Optimal Rates from Eigenvalues

11 Pages Posted: 2 May 2015

See all articles by Peter Carr

Peter Carr

New York University Finance and Risk Engineering

Pratik Worah

New York University (NYU) - Courant Institute of Mathematical Sciences

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

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 )

6 MetroTech Center
Brooklyn, NY 11201
United States
9176217733 (Phone)

HOME PAGE: http://engineering.nyu.edu/people/peter-paul-carr

Pratik Worah (Contact Author)

New York University (NYU) - Courant Institute of Mathematical Sciences ( email )

New York University
New York, NY 10012
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
117
rank
233,271
Abstract Views
640
PlumX Metrics
!

Under construction: SSRN citations while be offline until July when we will launch a brand new and improved citations service, check here for more details.

For more information