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Optimal Investment with Taxes: An Existence Result

  • Elyès Jouini
  • Pierre-Francois Koehl
  • Nizar Touzi

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
Contact details of provider: 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. Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
  2. 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.
  3. 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.
  4. 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.
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