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

DOI10.1007/S007800050055MaRDI QIDQ1297916zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(15)

• Optimal investment with deferred capital gains taxes
• Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs
• A trend-following strategy: conditions for optimality
• Optimal selling time of a stock under capital gains taxes
• A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
• Modeling capital gains taxes for trading strategies of infinite variation
• For what trading strategies is the tax payment stream of infinite variation?
• Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
• MARKET EQUILIBRIUM WITH CAPITAL LOSS DEDUCTION OPTIONS
• Effects of securities transaction taxes on depth and bid-ask spread
• Trading a mean-reverting asset: buy low and sell high
• Von Neumann–Gale model, market frictions and capital growth
• 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

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