In this paper, we consider the optimal asset control of a financial company which can control its liquid reserves by paying dividends and by issuing new equity. We assume that the liquid surplus of the company in the absence of control is modeled by the diffusion model. It is a hot topic to maximize the expected present value of dividends payout minus equity issuance until the time of bankruptcy. We study this problem under consideration of the time value of ruin. By constructing two categories of suboptimal models, one with classical model without equity issuance, and the other which never goes bankrupt by equity issuance, the optimal problem is addressed. At the end, some numerical examples and interesting economic interpretations are presented.
Dai, H., & Tang, C. (2015). Optimal asset control of the diffusion model under consideration of the time value of ruin. Bulletin of the Iranian Mathematical Society, 41(1), 141-158.
MLA
H. Dai; C. Tang. "Optimal asset control of the diffusion model under consideration of the time value of ruin". Bulletin of the Iranian Mathematical Society, 41, 1, 2015, 141-158.
HARVARD
Dai, H., Tang, C. (2015). 'Optimal asset control of the diffusion model under consideration of the time value of ruin', Bulletin of the Iranian Mathematical Society, 41(1), pp. 141-158.
VANCOUVER
Dai, H., Tang, C. Optimal asset control of the diffusion model under consideration of the time value of ruin. Bulletin of the Iranian Mathematical Society, 2015; 41(1): 141-158.
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