最佳股利政策和增长期权【外文翻译】

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1、外文翻译原文OptimaldividendpolicyandgrowthoptionMaterialSource:Springer-Verlag2006Author:Jean-PaulDecamps·StephaneVilleneuveResearchonoptimaldividendpayoutsforacashconstrainedfirmisbasedonthepremisethatthefirmwantstopaysomeofitssurplustotheshareholdersasdividen

2、dsandthereforefollowsadividendpolicythatmaximizestheexpectedpresentvalueofallpayoutsuntilbankruptcy.Thisapproachhasbeenusedinparticulartodeterminethemarketvalueofafirmwhich,inlinewithModiglianiandMiller[23],isdefinedasthepresentvalueofthesumoffuturedivide

3、nds.Indiffusionmodels,theoptimaldividendpolicycanbedeterminedasthesolutionofasingularstochasticcontrolproblem.Intwoinfluentialpapers,JeanblancandShiryaev[18]andRadnerandShepp[26]assumethatthefirmexploitsatechnologydefinedbyacashgeneratingprocessthatfollow

4、sadriftedBrownianmotion.Theyshowthattheoptimaldividendpolicyischaracterizedbyathresholdsothatwheneverthecashreservegoesabovethisthreshold,theexcessispaidoutasdividend.Modelsthatinvolvesingularstochasticcontrolsormixedsingular/regularstochasticcontrolsaren

5、owwidelyusedinmathematicalfinance.Recentcontributionshaveforinstanceemphasizedrestrictionsimposedbyaregulatoryagency[25],theinterplaybetweendividendandriskpolicies[1,3,14],ortheanalysisofhedgingandinsurancedecisions[27].Anewclassofmodelsthatcombinefeature

6、sofbothregularstochasticcontrolandoptimalstoppinghasrecentlyemerged.TworecentpapersinthislineareMiaoandWang[22],whostudytheinteractionsbetweeninvestmentandconsumptionunderincompletemarkets,andHugonnieretal.[16],whofocusonirreversibleinvestmentforarepresen

7、tativeagentinageneralequilibriumframework.Fromamathematicalviewpoint,theproblemweareinterestedinisdifferentandcombinesfeaturesofbothsingularstochasticcontrolandoptimalstopping.Suchmodelsarelessusualincorporatefinanceand,tothebestofourknowledge,onlyGuoandP

8、ham[13]dealtwithsuchanissue.Theseauthorsconsiderafirmhavingtochoosetheoptimaltimetoactivateproductionandthencontrolitbybuyingorsellingcapital.Theirproblemcanbesolvedinatwo-stepformulationwhichconsistsinsolvingthesin