讲座题目：Robust Dividend Policy: Equivalence of Epstein-Zin and Maenhout Preferences
主讲人：王海婴 教授
主持人：颜廷进 助理教授
开始时间：2024-04-18 15:00
讲座地址：普陀校区理科大楼A1514
主办单位：统计学院
报告人简介：
Hoi Ying Wong is Professor of Statistics and Outstanding Fellow of The Chinese University of Hong Kong (CUHK), Hong Kong, China. He also serves as Associate Dean of Science (Student Affairs) at CUHK. His research interests include mathematical finance, stochastic control theory and machine learning. He published over 110 articles in journals such as MF, F&S, SIFIN, SICON, JEDC, JBF, MOR, JRI, IME, Automatica etc.
报告内容：
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. Two possible robust preferences are examined and compared. Using Epstein-Zin (EZ) preferences, we formulate the robust 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 theory, we demonstrate that the EZ formulation is equivalent to the maximin problem involving risk-neutral utility on the discounted dividend stream, incorporating Maenhout's regularity that reflects investors' ambiguity aversion. In other words, we establish a connection between ambiguity aversion in a robust singular control problem and risk aversion in EZ preferences. Additionally, considering the equivalent Maenhout’s preferences, we solve the robust dividend problem using a Hamilton-Jacobi-Bellman 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 Kexin Chen and Kyunghyun Park.
