Publication: A non-stationary model of dividend distribution in a stochastic interest-rate setting
A non-stationary model of dividend distribution in a stochastic interest-rate setting
Date
Date
Date
Citations
Barth, A., Moreno-Bromberg, S., & Reichmann, O. (2016). A non-stationary model of dividend distribution in a stochastic interest-rate setting. Computational Economics, 47(3), 447–472. https://doi.org/10.1007/s10614-015-9502-y
Abstract
Abstract
Abstract
In this paper the solutions to several variants of the so-called dividend-distribution problem in a multi-dimensional, diffusion setting are studied. In a nutshell, the manager of a firm must balance the retention of earnings (so as to ward off bankruptcy and earn interest) and the distribution of dividends (so as to please the shareholders). A dynamic-programming approach is used, where the state variables are the current levels of cash reserves and of the stochastic short-rate, as well as time. This results in a family of Hamilton–J
Additional indexing
Creators (Authors)
- Barth, Andrea
- Moreno-Bromberg, Santiago
- Reichmann, Oleg
Volume
Volume
Volume
Number
Number
Number
Page Range
Page Range
Page Range
Page end
Page end
Page end
Item Type
Item Type
Item Type
In collections
Scope
Scope
Scope
Language
Language
Language
Publication date
Publication date
Publication date
Date available
Date available
Date available
ISSN or e-ISSN
ISSN or e-ISSN
ISSN or e-ISSN
OA Status
OA Status
OA Status
Publisher DOI
Other Identification Number
Other Identification Number
Other Identification Number
Citations
Barth, A., Moreno-Bromberg, S., & Reichmann, O. (2016). A non-stationary model of dividend distribution in a stochastic interest-rate setting. Computational Economics, 47(3), 447–472. https://doi.org/10.1007/s10614-015-9502-y
