{"ID":2881676,"CreatedAt":"2026-06-01T04:54:23.091178241Z","UpdatedAt":"2026-06-01T04:54:23.091178241Z","DeletedAt":null,"paper_url":"https://arxiv.org/abs/2508.12047","arxiv_id":"2508.12047","title":"Equilibrium Mean-Variance Dividend Rate Strategies","abstract":"This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a random horizon that depends endogenously on the company's dividend strategy, and these features lead to a novel time-inconsistent control problem. To address the time inconsistency, we seek a time-consistent equilibrium dividend rate strategy. We first develop and prove a new verification lemma that characterizes the value function and equilibrium strategy by an extended Hamilton-Jacobi-Bellman system. Next, we apply the verification lemma to obtain the equilibrium strategy and show that it is a barrier strategy for small levels of risk aversion.","short_abstract":"This paper studies an optimal dividend problem for a company that aims to maximize the mean-variance (MV) objective of the accumulated discounted dividend payments up to its ruin time. The MV objective involves an integral form over a random horizon that depends endogenously on the company's dividend strategy, and thes...","url_abs":"https://arxiv.org/abs/2508.12047","url_pdf":"https://arxiv.org/pdf/2508.12047v1","authors":"[\"Jingyi Cao\",\"Dongchen Li\",\"Virginia R. Young\",\"Bin Zou\"]","published":"2025-08-16T13:49:25Z","proceeding":"math.OC","tasks":"[\"math.OC\",\"q-fin.MF\"]","methods":"[\"Large Language Model\"]","has_code":false}