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University of Manchester

1. Cheng, Mingliang. CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS.

Degree: 2016, University of Manchester

URL: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:298233 

We investigate the impact of cash reserves upon the optimal behaviour of a modelled firm that has uncertain future revenues. To achieve this, we build up a corporate financing model of a firm from a Real Options foundation, with the option to close as a core business decision maintained throughout. We model the firm by employing an optimal stochastic control mathematical approach, which is based upon a partial differential equations perspective. In so doing, we are able to assess the incremental impacts upon the optimal operation of the cash constrained firm, by sequentially including: an optimal dividend distribution; optimal equity financing; and optimal debt financing (conducted in a novel equilibrium setting between firm and creditor). We present efficient numerical schemes to solve these models, which are generally built from the Projected Successive Over Relaxation (PSOR) method, and the Semi-Lagrangian approach. Using these numerical tools, and our gained economic insights, we then allow the firm the option to also expand the operation, so they may also take advantage of favourable economic conditions. Advisors/Committee Members: JOHNSON, PAUL PV, Johnson, Paul, Evatt, Geoffrey.

Subjects/Keywords: Corporate Finance; Real Options; Debt Financing; Optimal Investment; Stochastic Control; Semi-Lagrangian Methods; Optimal Dividends

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

Cheng, M. (2016). CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS. (Doctoral Dissertation). University of Manchester. Retrieved from http://www.manchester.ac.uk/escholar/uk-ac-man-scw:298233

Chicago Manual of Style (16th Edition):

Cheng, Mingliang. “CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS.” 2016. Doctoral Dissertation, University of Manchester. Accessed March 07, 2021. http://www.manchester.ac.uk/escholar/uk-ac-man-scw:298233.

MLA Handbook (7th Edition):

Cheng, Mingliang. “CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS.” 2016. Web. 07 Mar 2021.

Vancouver:

Cheng M. CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS. [Internet] [Doctoral dissertation]. University of Manchester; 2016. [cited 2021 Mar 07]. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:298233.

Council of Science Editors:

Cheng M. CORPORATE VALUATION AND OPTIMAL OPERATION UNDER LIQUIDITY CONSTRAINTS. [Doctoral Dissertation]. University of Manchester; 2016. Available from: http://www.manchester.ac.uk/escholar/uk-ac-man-scw:298233

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