Optimal dividends under a drawdown constraint and a curious square-root rule
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Springer
2023
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| Truy cập trực tuyến: | https://link.springer.com/article/10.1007/s00780-023-00500-6 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7514 |
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oai:localhost:PNK-75142023-04-05T01:13:46Z Optimal dividends under a drawdown constraint and a curious square-root rule Hansjörg, Albrecher Pablo, Azcue Nora, Muler optimal dividend payout strategies drawdown constraint CC BY In this paper, we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint, i.e., the dividend rate can never decrease below a given fraction a of its historical maximum. We solve the resulting two-dimensional optimal control problem and identify the value function as the unique viscosity solution of the corresponding Hamilton–Jacobi–Bellman equation. We then derive sufficient conditions under which a two-curve strategy is optimal, and we show how to determine its concrete form using calculus of variations. We establish a smooth-pasting principle and show how it can be used to prove the optimality of two-curve strategies for sufficiently large initial and maximum dividend rates. 2023-04-05T01:13:46Z 2023-04-05T01:13:46Z 2023 Book https://link.springer.com/article/10.1007/s00780-023-00500-6 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7514 en application/pdf Springer |
| institution |
Digital Phenikaa |
| collection |
Digital Phenikaa |
| language |
English |
| topic |
optimal dividend payout strategies drawdown constraint |
| spellingShingle |
optimal dividend payout strategies drawdown constraint Hansjörg, Albrecher Pablo, Azcue Nora, Muler Optimal dividends under a drawdown constraint and a curious square-root rule |
| description |
CC BY |
| format |
Book |
| author |
Hansjörg, Albrecher Pablo, Azcue Nora, Muler |
| author_facet |
Hansjörg, Albrecher Pablo, Azcue Nora, Muler |
| author_sort |
Hansjörg, Albrecher |
| title |
Optimal dividends under a drawdown constraint and a curious square-root rule |
| title_short |
Optimal dividends under a drawdown constraint and a curious square-root rule |
| title_full |
Optimal dividends under a drawdown constraint and a curious square-root rule |
| title_fullStr |
Optimal dividends under a drawdown constraint and a curious square-root rule |
| title_full_unstemmed |
Optimal dividends under a drawdown constraint and a curious square-root rule |
| title_sort |
optimal dividends under a drawdown constraint and a curious square-root rule |
| publisher |
Springer |
| publishDate |
2023 |
| url |
https://link.springer.com/article/10.1007/s00780-023-00500-6 https://dlib.phenikaa-uni.edu.vn/handle/PNK/7514 |
| _version_ |
1762365497830014976 |
| score |
8.893527 |