التفاصيل البيبلوغرافية
| العنوان: |
On the optimality of joint periodic and extraordinary dividend strategies |
| المؤلفون: |
Benjamin Avanzi, Bernard Wong, Hayden Lau |
| بيانات النشر: |
arXiv, 2020. |
| سنة النشر: |
2020 |
| مصطلحات موضوعية: |
FOS: Computer and information sciences, Information Systems and Management, General Computer Science, media_common.quotation_subject, 0211 other engineering and technologies, 02 engineering and technology, Management Science and Operations Research, Statistics - Applications, Industrial and Manufacturing Engineering, Microeconomics, FOS: Economics and business, 0502 economics and business, Economics, FOS: Mathematics, Applications (stat.AP), Mathematics - Optimization and Control, media_common, Transaction cost, 050210 logistics & transportation, 021103 operations research, Arrival process, Present value, 05 social sciences, Equity (finance), Time space, Optimization and Control (math.OC), Modeling and Simulation, Cash, Risk Management (q-fin.RM), Dividend, Profitability index, 93E20, 91G70, 62P05, 91B30, Quantitative Finance - Risk Management |
| الوصف: |
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion (with a drift). Owners can take cash out of the surplus in the form of “dividends”, subject to transaction costs. However, if the surplus hits 0 then ruin occurs and the business cannot operate any more. We consider two types of dividend distributions: (i) periodic, regular ones (that is, dividends can be paid only at countably many points in time, according to a specific arrival process); and (ii) extraordinary dividend payments that can be made immediately at any time (that is, the dividend decision time space is continuous and matches that of the surplus process). Both types of dividends attract proportional transaction costs, but extraordinary distributions also attract fixed transaction costs, which is a realistic feature. A dividend strategy that involves both types of distributions (periodic and extraordinary) is qualified as “hybrid”. We determine which strategies (either periodic, immediate, or hybrid) are optimal, that is, we show which are the strategies that maximise the expected present value of dividends paid until ruin, net of transaction costs. Sometimes, a liquidation strategy (which pays out all monies and stops the process) is optimal. Which strategy is optimal depends on the profitability of the business, and the level of (proportional and fixed) transaction costs. Results are illustrated. |
| DOI: |
10.48550/arxiv.2006.00717 |
| URL الوصول: |
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::13db363e2f64321c68a2691ba80b868a |
| Rights: |
OPEN |
| رقم الانضمام: |
edsair.doi.dedup.....13db363e2f64321c68a2691ba80b868a |
| قاعدة البيانات: |
OpenAIRE |