2 papers
math.OC2025
Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion
Jingyi Cao, Dongchen Li, Virginia R. Young +1
We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singula…
math.OC2025
Equilibrium Mean-Variance Dividend Rate Strategies
Jingyi Cao, Dongchen Li, Virginia R. Young +1
This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin t…