Optimal Dividend Distribution under Drawdown Constraints in Inflation Uncertainty
Using inflation to discount the company's wealth process and use Constant Relative Risk Aversion utility function,we establish the corresponding stochastic model and optimal dividend distri-bution model,and give the corresponding Hamilton-Jacobi-Bellman variational inequality as a nonlin-ear,free-boundary problem and solve it through the Legendre transform.The final conclusion is that the optimal dividend rate is a function of the company's current surplus and the historical peak of the dividend rate.In addition,the greater the inflation rate,the smaller the value of shareholders'wealth will be.
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