{"ID":2843513,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2511.08433","arxiv_id":"2511.08433","title":"Equilibrium Strategies for Singular Dividend Control Problems under the Mean-Variance Criterion","abstract":"We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singular control framework. Investors do not like variability in their dividend distribution, and the mean-variance (MV) criterion balances the desire for large expected dividend payments with small variability in those payments. The resulting MV singular dividend control problem is time-inconsistent, and we follow a game-theoretic approach to find a time-consistent equilibrium strategy. Our main contribution is a new verification theorem for the novel dividend problem, in which the MV criterion is applied to an integral of the control until ruin, a random time that is endogenous to the problem. We demonstrate the use of the verification theorem in two cases for which we obtain the equilibrium dividend strategy (semi-)explicitly, and we provide a numerical example to illustrate our results.","short_abstract":"We revisit the optimal dividend problem of de Finetti by adding a variance term to the usual criterion of maximizing the expected discounted dividends paid until ruin, in a singular control framework. Investors do not like variability in their dividend distribution, and the mean-variance (MV) criterion balances the des...","url_abs":"https://arxiv.org/abs/2511.08433","url_pdf":"https://arxiv.org/pdf/2511.08433v1","authors":"[\"Jingyi Cao\",\"Dongchen Li\",\"Virginia R. Young\",\"Bin Zou\"]","published":"2025-11-11T16:38:15Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"q-fin.MF\"]","methods":"[]","has_code":false}