Academic literature on the topic 'Leland strategy'

Abstract This paper revisits the optimal capital structure model with endogenous bankruptcy, first studied by Leland (J. Finance 49:1213–1252, 1994) and Leland and Toft (J. Finance 51:987–1019, 1996). Unlike in the standard case where shareholders continuously observe the asset value and bankruptcy is executed instantaneously without delay, the information of the asset value is assumed to be updated periodically at the jump times of an independent Poisson process. Under a spectrally negative Lévy model, we obtain the optimal bankruptcy strategy and the corresponding capital structure. A series of numerical studies provide an analysis of the sensitivity, with respect to the observation frequency, of the optimal strategies, optimal leverage and credit spreads.

The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland & Toft (1996), and was later extended to the spectrally negative Lévy model by Hilberink Rogers (2002) and Kyprianou Surya (2007). This paper incorporates scale effects by allowing the values of bankruptcy costs and tax benefits to be dependent on the firm's asset value. By using the fluctuation identities for the spectrally negative Lévy process, we obtain a candidate bankruptcy level as well as a sufficient condition for optimality. The optimality holds in particular when, monotonically in the asset value, the value of tax benefits is increasing, the loss amount at bankruptcy is increasing, and its proportion relative to the asset value is decreasing. The solution admits a semi-explicit form in terms of the scale function. A series of numerical studies are given to analyze the impacts of scale effects on the bankruptcy strategy and the optimal capital structure.

AbstractThis article shows how structured financing can be used to solve the asset substitution problem in a dynamic setting. Structuring induces the firm’s owner to optimally choose the first best operating strategy even though the owner’s value function might be locally convex (concave), which would ordinarily lead to overinvestment (underinvestment) in risky projects. This result is demonstrated in two different continuous time settings—one that is based on the risk-shifting framework of Leland (1998) and one that generalizes the scaled return model of Green (1984). It is shown that the contractual nature of the structuring is a key determinant of the issuing firm’s dynamic asset volatility. Furthermore, unlike nonstructured financing, the default (conversion) probability of a structured debt security may be increasing (decreasing) in the firm’s total assets. Structured securities are therefore hedge assets, which potentially explains the popularity of structured securities among investors and third-party issuers.

When Walt Whitman in An American Primer called his native language "a tongue that spurns all laws," he furnished a description that can serve as a perfect characterization for the mode of literary expression during the period spanning the final decades of the nineteenth and the beginning decades of the twentieth centuries. It was a phase in American literary history that was particularly rich in texts that, in order to achieve their literary effects, availed themselves of the expressive potential inherent in unconventional language use. Produced by writers such as Finley Peter Dunne, Charles Godfrey Leland, Thomas A. Daly, Paul Laurence Dunbar, Alexander Posey and others-names rarely listed in standard literary histories-these texts derived their appeal from the way they used language but also from the perspective their linguistic strategy created. While dialect texts enjoyed a tremendous popularity, the critical reception by literary scholars has mostly been one of indifference or even scorn. Encouraged by the more favorable evaluations of dialect writing that have appeared in recent times, in this essay I argue for a reappraisal of these neglected forms of literary activity in the United States. Their linguistic virtuosity, their potential value as documents of folklore and linguistic diversity, and their significance in the development toward alternative forms of literary expression make them an unusual treasure in America's literary heritage.

Di beberapa daerah Sumatera Selatan khususnya bekas daerah kekuasaan kesultanan Palembang berkembang satu kegiatan yang dikenal dengan lelang lebung. Lelang lebung merupakan kegiatan menawarkan lebung sungai kepada masyarakat untuk dikelola dan dimanfaatkan. Beberapa aturan pengelolaan disepakati bukan hanya membantu masyarakat memenuhi kebutuhannya, tapi juga menjaga kelestarian lingkungan sungai. Walau dengan munculnya undang-undang pemerintahan desa turut mengubah pola pelaksanaan lelang lebung, namun hingga kini masih tetap dilaksanakan. Malah kegiatan ini diatur dalam peraturan daerah. Melalui pendekatan deskriptif kualitatif, penelitian mencoba menggali bagaimana lelang lebung muncul dan melembaga di masyarakat Kabupaten Penukal Abab Lematang Ilir (PALI), Propinsi Sumatera Selatan. Selain itu tulisan ini juga mencoba menggali peran lelang lebung dalam peningkatan ekonomi masyarakat dengan tetap menjaga kelestarian sungai. Dari penelitian ini, ditemukan bahwa ekspansi kekuasaan, kondisi ekologis dan persoalan ekonomi menjadi pendorong muncul dan berkembangnya lelang lebung di Kabupaten PALI. Ketiga hal itu turut mendorong masyarakat mencari cara untuk menjaga sungai tetap lestari. Lelang lebung juga sangat penting sebagai sumber penghasilan masyarakat.In some areas of South Sumatera, eapecially in former teritory of the palembang empire, evolve one activity that known as Lelang lebung. Lelang lebung is activity that offer river's lebung for society to be managed and utilized. Some management rules are agreed, not only helping society to fulfill their need, but also keeping the river environmental sustainability. Even by appearing of village laws take part for change implementation of lelang lebung, but that habit is still done till now. moreover this activity is arranged in local regulation. Through qualitative descriptive approach, this research try to delve how lelang lebung appear and institutionalized in society of PALI regency, South sumatera province. Furthermore this writting also try to delve roles of lelang lebung in economy enhancement by keeping river's sustainability. From this research, discovered that authority expansion, ecologic conditions, and economy problems are some factors that drive appearance and development of lelang lebung in PALI regency. These three cases encourage society to find way to keep river's sustainability. Lelang lebung also very important as income source.

