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Optimal Investment with Taxes: An Existence Result

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  • Elyès Jouini
  • Pierre-Francois Koehl
  • Nizar Touzi

Abstract

We 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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Paper 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.

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Date of creation: Jul 1999
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Handle: RePEc:fth:nystfi:99-037

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Postal: U.S.A.; New York University, Leonard N. Stern School of Business, Department of Economics . 44 West 4th Street. New York, New York 10012-1126
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
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  1. 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.
  2. 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.
  3. Touzi, Nizar & Jouini, Elyès & Koehl, Pierre-François, 1999. "Optimal investment with taxes : an optimal control problem with endogeneous delay," Economics Papers from University Paris Dauphine 123456789/5607, Paris Dauphine University.
  4. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
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Cited by:
  1. Christoph K\"uhn & Bj\"orn Ulbricht, 2013. "Modeling capital gains taxes for trading strategies of infinite variation," Papers 1309.7368, arXiv.org.
  2. 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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