Optimal rates from eigenvalues

Peter Carr, Pratik Worah

Research output: Contribution to journalArticle

Abstract

A financial portfolio typically pays dividend based on its value. We show that there is a unique portfolio that pays the maximum dividend rate while remaining solvent, under appropriate assumptions. We also give a characterization of both the portfolio and the optimal dividend rate.

Original languageEnglish (US)
Pages (from-to)230-238
Number of pages9
JournalFinance Research Letters
Volume16
DOIs
StatePublished - Feb 1 2016

Keywords

  • Interest rates
  • Partial differential equations

ASJC Scopus subject areas

  • Finance

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