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q-fin.MF2024
Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences
Kexin Chen, Kyunghyun Park, Hoi Ying Wong
In a continuous-time economy, this paper formulates the Epstein-Zin preference for discounted dividends received by an investor as an Epstein-Zin singular control utility. We intro…
q-fin.MF2022
Duality in optimal consumption--investment problems with alternative data
Kexin Chen, Hoi Ying Wong
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regi…