and that it includes voluntary liquidation in parts of the state space. Finally, we present and numerically study extensions of the model, including equity issuance and gambling for resurrection.
Databáze: OpenAIRE
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