2014/11/27 by Erwan Pierre, Stéphane Villeneuve, Pierre, Erwan +3
Economics, Econometrics and Finance · #49L25 #65C05 #Economic theories and models #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #Stochastic processes and financial applications
paper · pdf · doi:10.48550/arxiv.1411.7670
openalex publication_date 2014/11/27 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
This paper examines the dividend and investment policies of a cash\nconstrained firm that has access to costly external funding. We depart from the\nliterature by allowing the firm to issue collateralized debt to increase its\ninvestment in productive assets resulting in a performance sensitive interest\nrate on debt. We formulate this problem as a bi-dimensional singular control\nproblem and use both a viscosity solution approch and a verification technique\nto get qualitative properties of the value function. We further solve\nquasi-explicitly the control problem in two special cases.\n