NDLI: Optimal risk control and dividend distribution for a financial corporation with policy constraints

Content Provider	IEEE Xplore Digital Library
Author	Choulli, T. Taksar, M. Xun Yu Zhou
Copyright Year	2001
Description	Author affiliation: Dept. of Math. & Stat., Calgary Univ., Alta., Canada (Choulli, T.)
Abstract	We study a model of a corporation which has 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 and 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 affects the optimal policy is revealed. In particular we show that under certain relationship between the constraints and the exogenous parameters of the random processes governing the returns, some business activities might be redundant, i.e., under the optimal policy they will be never used in any scenario.
Sponsorship	IEEE Control Syst. Soc
Starting Page	4559
Ending Page	4564
File Size	356313
Page Count	6
File Format	PDF
ISBN	0780370619
DOI	10.1109/CDC.2001.980922
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2001-12-04
Publisher Place	USA
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Optimal control Companies Mathematics Systems engineering and theory Research and development management Business communication Control systems Finance Statistical distributions Electronic mail
Content Type	Text
Resource Type	Article

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