Liquidity risk and optimal dividend/investment strategies
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- 作者：Etienne Chevalier ; M’hamed Gaïgi ; Vathana Ly Vath
- 关键词：Stochastic control ; Optimal singular/switching problem ; Viscosity solution ; Dividend problem ; Liquidity constraints
- 刊名：Mathematics and Financial Economics
- 出版年：2017
- 出版时间：January 2017
- 年：2017
- 卷：11
- 期：1
- 页码：111-135
- 全文大小：
- 刊物类别：Mathematics and Statistics
- 刊物主题：Quantitative Finance; Finance, general; Macroeconomics/Monetary Economics//Financial Economics; Economic Theory/Quantitative Economics/Mathematical Methods; Applications of Mathematics; Statistics for
- 出版者：Springer Berlin Heidelberg
- ISSN：1862-9660
- 卷排序：11
文摘
In this paper, we study the problem of determining an optimal control on the dividend and investment policy of a firm operating under uncertain environment and risk constraints. We allow the company to make investment decisions by acquiring or selling producing assets whose value is governed by a stochastic process. The firm may face liquidity costs when it decides to buy or sell assets. We formulate this problem as a multi-dimensional mixed singular and multi-switching control problem and use a viscosity solution approach. We numerically compute our optimal strategies and enrich our studies with numerical results and illustrations.