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dc.contributor.authorVilleneuve, Stéphane
dc.contributor.authorWarin, Xavier
dc.date.accessioned2014-01-17T15:26:41Z
dc.date.available2014-01-17T15:26:41Z
dc.date.issued2014
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/12476
dc.language.isoenen
dc.subjectLiquidity managementen
dc.subjectSingular control problemen
dc.subjectOne-dimensional free boundary problemen
dc.subjectMaximum principleen
dc.subject.ddc332en
dc.subject.classificationjelG32en
dc.subject.classificationjelG31en
dc.subject.classificationjelG33en
dc.subject.classificationjelG35en
dc.titleOptimal Liquidity management and Hedging in the presence of a non-predictable investment opportunityen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper, we develop a dynamic model that captures the interaction between a firm’s cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash-flow stream. The firm has a non-predictable growth opportunity to expand its operation size by paying a sunk cost. When the opportunity is available, the firm can finance it either by cash or by costly equity issuance. We provide an explicit characterization of the firm strategy in terms of investment, hedging, equity issuance and dividend distribution.en
dc.relation.isversionofjnlnameMathematics and Financial Economics
dc.relation.isversionofjnlvol8
dc.relation.isversionofjnlissue2
dc.relation.isversionofjnldate2014
dc.relation.isversionofjnlpages193-227
dc.relation.isversionofdoihttp://dx.doi.org/10.1007/s11579-013-0110-0en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen


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