Document de travail
Capital Investment and Liquidity Management with collateralized debt
Erwan Pierre, Stéphane Villeneuve et Xavier Warin
n° 841, novembre 2014
Référence
Erwan Pierre, Stéphane Villeneuve et Xavier Warin, « Capital Investment and Liquidity Management with collateralized debt », IDEI Working Paper, n° 841, novembre 2014.
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, « Capital Investment and Liquidity Management with collateralized debt », Finance and Stochastics, vol. 20, n° 4, 2016, p. 809–854.