Optimal dividend strategy for a general diffusion process with time-inconsistent preferences and ruin penalty

DOI10.1137/16M1088983zbMATH Open1408.91227OpenAlexW2787188012MaRDI QIDQ4635250FDOQ4635250

Shumin Chen, Zhongfei Li, Yan Zeng

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

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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)

Cites Work

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Cited In (12)

• Non-exponential discounting portfolio management with habit formation
• Moment-constrained optimal dividends: precommitment and consistent planning
• Dynamic risk-sharing game and reinsurance contract design
• Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences
• Optimal equilibrium barrier strategies for time-inconsistent dividend problems in discrete time
• 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
• Singular dividend optimization for a linear diffusion model with time-inconsistent preferences
• Optimal dividend payments under a time of ruin constraint: exponential claims
• Equilibrium dividend strategies for spectrally negative Lévy processes with time value of ruin and random time horizon
• Time-inconsistent view on a dividend problem with penalty
• Optimal dividend and capital injection strategies in common shock dependence model with time-inconsistent preferences

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