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Financing policies via stochastic control: a dynamic programming approach

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  • Roy Cerqueti

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  • Roy Cerqueti, 2012. "Financing policies via stochastic control: a dynamic programming approach," Journal of Global Optimization, Springer, vol. 53(3), pages 539-561, July.
    • Handle: RePEc:spr:jglopt:v:53:y:2012:i:3:p:539-561
    DOI: 10.1007/s10898-011-9725-y
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    References listed on IDEAS

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    1. Bryan Stanhouse & Duane Stock, 2008. "Managing the risk of loan prepayments and the optimal structure of short term lending rates," Annals of Finance, Springer, vol. 4(2), pages 197-215, March.
    2. Brennan, Michael J & Schwartz, Edwardo S, 1978. "Corporate Income Taxes, Valuation, and the Problem of Optimal Capital Structure," The Journal of Business, University of Chicago Press, vol. 51(1), pages 103-114, January.
    3. Leland, Hayne E, 1994. "Corporate Debt Value, Bond Covenants, and Optimal Capital Structure," Journal of Finance, American Finance Association, vol. 49(4), pages 1213-1252, September.
    4. Sethi, Suresh P., 1978. "Optimal Equity and Financing Model of Krouse and Lee: Corrections and Extensions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(3), pages 487-505, September.
    5. Jean Tirole, 2006. "The Theory of Corporate Finance," Post-Print hal-00173191, HAL.
    6. Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), 2008. "Computational Methods in Financial Engineering," Springer Books, Springer, number 978-3-540-77958-2, January.
    7. Raffaella Barone & Roy Cerqueti & Anna Quaranta, 2012. "Illegal finance and usurers behaviour," European Journal of Law and Economics, Springer, vol. 34(2), pages 265-277, October.
    8. Charles Kahn & Ben Sopranzetti, 2005. "Bank Consolidation and the Dynamics of Consumer Loan Interest Rates," The Journal of Business, University of Chicago Press, vol. 78(1), pages 99-134, January.
    9. Avinash Dixit, 1989. "Hysteresis, Import Penetration, and Exchange Rate Pass-Through," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 104(2), pages 205-228.
    10. Farid AitSahlia & Yuan-Chyuan Sheu & Panos M. Pardalos, 2008. "Optimal Execution of Time-Constrained Portfolio Transactions," Springer Books, in: Erricos J. Kontoghiorghes & Berç Rustem & Peter Winker (ed.), Computational Methods in Financial Engineering, pages 95-102, Springer.
    11. Krouse, Clement G. & Lee, Wayne Y., 1973. "Optimal Equity Financing of the Corporation," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 8(4), pages 539-563, September.
    12. Leahy, J.V., 1991. "The Optimality of Myopic Behaviour in a Competitive Model of Entry and Exit," Harvard Institute of Economic Research Working Papers 1566, Harvard - Institute of Economic Research.
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    Cited by:

    1. Thomas W. Archibald & Edgar Possani, 2021. "Investment and operational decisions for start-up companies: a game theory and Markov decision process approach," Annals of Operations Research, Springer, vol. 299(1), pages 317-330, April.
    2. Cerqueti, Roy & Quaranta, Anna Grazia & Ventura, Marco, 2016. "Innovation, imitation and policy inaction," Technological Forecasting and Social Change, Elsevier, vol. 111(C), pages 22-30.

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