Optimal investment with taxes: An existence result

DOI10.1016/S0304-4068(99)00034-8zbMath0978.91043OpenAlexW3123752480MaRDI QIDQ1567186

Elyès Jouini, Nizar Touzi, Pierre-François Koehl

Publication date: 20 November 2000

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4068(99)00034-8

zbMATH Keywords

weak compactnessoptimal investmentLevy convergence

Mathematics Subject Classification ID

Related Items (8)

How to state necessary optimality conditions for control problems with deviating arguments? ⋮ Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation ⋮ How to state necessary optimality conditions for control problems with deviating arguments? ⋮ For what trading strategies is the tax payment stream of infinite variation? ⋮ On some optimal control problems governed by a state equation with memory ⋮ Investors' preference for a positive tax rate depends on the level of the interest rate ⋮ How local in time is the no-arbitrage property under capital gains taxes? ⋮ OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS

Cites Work

• TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
• Optimal investment with taxes: an optimal control problem with endogeneous delay
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