Liquidity risk and optimal dividend/investment strategies
DOI10.1007/S11579-016-0173-9zbMATH Open1404.91243OpenAlexW2399635492MaRDI QIDQ506385FDOQ506385
Authors: Etienne Chevalier, Vathana Ly Vath, M'hamed Gaigi 
Publication date: 31 January 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11579-016-0173-9
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liquidity constraintsstochastic controlviscosity solutiondividend problemoptimal singular/switching problem
Portfolio theory (91G10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
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Cited In (9)
- Optimal risk and liquidity management with costly refinancing opportunities
- Optimal harvesting under marine reserves and uncertain environment
- An optimal dividend and investment control problem under debt constraints
- Optimal dividend and capital structure with debt covenants
- Liquidity management with decreasing returns to scale and secured credit line
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- A mixed singular/switching control problem for a dividend policy with reversible technology investment
- On a mixed singular/switching control problem with multiple regimes
- Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
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