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

Fingerprint

Dividends
Eigenvalues
Optimal dividends

Keywords

  • Interest rates
  • Partial differential equations

ASJC Scopus subject areas

  • Finance

Cite this

Optimal rates from eigenvalues. / Carr, Peter; Worah, Pratik.

In: Finance Research Letters, Vol. 16, 01.02.2016, p. 230-238.

Research output: Contribution to journalArticle

Carr, Peter ; Worah, Pratik. / Optimal rates from eigenvalues. In: Finance Research Letters. 2016 ; Vol. 16. pp. 230-238.
@article{47b3e760d8b44799b1218a648511adf9,
title = "Optimal rates from eigenvalues",
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.",
keywords = "Interest rates, Partial differential equations",
author = "Peter Carr and Pratik Worah",
year = "2016",
month = "2",
day = "1",
doi = "10.1016/j.frl.2015.12.003",
language = "English (US)",
volume = "16",
pages = "230--238",
journal = "Finance Research Letters",
issn = "1544-6123",
publisher = "Elsevier BV",

}

TY - JOUR

T1 - Optimal rates from eigenvalues

AU - Carr, Peter

AU - Worah, Pratik

PY - 2016/2/1

Y1 - 2016/2/1

N2 - 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.

AB - 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.

KW - Interest rates

KW - Partial differential equations

UR - http://www.scopus.com/inward/record.url?scp=84952949157&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84952949157&partnerID=8YFLogxK

U2 - 10.1016/j.frl.2015.12.003

DO - 10.1016/j.frl.2015.12.003

M3 - Article

VL - 16

SP - 230

EP - 238

JO - Finance Research Letters

JF - Finance Research Letters

SN - 1544-6123

ER -