Optimal trading of a security when there are taxes and transaction costs

DOI10.1007/S007800050055zbMATH Open0924.90008OpenAlexW2006925522MaRDI QIDQ1297916FDOQ1297916

Authors: Abel Cadenillas, Stanley R. Pliska 

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050055

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zbMATH Keywords

stopping timestochastic controltransaction costsportfolio managementtaxes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Economic growth models (91B62) Optimal stochastic control (93E20)

Cited In (13)

• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
• A trend-following strategy: conditions for optimality
• A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
• Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
• MARKET EQUILIBRIUM WITH CAPITAL LOSS DEDUCTION OPTIONS
• Trading a mean-reverting asset: buy low and sell high
• Effects of securities transaction taxes on depth and bid-ask spread
• Von Neumann–Gale model, market frictions and capital growth
• Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation
• Investors' preference for a positive tax rate depends on the level of the interest rate
• Valuation before and after tax in the discrete time, finite state no arbitrage model
• Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies
• Optimal investment with deferred capital gains taxes

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