Interplay between dividend rate and business constraints for a financial corporation

• 成果类型: Article
• 署名作者: Choulli, T; Taksar, M; Xun, YZ
• 署名单位: University of Alberta; University of Missouri System; University of Missouri Columbia; Chinese University of Hong Kong
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000909
• 发表日期: 2004
• 页码: 1810-1837
• 关键词: diffusion-models; optimal risk; company

摘要

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.