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SUMMARY:Optimal dividend policies with random profitability
DTSTART:20171212T120000
DTEND:20171212T130000
DTSTAMP:20260609T231243Z
UID:f82bae43dbc88fb853cefe5203f1d166287175c7e4b3b7dadd518223
CATEGORIES:Conferences - Seminars
DESCRIPTION:Max REPPEN (ETH Zurich)\nWe study an optimal dividend problem 
 under a bankruptcy constraint. Firms face a trade-off between potential ba
 nkruptcy and extraction of profits. In contrast to previous works\, genera
 l cash flow drifts\, including Ornstein–Uhlenbeck and CIR processes\, ar
 e considered. We provide rigorous proofs of continuity of the value functi
 on\, whence dynamic programming\, as well as uniqueness of the solution to
  the Hamilton–Jacobi–Bellman equation\, and study its qualitative prop
 erties both analytically and numerically. The value function is thus given
  by a nonlinear PDE with a gradient constraint from below in one dimension
 . We find that the optimal strategy is both a barrier and a band strategy 
 and that it includes voluntary liquidation in parts of the state space. Fi
 nally\, we present and numerically study extensions of the model\, includi
 ng equity issuance and gambling for resurrection.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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