On the Dividend Strategies with Non-Exponential Discounting

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Zhao, Qian; Wei, Jiaqin; Wang, Rongming;
  • Subject: Quantitative Finance - Portfolio Management
    arxiv: Computer Science::Systems and Control | Mathematics::Optimization and Control

In this paper, we study the dividend strategies for a shareholder with non-constant discount rate in a diffusion risk model. We assume that the dividends can only be paid at a bounded rate and restrict ourselves to the Markov strategies. This is a time inconsistent cont... View more
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