Interplay between dividend rate and business constraints for a financial corporation
Choulli, Tahir ; Taksar, Michael ; Zhou, Xun Yu
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1810-1837 / Harvested from Project Euclid
We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corresponding Hamilton–Jacobi–Bellman equation, compute explicitly the optimal return function and determine the optimal policy. As a consequence of these results, the way the dividend rate and business constraints affect the optimal policy is revealed. In particular, we show that under certain relationships between the constraints and the exogenous parameters of the random processes that govern the returns, some business activities might be redundant, that is, under the optimal policy they will never be used in any scenario.
Publié le : 2004-11-14
Classification:  Diffusion model,  dividend distribution,  business constraints,  risk control,  optimal stochastic control,  HJB equation,  91B70,  93E20
@article{1099674079,
     author = {Choulli, Tahir and Taksar, Michael and Zhou, Xun Yu},
     title = {Interplay between dividend rate and business constraints for a financial corporation},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1810-1837},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1099674079}
}
Choulli, Tahir; Taksar, Michael; Zhou, Xun Yu. Interplay between dividend rate and business constraints for a financial corporation. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1810-1837. http://gdmltest.u-ga.fr/item/1099674079/