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摘要翻译：
本文研究了存在政权转移的公司的最优股利分配问题。我们考虑一个公司，其累积净收入是由有限状态马尔可夫链调制的带正漂移的布朗运动，并将折现率建模为该链当前状态的确定性函数。在这种情况下，公司的目标是最大化预期的累计贴现股息支付，直到破产时刻，这被视为现金储备（累计净收入减去累计股息支付）第一次为零。我们证明了如果漂移在每个状态都是正的，那么在某些正的依赖于制度的水平上采用阻隔策略是最优的，并给出了值函数作为收缩的不动点的显式刻画。在一个状态下漂移很小且为负的情况下，最优策略采用不同的形式，如果存在两个状态，我们明确地识别了这一形式。我们还提供了最佳势垒的灵敏度和制度转换的影响的数值说明。
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英文标题：
《Optimal dividend distribution under Markov-regime switching》
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作者：
Zhengjun Jiang and Martijn Pistorius
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最新提交年份：
2011
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：General Finance 一般财务
分类描述：Development of general quantitative methodologies with applications in finance
通用定量方法的发展及其在金融中的应用
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英文摘要：
We investigate the problem of optimal dividend distribution for a company in the presence of regime shifts. We consider a company whose cumulative net revenues evolve as a Brownian motion with positive drift that is modulated by a finite state Markov chain, and model the discount rate as a deterministic function of the current state of the chain. In this setting the objective of the company is to maximize the expected cumulative discounted dividend payments until the moment of bankruptcy, which is taken to be the first time that the cash reserves (the cumulative net revenues minus cumulative dividend payments) are zero. We show that, if the drift is positive in each state, it is optimal to adopt a barrier strategy at certain positive regime-dependent levels, and provide an explicit characterization of the value function as the fixed point of a contraction. In the case that the drift is small and negative in one state, the optimal strategy takes a different form, which we explicitly identify if there are two regimes. We also provide a numerical illustration of the sensitivities of the optimal barriers and the influence of regime-switching.
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PDF链接：
https://arxiv.org/pdf/0812.4978
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