Interplay between dividend rate and business constraints for a financial corporation

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dc.creatorChoulli, Tahir
dc.creatorTaksar, Michael
dc.creatorZhou, Xun Yu
dc.date2005-03-24
dc.date.accessioned2026-07-07T12:11:12Z
dc.date.available2026-07-07T12:11:12Z
dc.descriptionWe study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The objective is to maximize the expected present value of the total dividend distributions. We outline the corresponding Hamilton-Jacobi-Bellman equation, compute explicitly the optimal return function and determine the optimal policy. As a consequence of these results, the way the dividend rate and business constraints affect the optimal policy is revealed. In particular, we show that under certain relationships between the constraints and the exogenous parameters of the random processes that govern the returns, some business activities might be redundant, that is, under the optimal policy they will never be used in any scenario.
dc.descriptionPublished at http://dx.doi.org/10.1214/105051604000000909 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)
dc.identifierhttps://arxiv.org/abs/math/0503541
dc.identifierhttp://arxiv.org/abs/math/0503541
dc.identifierAnnals of Applied Probability 2004, Vol. 14, No. 4, 1810-1837
dc.identifierdoi:10.1214/105051604000000909
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/210149
dc.subjectProbability
dc.subjectGeneral Finance
dc.subject91B70, 93E20. (Primary)
dc.titleInterplay between dividend rate and business constraints for a financial corporation
dc.typetext

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