Optimal Investment with Taxes: An Existence Result
AbstractWe study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in-first-out priority rule on sales. Short-sales are prohibited and consumption is restricted to be nonnegative. Such a problem has been introduced in a previous paper by the same authors where the first order conditions have been derived. In this paper, we establish an existence result for this non-classical optimal control problem.
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Bibliographic InfoPaper provided by New York University, Leonard N. Stern School of Business- in its series New York University, Leonard N. Stern School Finance Department Working Paper Seires with number 99-037.
Date of creation: Jul 1999
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Other versions of this item:
- Jouini, Elyes & Koehl, Pierre-F. & Touzi, Nizar, 2000. "Optimal investment with taxes: an existence result," Journal of Mathematical Economics, Elsevier, vol. 33(4), pages 373-388, May.
- D91 - Microeconomics - - Intertemporal Choice and Growth - - - Intertemporal Consumer Choice; Life Cycle Models and Saving
- D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
- C69 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Other
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jaime Cuevas Dermody & R. Tyrrell Rockafellar, 1995. "Tax Basis And Nonlinearity In Cash Stream Valuation," Mathematical Finance, Wiley Blackwell, vol. 5(2), pages 97-119.
- Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
- Elyès Jouini & P, F, Koehl & Nizar Touzi, 1997. "Optimal Investment with Taxes : An Optimal Control Problem with Endogenous Delay," Working Papers 97-44, Centre de Recherche en Economie et Statistique.
- Christoph K\"uhn & Bj\"orn Ulbricht, 2013. "Modeling capital gains taxes for trading strategies of infinite variation," Papers 1309.7368, arXiv.org.
- Stathis Tompaidis & Sanjay Srivastava & Michael Gallmeyer & Paul Ehling, 2008. "Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses," 2008 Meeting Papers 769, Society for Economic Dynamics.
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