Arbeitspapier
Optimal dividend payout under stochastic discounting
Adopting a probabilistic approach we determine the optimal dividend payout policy of a firm whose surplus process follows a controlled arithmetic Brownian motion and whose cash flows are discounted at a stochastic dynamic rate. Dividends can be paid to shareholders at unrestricted rates so that the problem is cast as one of singular stochastic control. The stochastic interest rate is modelled by a Cox-Ingersoll-Ross (CIR) process and the firm's objective is to maximize the total expected ow of discounted dividends until a possible insolvency time. We find an optimal dividend payout policy which is such that the surplus process is kept below an endogenously determined stochastic threshold expressed as a decreasing function r ↦ b(r) of the current interest rate value. We also prove that the value function of the singular control problem solves a variational inequality associated to a second-order, non-degenerate elliptic operator, with a gradient constraint.
- Sprache
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Englisch
- Erschienen in
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Series: Center for Mathematical Economics Working Papers ; No. 636
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
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Optimal dividend
stochastic interest rates
CIR model
singular control
optimal stopping
free boundary problems
- Ereignis
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Geistige Schöpfung
- (wer)
-
Bandini, Elena
De Angelis, Tiziano
Ferrari, Giorgio
Gozzi, Fausto
- Ereignis
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Veröffentlichung
- (wer)
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Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
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Bielefeld
- (wann)
-
2020
- Handle
- URN
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urn:nbn:de:0070-pub-29436842
- Letzte Aktualisierung
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20.09.2024, 08:25 MESZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Bandini, Elena
- De Angelis, Tiziano
- Ferrari, Giorgio
- Gozzi, Fausto
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2020