Tuesday May 27, 2021 – 12:15-13:45pm – online
Optimal Firm’s Dividend and Capital Structure for Mean Reverting Performance
Pr. Francesco Menoncin, University of Brescia
Abstract:
We face the problem of a firm’s owner who wants to maximize the inter-temporal expected utility of dividends. The dynamic constraint of the firm is given by the stochastic behavior of firm’s equity whose dynamics is computed from both the accounting identities and the dividend policy. We further assume that the firm profitability (ROI) is a mean reverting stochastic process correlated with the equity. We are able to solve this problem in a quasi-explicit form and we present a calibration to US data for checking the properties of the solution.
Pr. Menoncin is a Professor of Economic Policy at the University of Brescia. He teaches “Market Risk” and “Derivatives and Financial Hedging” at Brescia University. He published many papers and some books about risk management, asset pricing, and dynamic programming applied to optimal portfolio management.