2010年4月
A unified treatment of dividend payment problems under fixed cost and implementation delays
MATHEMATICAL METHODS OF OPERATIONS RESEARCH
- ,
- 巻
- 71
- 号
- 2
- 開始ページ
- 325
- 終了ページ
- 351
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1007/s00186-009-0292-7
- 出版者・発行元
- SPRINGER HEIDELBERG
In this paper we study the dividend optimization problem for a corporation or a financial institution when the management faces (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root processes. Since the cash flow structure of different companies have different qualitative behaviors, it makes sense to use different diffusions to model them. The delay causes significant difficulties to the optimization problem since the cash reservoir fluctuates during the delay period. We provide a uniform mathematical framework to analyze all the models and provide optimal threshold strategies at which the management initiates actions, i.e., declaration and payment of dividends. Our solution depends on a new characterization of the value function for one-dimensional diffusions and provide easily implementable algorithms to find the optimal control and the value function.
- リンク情報
- ID情報
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- DOI : 10.1007/s00186-009-0292-7
- ISSN : 1432-2994
- Web of Science ID : WOS:000275754800006