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No Arbitrage and the Tax Code

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  • Michael Gallmeyer
  • Sanjay Srivastava

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  • Michael Gallmeyer & Sanjay Srivastava, "undated". "No Arbitrage and the Tax Code," GSIA Working Papers 2003-E37, Carnegie Mellon University, Tepper School of Business.
  • Handle: RePEc:cmu:gsiawp:-27101115
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    File URL: http://www.tepper.cmu.edu/andrew/mg47/www/taxcode.pdf
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    References listed on IDEAS

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    1. Eckhard Platen & Martin Schweizer, 1998. "On Feedback Effects from Hedging Derivatives," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 67-84.
    2. Hasbrouck, Joel, 1991. "The Summary Informativeness of Stock Trades: An Econometric Analysis," Review of Financial Studies, Society for Financial Studies, vol. 4(3), pages 571-595.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    4. Cuoco, Domenico & Cvitanic, Jaksa, 1998. "Optimal consumption choices for a 'large' investor," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 401-436, March.
    5. Robert A. Jarrow, 2008. "Derivative Security Markets, Market Manipulation, and Option Pricing Theory," World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 7, pages 131-151 World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. Marekwica, Marcel, 2012. "Optimal tax-timing and asset allocation when tax rebates on capital losses are limited," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2048-2063.
    2. Birge, John R. & Yang, Song, 2007. "A model for tax advantages of portfolios with many assets," Journal of Banking & Finance, Elsevier, vol. 31(11), pages 3269-3290, November.
    3. Jochen Wilhelm & Josef Schosser, 2007. "A note on arbitrage-free asset prices with and without personal income taxes," Review of Managerial Science, Springer, pages 133-149.
    4. Gallmeyer, Michael F. & Kaniel, Ron & Tompaidis, Stathis, 2006. "Tax management strategies with multiple risky assets," Journal of Financial Economics, Elsevier, vol. 80(2), pages 243-291, May.

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