Optimal Dividend Control in Presence of Downside Risk
We analyze the determination of a value maximizing dividend policy for a broad class of cash flow processes modelled as spectrally negative jump diffusions. We extend previous results based on continuous diffusion models and characterize the value of the optimal dividend policy explicitly. Utilizing this result, we also characterize explicitly the values as well as the optimal dividend thresholds for a class of associated optimal stopping and sequential impulse control problems. Our results indicate that both the value as well as the marginal value of the optimal policy are increasing functions of policy flexibility in the discontinuous setting as well.
|Date of creation:||Mar 2007|
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- Erhan Bayraktar & Masahiko Egami, 2008.
"Optimizing venture capital investments in a jump diffusion model,"
Mathematical Methods of Operations Research,
Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 67(1), pages 21-42, February.
- Erhan Bayraktar & Masahiko Egami, 2007. "Optimizing Venture Capital Investments in a Jump Diffusion Model," Papers math/0703823, arXiv.org, revised Jul 2007.
- Bar-Ilan, Avner & Perry, David & Stadje, Wolfgang, 2004. "A generalized impulse control model of cash management," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1013-1033, March.
- repec:spr:compst:v:54:y:2001:i:2:p:315-337 is not listed on IDEAS
- Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
- Luis H. R. Alvarez E. & Pekka Matom\"aki & Teppo A. Rakkolainen, 2013. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Papers 1302.4181, arXiv.org.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 2000. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," Econometrica, Econometric Society, vol. 68(6), pages 1343-1376, November.
- Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
- Luis Alvarez, 1996. "Demand uncertainty and the value of supply opportunities," Journal of Economics, Springer, vol. 64(2), pages 163-175, June.
- Luis Alvarez & Jukka Virtanen, 2006. "A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 28(2), pages 373-398, 06.
- repec:spr:compst:v:51:y:2000:i:1:p:1-42 is not listed on IDEAS
- Perry, David & Stadje, Wolfgang, 2000. "Risk analysis for a stochastic cash management model with two types of customers," Insurance: Mathematics and Economics, Elsevier, vol. 26(1), pages 25-36, February. Full references (including those not matched with items on IDEAS)
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