Dans cette thèse, nous étudions plusieurs problèmes de mathématiques financières liés à la présence d’imperfections sur les marchés. Notre approche principale pour leur résolution est l’utilisation d’un cadre asymptotique pertinent dans lequel nous parvenons à obtenir des solutions approchées explicites pour les problèmes de contrôle associés. Dans la première partie de cette thèse, nous nous intéressons à l’évaluation et la couverture des options européennes. Nous considérons tout d’abord la problématique de l’optimisation des dates de rebalancement d’une couverture à temps discret en présence d’une tendance dans la dynamique du sous-jacent. Nous montrons que dans cette situation, il est possible de générer un rendement positif tout en couvrant l’option et nous décrivons une stratégie de rebalancement asymptotiquement optimale pour un critère de type moyenne-variance. Ensuite, nous proposons un cadre asymptotique pour la gestion des options européennes en présence de coûts de transaction proportionnels. En s’inspirant des travaux de Leland, nous développons une méthode alternative de construction de portefeuilles de réplication permettant de minimiser les erreurs de couverture. La seconde partie de ce manuscrit est dédiée à la question du suivi d’une cible stochastique. L’objectif de l’agent est de rester proche de cette cible tout en minimisant le coût de suivi. Dans une asymptotique de coûts petits, nous démontrons l’existence d’une borne inférieure pour la fonction valeur associée à ce problème d’optimisation. Cette borne est interprétée en terme du contrôle ergodique du mouvement brownien. Nous fournissons également de nombreux exemples pour lesquels la borne inférieure est explicite et atteinte par une stratégie que nous décrivons. Dans la dernière partie de cette thèse, nous considérons le problème de consommation et investissement en présence de taxes sur le rendement des capitaux. Nous obtenons tout d’abord un développement asymptotique de la fonction valeur associée que nous interprétons de manière probabiliste. Puis, dans le cas d’un marché avec changements de régime et pour un investisseur dont l’utilité est du type Epstein-Zin, nous résolvons explicitement le problème en décrivant une stratégie de consommation-investissement optimale. Enfin, nous étudions l’impact joint de coûts de transaction et de taxes sur le rendement des capitaux. Nous établissons dans ce cadre un système d’équations avec termes correcteurs permettant d’unifier les résultats de [ST13] et[CD13]
In this thesis, we study several mathematical finance problems related to the presence of market imperfections. Our main approach for solving them is to establish a relevant asymptotic framework in which explicit approximate solutions can be obtained for the associated control problems. In the first part of this thesis, we are interested in the pricing and hedging of European options. We first consider the question of determining the optimal rebalancing dates for a replicating portfolio in the presence of a drift in the underlying dynamics. We show that in this situation, it is possible to generate positive returns while hedging the option and describe a rebalancing strategy which is asymptotically optimal for a mean-variance type criterion. Then we propose an asymptotic framework for options risk management under proportional transaction costs. Inspired by Leland’s approach, we develop an alternative way to build hedging portfolios enabling us to minimize hedging errors. The second part of this manuscript is devoted to the issue of tracking a stochastic target. The agent aims at staying close to the target while minimizing tracking efforts. In a small costs asymptotics, we establish a lower bound for the value function associated to this optimization problem. This bound is interpreted in term of ergodic control of Brownian motion. We also provide numerous examples for which the lower bound is explicit and attained by a strategy that we describe. In the last part of this thesis, we focus on the problem of consumption-investment with capital gains taxes. We first obtain an asymptotic expansion for the associated value function that we interpret in a probabilistic way. Then, in the case of a market with regime-switching and for an investor with recursive utility of Epstein-Zin type, we solve the problem explicitly by providing a closed-form consumption-investment strategy. Finally, we study the joint impact of transaction costs and capital gains taxes. We provide a system of corrector equations which enables us to unify the results in [ST13] and [CD13]

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