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 language | English (US) |
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Pages (from-to) | 230-238 |
Number of pages | 9 |
Journal | Finance Research Letters |
Volume | 16 |
DOIs | |
State | Published - Feb 1 2016 |
Keywords
- Interest rates
- Partial differential equations
ASJC Scopus subject areas
- Finance