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Optimal dividends under a drawdown constraint and a curious square-root rule |
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| Authors: | Albrecher Hansjörg Azcue Pablo Muler Nora |
| Affiliation: | 1.Department of Actuarial Science, Faculty of Business and Economics, University of Lausanne, CH-1015, Lausanne, Switzerland ;2.Swiss Finance Institute, Zürich, Switzerland ;3.Departamento de Matematicas, Universidad Torcuato Di Tella, Av. Figueroa Alcorta 7350 (C1428BIJ), Ciudad de Buenos Aires, Argentina ; |
| Abstract: | Finance and Stochastics - In this paper, we address the problem of optimal dividend payout strategies from a surplus process governed by Brownian motion with drift under a drawdown constraint,... |
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