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Article: Optimal financing and dividend strategies in a dual model with proportional costs
Title | Optimal financing and dividend strategies in a dual model with proportional costs | ||||||||||||
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Authors | |||||||||||||
Keywords | Dividend payment Equity issuance Hamilton-Jacobi-Bellman equation Optimal strategy Proportional transaction costs The dual risk model | ||||||||||||
Issue Date | 2010 | ||||||||||||
Publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htm | ||||||||||||
Citation | Journal Of Industrial And Management Optimization, 2010, v. 6 n. 4, p. 761-777 How to Cite? | ||||||||||||
Abstract | We consider the optimal control problem with dividend payments and issuance of equity in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. Assuming proportional transaction costs, we aim at finding optimal strategy which maximizes the expected present value of the dividends payout minus the discounted costs of issuing new equity before bankruptcy. By adopting some of the techniques and methodologies in LØkka and Zervos (2008), we construct two categories of suboptimal models, one is the ordinary dual model without issuance of equity, the other one assumes that, by issuing new equity, the company never goes bankrupt. We identify the value functions and the optimal strategies corresponding to the suboptimal models in two different cases. For exponentially distributed jump sizes, closed-form solutions are obtained. | ||||||||||||
Persistent Identifier | http://hdl.handle.net/10722/135507 | ||||||||||||
ISSN | 2021 Impact Factor: 1.411 2020 SCImago Journal Rankings: 0.325 | ||||||||||||
ISI Accession Number ID |
Funding Information: This work was supported by the Research Grants Council of the Hong Kong Special Administrative Region, China (project No. HKU 754008H), National Natural Science Foundation of China (10971068, 70871058), National Basic Research Program of China (973 Program) under grant number 2007CB814904 and Program for New Century Excellent Talents in University (NCET-09-0356) and the Fundamental Research Funds for the Central Universities. | ||||||||||||
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DC Field | Value | Language |
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dc.contributor.author | Yao, D | en_HK |
dc.contributor.author | Yang, H | en_HK |
dc.contributor.author | Wang, R | en_HK |
dc.date.accessioned | 2011-07-27T01:36:10Z | - |
dc.date.available | 2011-07-27T01:36:10Z | - |
dc.date.issued | 2010 | en_HK |
dc.identifier.citation | Journal Of Industrial And Management Optimization, 2010, v. 6 n. 4, p. 761-777 | en_HK |
dc.identifier.issn | 1547-5816 | en_HK |
dc.identifier.uri | http://hdl.handle.net/10722/135507 | - |
dc.description.abstract | We consider the optimal control problem with dividend payments and issuance of equity in a dual risk model. Such a model might be appropriate for a company that specializes in inventions and discoveries, which pays costs continuously and has occasional profits. Assuming proportional transaction costs, we aim at finding optimal strategy which maximizes the expected present value of the dividends payout minus the discounted costs of issuing new equity before bankruptcy. By adopting some of the techniques and methodologies in LØkka and Zervos (2008), we construct two categories of suboptimal models, one is the ordinary dual model without issuance of equity, the other one assumes that, by issuing new equity, the company never goes bankrupt. We identify the value functions and the optimal strategies corresponding to the suboptimal models in two different cases. For exponentially distributed jump sizes, closed-form solutions are obtained. | en_HK |
dc.language | eng | en_US |
dc.publisher | American Institute of Mathematical Sciences. The Journal's web site is located at http://aimsciences.org/journals/jimo/description.htm | en_HK |
dc.relation.ispartof | Journal of Industrial and Management Optimization | en_HK |
dc.rights | Journal of Industrial and Management Optimization. Copyright © American Institute of Mathematical Sciences. | - |
dc.subject | Dividend payment | en_HK |
dc.subject | Equity issuance | en_HK |
dc.subject | Hamilton-Jacobi-Bellman equation | en_HK |
dc.subject | Optimal strategy | en_HK |
dc.subject | Proportional transaction costs | en_HK |
dc.subject | The dual risk model | en_HK |
dc.title | Optimal financing and dividend strategies in a dual model with proportional costs | en_HK |
dc.type | Article | en_HK |
dc.identifier.openurl | http://library.hku.hk:4550/resserv?sid=HKU:IR&issn=1547-5816&volume=6&issue=4&spage=761&epage=777&date=2010&atitle=Optimal+financing+and+dividend+strategies+in+a+dual+model+with+proportional+costs | - |
dc.identifier.email | Yang, H: hlyang@hku.hk | en_HK |
dc.identifier.authority | Yang, H=rp00826 | en_HK |
dc.description.nature | link_to_subscribed_fulltext | - |
dc.identifier.doi | 10.3934/jimo.2010.6.761 | en_HK |
dc.identifier.scopus | eid_2-s2.0-77957788947 | en_HK |
dc.identifier.hkuros | 187198 | en_US |
dc.relation.references | http://www.scopus.com/mlt/select.url?eid=2-s2.0-77957788947&selection=ref&src=s&origin=recordpage | en_HK |
dc.identifier.volume | 6 | en_HK |
dc.identifier.issue | 4 | en_HK |
dc.identifier.spage | 761 | en_HK |
dc.identifier.epage | 777 | en_HK |
dc.identifier.isi | WOS:000281813300004 | - |
dc.publisher.place | United States | en_HK |
dc.relation.project | Risk Management of Equity-Linked Insurance Products | - |
dc.identifier.scopusauthorid | Yao, D=17436591500 | en_HK |
dc.identifier.scopusauthorid | Yang, H=7406559537 | en_HK |
dc.identifier.scopusauthorid | Wang, R=7405334582 | en_HK |
dc.identifier.issnl | 1547-5816 | - |