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

DOI10.1007/S11579-013-0110-0MaRDI QIDQ2452156zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

maximum principleliquidity managementsingular control problemone-dimensional free boundary problem

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• Controlling risk exposure and dividends payout schemes: Insurance company example
• Optimal Financing of a Corporation Subject To Random Returns
• Optimal dividend policy and growth option
• Optimal partially reversible investment with entry decision and general production function

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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