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Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stock are given in closed form. We present an efficient moment based approximation method for option pri…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase the default probabilities of all surviving subsidiaries. The total dividend problem for the insurance group is investigated and we find that the optimal dividend strategy is still…
We prove a version of First Fundamental Theorem of Asset Pricing under transaction costs for discrete-time markets with dividend-paying securities. Specifically, we show that the no-arbitrage condition under the efficient friction assumption is equivalent to the existence of a risk-neutral measure. We derive dual representations for the superhedging ask and subhedging bid price processes of a derivative contract. Our…
This paper studies a singular dividend control problem for a firm with heterogeneous shareholders whose discount rates follow a given distribution. The central planner aggregates expected discounted payoffs using an ambiguity aggregation function $phi$, which captures shareholder heterogeneity and ambiguity attitudes but also leads to time inconsistency. To address this issue, we seek a time-homogeneous equilibrium d…
We consider the optimal dividend problem under a habit formation constraint that prevents the dividend rate to fall below a certain proportion of its historical maximum, the so-called drawdown constraint. This is an extension of the optimal Duesenberry's ratcheting consumption problem, studied by Dybvig (1995) [Review of Economic Studies 62(2), 287-313], in which consumption is assumed to be nondecreasing. Our proble…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the optimal solution explicitly using the fluctuation identities of the refracted-reflected Lévy process. The optimal strategy as well as the value function are concisely written in ter…
Using a fast numerical technique, we investigate a large database of investor suboptimal non-exercise of short maturity American call options on dividend-paying stocks listed on the Dow Jones. The correct modelling of the discrete dividend is essential for a correct calculation of the early exercise boundary as confirmed by theoretical insights. Pricing with stochastic volatility and jumps instead of the Black-Schole…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external environment regime. The environment regime is modeled by a Markov process. Both capital injections and dividend payments incur expenses. The objective is to maximize the expectation o…
This paper develops numerical methods for finding optimal dividend pay-out and reinsurance policies. A generalized singular control formulation of surplus and discounted payoff function are introduced, where the surplus is modeled by a regime-switching process subject to both regular and singular controls. To approximate the value function and optimal controls, Markov chain approximation techniques are used to constr…
In this paper we solve the dividend optimization problem for a corporation or a financial institution when the managers of the corporation are facing (regulatory) implementation delays. We consider several cash reservoir models for the firm including two mean-reverting processes, Ornstein-Uhlenbeck and square-root processes. We provide our solution via a new characterization of the value function for one-dimensional …
Over the past half-century, the empirical finance community has produced vast literature on the advantages of the equally weighted S\&P 500 portfolio as well as the often overlooked disadvantages of the market capitalization weighted Standard and Poor's (S\&P 500) portfolio (see \cite{Bloom}, \cite{Uppal}, \cite{Jacobs}, \cite{Treynor}). However, portfolio allocation based on Tukey's transformational ladde have, rath…
We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent to the government acquiring a proportional stake in the investor's portfolio each period -- a form of risk sharing in which expected wealth and risk are reduced by the same factor, …
This paper presents a realistic simulated stock market where large language models (LLMs) act as heterogeneous competing trading agents. The open-source framework incorporates a persistent order book with market and limit orders, partial fills, dividends, and equilibrium clearing alongside agents with varied strategies, information sets, and endowments. Agents submit standardized decisions using structured outputs an…
Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the absolute portfolio wealth divided by wealth from investing in the benchmark (including reinvested dividends). The classic Merton problem for portfolio optimization considers absolute portfolio wealth. We combine absolute and relative wealth…
A general framework is suggested to describe human decision making in a certain class of experiments performed in a trading laboratory. We are in particular interested in discerning between two different moods, or states of the investors, corresponding to investors using fundamental investment strategies, technical analysis investment strategies respectively. Our framework accounts for two opposite situations already…
We illustrate a problem in the self-financing condition used in the papers "Funding beyond discounting: collateral agreements and derivatives pricing" (Risk Magazine, February 2010) and "Partial Differential Equation Representations of Derivatives with Counterparty Risk and Funding Costs" (The Journal of Credit Risk, 2011). These papers state an erroneous self-financing condition. In the first paper, this is equivale…
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear mathematical problem features semilinear PDEs and FBSDEs. We show that for the benchmark vulnerable claim there is an analytical solution, and we express it in terms of the Black-Scholes for…
Foster and Viswanathan (1996) extend the discrete-time setting of Kyle (1985) to multiple informed traders who have partial information about the stock's terminal dividend. We resolve two long-standing open problems in this literature. First, we prove that an equilibrium exists in the setting of Foster and Viswanathan (1996). Second, as the number of trading times goes to infinity, we prove that the discrete-time equ…
Bank Capital Ratio — Loss-absorbing equity buffer determining lending capacity and dividend policy.
Shareholder Yield — Combined dividends and buybacks as cash return to equity holders.
Dividend Risk Options — Call pricing sensitivity to unexpected dividend changes.
Dividend Aristocrat US — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat Europe — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat Japan — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat China — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat EM — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat tech — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat banks — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat energy — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat healthcare — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat small-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat large-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat mega-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat growth — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat value — Equity factor, event, or flow concept for cash equity desks.
Bank Capital Ratio — Loss-absorbing equity buffer determining lending capacity and dividend policy.
Dividend Aristocrat banks — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat China — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat EM — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat energy — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat Europe — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat growth — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat healthcare — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat Japan — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat large-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat mega-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat small-cap — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat tech — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat US — Equity factor, event, or flow concept for cash equity desks.
Dividend Aristocrat value — Equity factor, event, or flow concept for cash equity desks.
Dividend Risk Options — Call pricing sensitivity to unexpected dividend changes.
Shareholder Yield — Combined dividends and buybacks as cash return to equity holders.