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Title: | TWO STOCHASTIC CONTROL PROBLEMS IN CAPITAL STRUCTURE AND PORTFOLIO CHOICE | Authors: | HUANG SHAN | Keywords: | bank capital, earnings smoothing, bank regulation, voluntary retirement, cointegration, income risks | Issue Date: | 5-Dec-2017 | Citation: | HUANG SHAN (2017-12-05). TWO STOCHASTIC CONTROL PROBLEMS IN CAPITAL STRUCTURE AND PORTFOLIO CHOICE. ScholarBank@NUS Repository. | Abstract: | This thesis mainly focuses on two problems in corporate finance and individual's life-cycle investment. In the first problem, we derive a stochastic control model to optimize banks' dividend and recapitalization policies and calibrate that to a sample of U.S. banks in the situation where we model banks' true accounting asset values as partially observed variables due to the opaqueness in banks' assets. Because of the substantial shock on the true asset values, the banks' assets were more opaque during the recent financial crisis. In the second problem, we present an optimal portfolio selection model with voluntary retirement option in an economic situation, where an investor is facing borrowing and short sale constraints, as well as the cointegration between the stock and labor markets. Our model reinterprets the non-participation puzzle in stock investment and early retirement in market booms. Investor's willingness to retire earlier becomes stronger as risk aversion increases or as wages decline in the long term. | URI: | https://scholarbank.nus.edu.sg/handle/10635/142744 |
Appears in Collections: | Ph.D Theses (Open) |
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