Optimal rates from eigenvalues

Peter Carr and Pratik Worah

Finance Research Letters, 2016, vol. 16, issue C, 230-238

Abstract: A financial portfolio typically pays dividend based on its value. We show that there is a unique portfolio that pays the maximum dividend rate while remaining solvent, under appropriate assumptions. We also give a characterization of both the portfolio and the optimal dividend rate.

Keywords: Interest rates; Partial differential equations (search for similar items in EconPapers)
JEL-codes: C5 C60 G10 G12 (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:16:y:2016:i:c:p:230-238

DOI: 10.1016/j.frl.2015.12.003

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