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| Type | Working Paper |
| Scope | Contributions to practice |
| Title | Optimal risk-exposure management with costly refinancing opportunities |
| Organization Unit | |
| Authors |
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| Language |
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| Institution | University of Zurich |
| Series Name | NCCR FINRISK Working Paper Series |
| Number | 858 |
| Number of Pages | 27 |
| Date | 2013 |
| Abstract Text | In this paper the decisions of a firm's manager, in terms of exposure to a profitable but risky technology, distribution of dividends and (costly) re-injection of cash to ward off bankruptcy are studied. The analysis of the manager's optimal choices is done via a value function whose state variable is the firm's current level of reserves. Contingent on whether proportional or fixed costs of reinvestment are considered, singular stochastic control or stochastic impulse control techniques are used. |
| Official URL | https://www.zora.uzh.ch/93703/ |
| Related URLs | |
| Other Identification Number | merlin-id:9227 |
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