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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Mathematical Methods of Operations Research,
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- Erhan Bayraktar & Masahiko Egami, 2007. "Optimizing Venture Capital Investments in a Jump Diffusion Model," Papers math/0703823, arXiv.org, revised Jul 2007.
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- repec:spr:compst:v:51:y:2000:i:1:p:1-42 is not listed on IDEAS
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- 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.
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- Luis Alvarez, 1996. "Demand uncertainty and the value of supply opportunities," Journal of Economics, Springer, vol. 64(2), pages 163-175, June.
- 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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