论文标题
关于联合周期性和非凡股息策略的最佳性
On the optimality of joint periodic and extraordinary dividend strategies
论文作者
论文摘要
在本文中，我们通过布朗动议对冒险业务的现金盈余（或权益）进行建模。业主可以以“股息”的形式从盈余中取出现金，但要承担交易成本。但是，如果盈余达到0，则会发生毁灭，并且业务将无法再运作。 我们考虑两种类型的股息分布：（i）定期，常规分布（即，根据特定的到达过程，只有可计数的时间点才能支付股息）； （ii）可以随时立即进行的特殊股息支付（即，股息决策时间空间是连续的，并且与盈余过程相匹配）。两种类型的股息都吸引了比例交易成本，而且非凡的分布也吸引了固定的交易成本，这是一个现实的功能。涉及两种类型的分布（周期性和非凡）的股息策略都被称为“混合”。 我们确定了哪些策略（周期性，直接或混合动力）是最佳的，也就是说，我们表明哪些策略是最大程度地提高所支付的股息的预期现代价值，直到毁了交易成本。有时，清算策略（支付所有款项并停止该过程）是最佳的。哪种策略是最佳的，取决于业务的盈利能力以及（比例和固定）交易成本的水平。结果说明了结果。
In this paper, we model the cash surplus (or equity) of a risky business with a Brownian motion. Owners can take cash out of the surplus in the form of "dividends", subject to transaction costs. However, if the surplus hits 0 then ruin occurs and the business cannot operate any more. We consider two types of dividend distributions: (i) periodic, regular ones (that is, dividends can be paid only at countable many points in time, according to a specific arrival process); and (ii) extraordinary dividend payments that can be made immediately at any time (that is, the dividend decision time space is continuous and matches that of the surplus process). Both types of dividends attract proportional transaction costs, and extraordinary distributions also attracts fixed transaction costs, a realistic feature. A dividend strategy that involves both types of distributions (periodic and extraordinary) is qualified as "hybrid". We determine which strategies (either periodic, immediate, or hybrid) are optimal, that is, we show which are the strategies that maximise the expected present value of dividends paid until ruin, net of transaction costs. Sometimes, a liquidation strategy (which pays out all monies and stops the process) is optimal. Which strategy is optimal depends on the profitability of the business, and the level of (proportional and fixed) transaction costs. Results are illustrated.
