学术报告

题      目：Robust Dividend Policy: Equivalence of Epstein-Zin and Maenhout Preferences

报  告  人：陈可歆  教授  (邀请人：杨舟 )

                                    香港理工大学

时      间：5月27日  16：00-17：00

地     点：数科院西楼二楼会议室

报告人简介:

        Dr. Kexin Chen is an assistant professor at Department of Applied Mathematics (AMA), the Hong Kong Polytechnic University, since September 2023. Before that, she was a research assistant professor in AMA since August 2021. She received her Ph.D. degree in Statistics at the Chinese University of Hong Kong, under the supervision of Prof. Hoi Ying Wong in 2021. Her main research interest lies in developing new mathematical theories and methodologies to solve stochastic control and optimization problems, with a focus on financial applications related to optimal stopping and partial information scenarios.

摘      要：

        The classic optimal dividend problem aims to maximize the expected discounted dividend stream over the lifetime of a company. Since dividend payments are irreversible, this problem corresponds to a singular control problem with a risk-neutral utility function applied to the discounted dividend stream. In cases where the company's surplus process encounters model ambiguity under the Brownian filtration, we explore robust dividend payment strategies in worst-case scenarios. We establish a connection between ambiguity aversion in a robust singular control problem and risk aversion in Epstein-Zin preferences. To do so, we first formulate the dividend problem as a recursive utility function with the EZ aggregator within a singular control framework. We investigate the existence and uniqueness of the EZ dividend problem. By employing Backward Stochastic Differential Equation (BSDE) representations where singular controls are involved in the generators of BSDEs, we demonstrate that the EZ formulation is equivalent to the maximin problem involving risk-neutral utility on the discounted dividend stream, incorporating Meanhout's regularity that reflects investors' ambiguity aversion. Considering the equivalent Meanhout's preferences, we solve the robust dividend problem using a Hamilton-Jacobi-Bellman (HJB) approach combined with a variational inequality (VI). Our solution is obtained through a novel shooting method that simultaneously satisfies the VI and boundary conditions. This is a joint work with Kyunghyun Park and Hoi Ying Wong.

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