Liquidity management with decreasing returns to scale and secured credit line |
| |
Authors: | Erwan Pierre Stéphane Villeneuve Xavier Warin |
| |
Institution: | 1.EDF Lab Paris-Saclay,Palaiseau,France;2.Toulouse School of Economics (CRM-IDEI),Toulouse,France;3.EDF Lab Paris-Saclay & FiME,Laboratoire de Finance des Marchés de l’Energie,Palaiseau,France |
| |
Abstract: | This paper examines the dividend and investment policies of a cash constrained firm, assuming a decreasing-returns-to-scale technology and adjustment costs. We extend the literature by allowing the firm to draw on a secured credit line both to hedge against cash-flow shortfalls and to invest/disinvest in a productive asset. We formulate this problem as a two-dimensional singular control problem and use both a viscosity solution approach and a verification technique to get qualitative properties of the value function. We further solve quasi-explicitly the control problem in two special cases. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|