Liquidity risk and optimal dividend/investment strategies |
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Authors: | Etienne Chevalier M’hamed Gaïgi Vathana Ly Vath |
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Institution: | 1.Laboratoire de Mathématiques et Modélisation d’Evry,Université d’Evry,Evry,France;2.ENIT-LAMSIN,University of Tunis El Manar,Tunis,Tunisia;3.Laboratoire de Mathématiques et Modélisation d’Evry, ENSIIE,Evry,France |
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Abstract: | 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. |
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