Arbeitspapier
Optimal Dividend Control in Presence of Downside Risk
We analyze the determination of a value maximizing dividend policy for a broad class of cash flow processes modelled as spectrally negative jump diffusions. We extend previous results based on continuous diffusion models and characterize the value of the optimal dividend policy explicitly. Utilizing this result, we also characterize explicitly the values as well as the optimal dividend thresholds for a class of associated optimal stopping and sequential impulse control problems. Our results indicate that both the value as well as the marginal value of the optimal policy are increasing functions of policy flexibility in the discontinuous setting as well.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion paper ; No. 14
- Classification
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Payout Policy
- Subject
-
dividend optimization
downside risk
impulse control
jump diffusion
optimal stopping
singular stochastic control
- Event
-
Geistige Schöpfung
- (who)
-
Alvarez, Luis H. R.
Rakkolainen, Teppo A.
- Event
-
Veröffentlichung
- (who)
-
Aboa Centre for Economics (ACE)
- (where)
-
Turku
- (when)
-
2007
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Alvarez, Luis H. R.
- Rakkolainen, Teppo A.
- Aboa Centre for Economics (ACE)
Time of origin
- 2007
Other Objects (12)
Optimal portfolios with bounded downside risks
Optimal portfolios with bounded downside risks
Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions
Optimal dividend payout under stochastic discounting
Optimal Dividend Payout under Stochastic Discounting
Optimal Dividend Policy In Discrete Time
Downside-orientiertes Portfoliomanagement
Crises, downside up
A Dynamic Asset Allocation Model with Downside Risk Control
Optimal dividend distribution under Markov regime switching
Dividend announcements reconsidered dividend changes versus dividend surprises
Dividend announcements reconsidered: Dividend changes versus dividend surprises
Optimal portfolios with bounded downside risks
Optimal portfolios with bounded downside risks
Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions
Optimal dividend payout under stochastic discounting
Optimal Dividend Payout under Stochastic Discounting
Optimal Dividend Policy In Discrete Time
Downside-orientiertes Portfoliomanagement
Crises, downside up
A Dynamic Asset Allocation Model with Downside Risk Control
Optimal dividend distribution under Markov regime switching
Dividend announcements reconsidered dividend changes versus dividend surprises
Dividend announcements reconsidered: Dividend changes versus dividend surprises
Optimal portfolios with bounded downside risks
Optimal portfolios with bounded downside risks
Determining risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control in the presence of trading frictions
Optimal dividend payout under stochastic discounting
Optimal Dividend Payout under Stochastic Discounting
Optimal Dividend Policy In Discrete Time
Downside-orientiertes Portfoliomanagement
Crises, downside up
A Dynamic Asset Allocation Model with Downside Risk Control
Optimal dividend distribution under Markov regime switching
Dividend announcements reconsidered dividend changes versus dividend surprises