Document de travail

Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line

Erwan Pierre, Stéphane Villeneuve et Xavier Warin

Résumé

This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in productive assets resulting in a performance sensitive interest rate on debt. We formulate this problem as a bi-dimensional singular control problem and use both a viscosity solution approch and a verification tech- nique to get qualitative properties of the value function. We further solve quasi-explicitly the control problem in two special cases.

Mots-clés

Investment; dividend policy; singular control; viscosity solution;

Codes JEL

  • C61: Optimization Techniques • Programming Models • Dynamic Analysis
  • G35: Payout Policy

Remplacé par

Erwan Pierre, Stéphane Villeneuve et Xavier Warin, « Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line », Finance and Stochastics, vol. 20, n° 4, octobre 2016, p. 809–854.

Référence

Erwan Pierre, Stéphane Villeneuve et Xavier Warin, « Liquidity Management with Decreasing-returns-to-scale and Secured Credit Line », TSE Working Paper, n° 14-542, novembre 2014, révision juin 2016.

Voir aussi

Publié dans

TSE Working Paper, n° 14-542, novembre 2014, révision juin 2016