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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion paper ; No. 14
- Klassifikation
-
Wirtschaft
Optimization Techniques; Programming Models; Dynamic Analysis
Payout Policy
- Thema
-
dividend optimization
downside risk
impulse control
jump diffusion
optimal stopping
singular stochastic control
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Alvarez, Luis H. R.
Rakkolainen, Teppo A.
- Ereignis
-
Veröffentlichung
- (wer)
-
Aboa Centre for Economics (ACE)
- (wo)
-
Turku
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Alvarez, Luis H. R.
- Rakkolainen, Teppo A.
- Aboa Centre for Economics (ACE)
Entstanden
- 2007
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