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Article dans une revue Finance and Stochastics Année : 2016

Liquidity management with decreasing returns to scale and secured credit line

Résumé

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
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Dates et versions

halshs-01522513, version 1 (15-05-2017)

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Erwan Pierre, Stéphane Villeneuve, Xavier Warin. Liquidity management with decreasing returns to scale and secured credit line. Finance and Stochastics, 2016, 20 (4), pp.809 - 854. ⟨10.1007/s00780-016-0312-4⟩. ⟨halshs-01522513⟩
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