Not logged in.
Quick Search - Contribution
Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | A non-stationary model of dividend distribution in a stochastic interest-rate setting |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
|
| Journal Title | Computational Economics |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0927-7099 |
| Volume | 47 |
| Number | 3 |
| Page Range | 447 - 472 |
| Date | 2016 |
| Abstract Text | In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional, diffusion setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of dividends (so as to please the shareholders). A dynamic-programming approach is used, where the state variables are the current levels of cash reserves and of the stochastic short-rate, as well as time. This results in a family of Hamilton–Jacobi–Bellman variational inequalities whose solutions must be approximated numerically. To do so, a finite element approximation and a time-marching scheme are employed. |
| Related URLs | |
| Digital Object Identifier | 10.1007/s10614-015-9502-y |
| Other Identification Number | merlin-id:13295 |
| PDF File |
Download from ZORA
|
| Export |
BibTeX
EP3 XML (ZORA)
|