Optimal dividend distribution under Markov regime switching
Work
Year: 2012
Type: article
Abstract: 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 positiv... more
Source: Finance and Stochastics
Authors Zhengjun Jiang, Martijn Pistorius
Institutions Beijing Normal University - Hong Kong Baptist University United International College, Beijing Normal University, Hong Kong Baptist University, Imperial College London
Cites: 31
Cited by: 88
Related to: 10
FWCI: 9.101
Citation percentile (by year/subfield): 97.03
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890