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Optimal dividend strategies with time-inconsistent preferences

Chen, Shumin; Li, Zhongfei; Zeng, Yan - In: Journal of economic dynamics & control 46 (2014), pp. 150-172

Persistent link: https://www.econbiz.de/10010474399

Markov decision processes with state-dependent discount factors and unbounded rewards/costs

Wei, Qingda; Guo, Xianping - In: Operations research letters 39 (2011) 5, pp. 369-374

Persistent link: https://www.econbiz.de/10009355631

Semi-Markov decision processes with variance minimization criterion

Wei, Qingda; Guo, Xianping - In: 4OR : a quarterly journal of operations research 13 (2015) 1, pp. 59-79

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Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions

Wu, Huiling; Weng, Chengguo; Zeng, Yan - In: OR spectrum : quantitative approaches in management 40 (2018) 2, pp. 541-582

Persistent link: https://www.econbiz.de/10011868232

Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model

Chen, Shumin; Zeng, Yan; Hao, Zhifeng - In: Insurance / Mathematics & economics 74 (2017), pp. 31-45

Persistent link: https://www.econbiz.de/10011712350

Optimal dividend-financing strategies in a dual risk model with time-inconsistent preferences

Chen, Shumin; Wang, Xi; Deng, Yinglu; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 27-37

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Equilibrium Consumption and Portfolio Decisions With Stochastic Discount Rate and Time-Varying Utility Functions

Wu, Huiling - 2019

This paper studies a multi-period investment-consumption optimization problem with a stochastic discount rate and a time-varying utility function, which are governed by a Markov-modulated regime switching model. The investment is dynamically reallocated between one risk-free asset and one risky...

Persistent link: https://www.econbiz.de/10012900408