最佳股利政策和增长期权【外文翻译】.doc

外文文献原文
Title: Optimal dividend policy and growth option
Material Source:Springer-Verlag 2006 Author:Jean-Paul Decamps·Stephane Villeneuve
Research on optimal dividend payouts for a cash constrained firm is based on the premise that the firm wants to pay some of its surplus to the shareholders as dividends and therefore follows a dividend policy that maximizes the expected present value of all payouts until bankruptcy. This approach has been used in particular to determine the market value of a firm which, in line with Modigliani and Miller [23], is defined as the present value of the sum of future dividends. In diffusion models, the optimal dividend policy can be determined as the solution of a singular stochastic control problem. In two influential papers, Jeanblanc and Shiryaev [18] and Radner and Shepp [26] assume that the firm exploits a technology defined by a cash generating process that follows a drifted Brownian motion. They show that the optimal dividend policy is characterized by a threshold so that whenever the cash reserve goes above this threshold, the excess is paid out as dividend.
Models that involve singular stochastic controls or mixed singular/regular stochastic controls are now widely used in mathematical finance. Recent contributions have for instance emphasized restrictions imposed by a regulatory agency [25], the interplay between dividend and risk po