Download This PaperOptimal Rates from Eigenvalues
11 Pages Posted: 2 May 2015
Date Written: April 29, 2015
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.
Suggested Citation: Suggested Citation
Carr, Peter P. and Worah, Pratik, Optimal Rates from Eigenvalues (April 29, 2015). NYU Tandon Research Paper No. 2600683, Available at SSRN: https://ssrn.com/abstract=2600683 or http://dx.doi.org/10.2139/ssrn.2600683
Peter P. Carr
New York University Finance and Risk Engineering ( email )
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Brooklyn, NY 11201
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HOME PAGE: http://engineering.nyu.edu/people/peter-paul-carr
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