Corporate portfolio management

被引：7
|
作者：
Rochet J.-C. [1 ]
Villeneuve S. [2 ]
机构：
[1] IDEI, Toulouse University, Toulouse Business School, 31000 Toulouse
[2] GREMAQ, Toulouse University, 31000 Toulouse
来源：
Annals of Finance | 2005年 / 1卷 / 3期
关键词：
Corporate investment; Corporate risk aversion; Liquidity management; Portfolio management;
D O I：
10.1007/s10436-005-0018-7
中图分类号：
学科分类号：
摘要：
We solve the optimal portfolio problem in continuous time from the point of view of a corporation, acting on behalf of risk neutral shareholders. Our model fits for example the case of a commercial bank. Risk aversion is generated endogenously by financial frictions, and increases when the value of the firm's assets decrease. We find a remarkably simple investment policy: invest a multiple of the firm's equity into the risky asset, keep the rest as cash reserves, and distribute dividends when the value of the firm exceeds some threshold. As a consequence, the firm locally behaves as a Von Neumann-Morgenstern investor with constant relative risk aversion. © Springer-Verlag Berlin Heidelberg 2005.
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页码：225 / 243
页数：18
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