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Optimal dividends under a drawdown constraint and a curious square-root rule

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Main Authors: Hansjörg, Albrecher, Pablo, Azcue, Nora, Muler
Format: Book
Language:English
Published: Springer 2023
Subjects:
optimal dividend payout strategies
drawdown constraint
Online Access:https://link.springer.com/article/10.1007/s00780-023-00500-6
https://dlib.phenikaa-uni.edu.vn/handle/PNK/7514
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spelling 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 8.891145

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