Optimal Investment with Taxes: An Existence Result
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.
|Date of creation:||Jul 1999|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (212) 998-0100
Web page: http://w4.stern.nyu.edu/finance/
More information through EDIRC
References listed on IDEAS
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.:
- 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.
- 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.
- Constantinides, George M, 1983. "Capital Market Equilibrium with Personal Tax," Econometrica, Econometric Society, vol. 51(3), pages 611-36, May.
- 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.
When requesting a correction, please mention this item's handle: RePEc:fth:nystfi:99-037. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Krichel)
If references are entirely missing, you can add them using this form.