On the optimality of joint periodic and extraordinary dividend strategies

Benjamin Avanzi, Hayden Lau and Bernard Wong

European Journal of Operational Research, 2021, vol. 295, issue 3, 1189-1210

Abstract: 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.

Keywords: Risk analysis; Dividend decision processes; Control; Affine transaction costs (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:295:y:2021:i:3:p:1189-1210

DOI: 10.1016/j.ejor.2021.04.033

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