Optimal dividends under a drawdown constraint and a curious square-root rule
From MaRDI portal
Publication:2697497
DOI10.1007/s00780-023-00500-6OpenAlexW4360824175MaRDI QIDQ2697497
Nora Muler, Pablo Azcue, Hansjoerg Albrecher
Publication date: 12 April 2023
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2206.12220
Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Corporate finance (dividends, real options, etc.) (91G50)
Related Items
Optimisation of drawdowns by generalised reinsurance in the classical risk model ⋮ Optimal Consumption Under a Habit-Formation Constraint: The Deterministic Case
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On magnitude, asymptotics and duration of drawdowns for Lévy models
- De Finetti's optimal dividends problem with an affine penalty function at ruin
- On minimizing drawdown risks of lifetime investments
- Optimal lifetime consumption and investment under a drawdown constraint
- Risk vs. profit potential:
- Controlled diffusion models for optimal dividend pay-out
- Dividends: from refracting to ratcheting
- Optimal consumption under deterministic income
- A Pseudo-Markov Property for Controlled Diffusion Processes
- THE NUMÉRAIRE PROPERTY AND LONG-TERM GROWTH OPTIMALITY FOR DRAWDOWN-CONSTRAINED INVESTMENTS
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- A Class of Singular Control Problems and the Smooth Fit Principle
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Optimization of the flow of dividends
- Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates
- Strategies for Dividend Distribution: A Review
- Optimal Investment and Consumption under a Habit-Formation Constraint
- Optimal discounted drawdowns in a diffusion approximation under proportional reinsurance
- Optimal Ratcheting of Dividends in a Brownian Risk Model
- Optimal Ratcheting of Dividends in Insurance
- Stochastic Optimization in Insurance
- Games of Economic Survival with Discrete- and Continuous-Income Processes
- Optimal Dividends
- Resultados de optimalidad para problemas de dividendos en seguros;Optimality results for dividend problems in insurance
