报告题目：Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences

报 告 人：Wong, Hoi Ying（香港中文大学 教授）

主 持 人：曾燕（中山大学岭南学院 教授）

时    间：2024年7月2日（周二）15:00

地    址：岭南堂黄炳礼会议室（203）

语    言：中文+英文

摘要:

In a continuous-time economy, this study formulates the Epstein-Zin (EZ) preference for the discounted dividend (or cash payouts) of stockholders as an EZ singular control utility. We show that such a problem is well-defined and equivalent to the robust dividend policy set by the firm’s executive in the sense of Maenhout’s ambiguity-averse preference. While the firm’s executive announces the expected future earnings in financial reports, they also signal the firm’s confidence in the expected earnings through dividend or cash payouts. The robust dividend policy can then be characterized by a Hamilton-Jacobi-Bellman (HJB) variational inequality (VI). By constructing a novel shooting method for the HJB-VI, we theoretically prove that the robust dividend policy is a threshold strategy on the firm’s surplus process. Therefore, dividend-caring investors can choose firms that match their preferences by examining stock’s dividend policies and financial statements, whereas executives can make use of dividend to signal their confidence, in the form of ambiguity aversion, on realizing the earnings implied by their financial statements. This is a joint work with Kexin Chen (HKPU) and Kyunghyun Park (NTU, Singapore)

报告人介绍：

Wong, Hoi Ying is a Professor of Statistics and Outstanding Fellow of Science at The Chinese University of Hong Kong (CUHK). He is interested in Stochastic Control Theory, Mathematical Finance, Actuarial Science and Machine Learning, and has published over 110 articles in journals like Mathematical Finance, Finance & Stochastics, SIFIN, SICON, SINUM, MOR, IME, SAJ, Journal of Risk and Insurance, EJOR, Journal of Banking and Finance, JEDC among others. He has experience of serving as Associate Editor for SIFIN and IJTAF. He also has industrial consulting experience with Hong Kong Monetary Authority, Commercial Banks and FinTech Firms. His administrative services in CUHK include Associate Dean of Science for Student Affairs, Founding co-director of BSc in Quantitative Finance and Risk Management Science and Director of MSc in Risk Management Science.

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    岭南学院保险与金融工程教研室于2022年1月成立，由教授、副教授等15名成员组成。研究领域包括保险精算、金融工程、风险管理、社会保障、数字金融与保险、行为金融等。教研室成员曾在Operations Research、Journal of Economic Dynamics and Control、Insurance: Mathematics and Economics、《经济研究》《管理世界》《管理科学学报》等本领域权威期刊发表论文；教研室成员主持过多项国家社科基金重大项目，研究成果获得过多位国家领导人的批示，也获得过教育部高等学校科学研究优秀成果奖（人文社会科学）二等奖等奖项。详情请见链接：https://lingnan.sysu.edu.cn/organization/08。

    中山大学金融工程与风险管理研究中心于2003年6月成立，是广东省人文社科重点研究基地，以建设高水平、开放型的金融工程与风险管理研究平台为宗旨，综合运用金融学、经济学、管理学、数学、工程学、行为学等学科的理论、方法和技术，创新性地研究和解决金融发展中遇到的重大理论与实践问题。本中心紧紧围绕科学研究这一主要工作，积极与国内外学者进行学术交流，力争承担重要科研项目、取得高质量科研成果，并为经济金融现实提供决策咨询服务，继而推动相关学科的建设和和发展。研究领域包括：金融工程、风险管理、数字金融、数字保险、数字经济、绿色金融、养老金融、供应链金融、资源配置、资产定价、金融市场、保险精算、决策与对策等。详情请见链接：https://bus.sysu.edu.cn/cferm/index.htm。