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Pierre, Erwan, Villeneuve, Stéphane
and Warin, Xavier
(2016)
Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line.
Finance and Stochastics, 20 (4).
pp. 809-854.
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Abstract
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We formulate this problem as a bi-dimensional singular control problem and use both a viscosity solution approch and a verification tech- nique to get qualitative properties of the value function. We further solve quasi-explicitly the control problem in two special cases.
| Item Type: | Article |
|---|---|
| Language: | English |
| Date: | October 2016 |
| Refereed: | Yes |
| Uncontrolled Keywords: | Investment, dividend policy, singular control, viscosity solution |
| JEL Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis G35 - Payout Policy |
| Subjects: | B- ECONOMIE ET FINANCE |
| Divisions: | TSE-R (Toulouse), TSM Research (Toulouse) |
| Site: | UT1 |
| Date Deposited: | 30 Jun 2016 07:49 |
| Last Modified: | 02 Apr 2021 15:53 |
| OAI Identifier: | oai:tse-fr.eu:30542 |
| URI: | https://publications.ut-capitole.fr/id/eprint/22183 |
Available Versions of this Item
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Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line. (deposited 04 Jul 2016 08:13)
- Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line. (deposited 30 Jun 2016 07:49) [Currently Displayed]
