Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty

DOI10.1137/16M1088983zbMath1408.91227OpenAlexW2787188012MaRDI QIDQ4635250

Shu-Min Chen, Yan Zeng, Zhong-Fei Li

Publication date: 16 April 2018

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/16m1088983

zbMATH Keywords

transaction coststime-inconsistent preferencesoptimal dividend strategyruin penaltyhyperbolic discount function

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (9)

Non-exponential discounting portfolio management with habit formation ⋮ Moment-constrained optimal dividends: precommitment and consistent planning ⋮ Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets ⋮ Equilibrium periodic dividend strategies with non-exponential discounting for spectrally positive Lévy processes ⋮ Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon ⋮ Singular dividend optimization for a linear diffusion model with time-inconsistent preferences ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences ⋮ Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time

Cites Work

• Unnamed Item
• Unnamed Item
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Dividends and reinsurance under a penalty for ruin
• A theory of Markovian time-inconsistent stochastic control in discrete time
• On non-trivial barrier solutions of the dividend problem for a diffusion under constant and proportional transaction costs
• Investment and consumption without commitment
• Credit market frictions and capital structure dynamics
• Consumption and portfolio rules for time-inconsistent investors
• Optimal dividend policies for a class of growth-restricted diffusion processes under transaction costs and solvency constraints
• Optimal dividend policies with transaction costs for a class of jump-diffusion processes
• Goal-setting and self-control
• Optimal dividend strategies with time-inconsistent preferences
• Finite horizon consumption and portfolio decisions with stochastic hyperbolic discounting
• An Optimal Dividend and Investment Control Problem under Debt Constraints
• Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Optimal Dividend Payments and Reinvestments of Diffusion Processes with Both Fixed and Proportional Costs
• OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
• A Stochastic Extension of the Miller‐Modigliani Framework¹
• Golden Eggs and Hyperbolic Discounting
• Optimization of the flow of dividends
• Time-Consistent Portfolio Management
• Instantaneous Gratification *
• Optimal dividend payments until ruin of diffusion processes when payments are subject to both fixed and proportional costs
• CLASSICAL AND IMPULSE STOCHASTIC CONTROL FOR THE OPTIMIZATION OF THE DIVIDEND AND RISK POLICIES OF AN INSURANCE FIRM
• Consumption-Savings Decisions with Quasi-Geometric Discounting
• Markov perfect equilibrium. I: Observable actions

This page was built for publication: Optimal Dividend Strategy for a General Diffusion Process with Time-Inconsistent Preferences and Ruin Penalty