Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity

DOI10.1007/S11579-013-0110-0zbMATH Open1293.91187OpenAlexW1558180927MaRDI QIDQ2452156FDOQ2452156

Authors: Xavier Warin, Stéphane Villeneuve 

Publication date: 30 May 2014

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/15754/1/OptimalLiquidity_MAFE_sept2013-1.pdf

Recommendations

• Liquidity risk and optimal dividend/investment strategies
• Optimal risk and liquidity management with costly refinancing opportunities
• Dynamic corporate investment and liquidity management under model uncertainty
• Firm behaviour under the threat of liquidation
• A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS

zbMATH Keywords

maximum principleliquidity managementsingular control problemone-dimensional free boundary problem

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Controlling risk exposure and dividends payout schemes: Insurance company example
• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal partially reversible investment with entry decision and general production function
• Optimal dividend policy and growth option

Cited In (4)

• Liquidity risk and instabilities in portfolio optimization
• Dynamic corporate investment and liquidity management under model uncertainty
• Optimal hedge fund portfolios under liquidation risk
• Optimal exit strategies for investment projects

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