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On optimal joint reflective and refractive dividend strategies in spectrally positive Lévy models
Avanzi, Benjamin; Pérez, José-Luis; Wong, Bernard; … - In: Insurance / Mathematics & economics 72 (2017), pp. 148-162
Persistent link: https://www.econbiz.de/10011694419
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Optimal risk and dividend strategies with transaction costs and terminal value
Cheng, Gongpin; Zhao, Yongxia - In: Economic modelling 54 (2016), pp. 522-536
Persistent link: https://www.econbiz.de/10011642298
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On the interface between optimal periodic and continuous dividend strategies in the presence of transaction costs
Avanzi, Benjamin; Tu, Vincent; Wong, Bernard - In: Astin bulletin : the journal of the International … 46 (2016) 3, pp. 709-746
Persistent link: https://www.econbiz.de/10011669766
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Optimal financing and dividend distribution with transaction costs in the case of restricted dividend rates
Zhu, Jinxia - In: Astin bulletin : the journal of the International … 47 (2017) 1, pp. 239-268
Persistent link: https://www.econbiz.de/10011670899
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Early option exercise : never say never
Jensen, Mads Vestergaard; Pedersen, Lasse Heje - In: Journal of financial economics 121 (2016) 2, pp. 278-299
Persistent link: https://www.econbiz.de/10011590728
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Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends
Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - 2023
We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor’s optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while procyclical dividends...
Persistent link: https://www.econbiz.de/10014353707
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Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends
Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - 2023
We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor’s optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while procyclical dividends...
Persistent link: https://www.econbiz.de/10014256795
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Liquidity Premia and Regime-Switching Transaction Costs and Cash Dividends
Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - 2022
We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor's optimal strategy. With reasonably calibrated parameters, we show that counter-cyclical transaction costs substantially raise liquidity premium while pro-cyclical dividends...
Persistent link: https://www.econbiz.de/10014244841
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The effect of regime-switching transaction costs and cash dividends on liquidity premia
Chae, Jiwon; Jang, Bong-Gyu; Kim, Taeyoon - In: International review of financial analysis 93 (2024), pp. 1-13
Persistent link: https://www.econbiz.de/10014543498
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Robust dividend, financing, and reinsurance strategies under model uncertainty with proportional transaction costs
Guan, Guohui; He, Lin; Liang, Zongxia; Liu, Yang; … - In: North American actuarial journal : NAAJ ; leading the … 28 (2024) 2, pp. 261-284
Persistent link: https://www.econbiz.de/10014566476