2 papers
q-fin.MF2026
Optimal dividend payout with path-dependent drawdown constraint
Chonghu Guan, Jiacheng Fan, Zuo Quan Xu
This paper studies an optimal dividend problem with a drawdown constraint in a Brownian motion model, requiring the dividend payout rate to remain above a fixed proportion of its h…
q-fin.PR2025
Dynamic Asset Pricing with α-MEU Model
Jiacheng Fan, Xue Dong He, Ruocheng Wu
We study a dynamic asset pricing problem in which a representative agent is ambiguous about the aggregate endowment growth rate and trades a risky stock, human capital, and a risk-…