Optimal dividends under a drawdown constraint and a curious square-root rule
Work
Year: 2023
Type: article
Abstract: 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 neve... more
Source: Finance and Stochastics
Institutions University of Lausanne, Universidad Torcuato Di Tella
Cites: 25
Cited by: 3
Related to: 10
FWCI: 1.116
Citation percentile (by year/subfield): 82.08
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: hybrid
APC paid (est): $2,890
Funder Université de Lausanne