TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

DOI10.1111/j.1467-9965.1995.tb00104.xzbMath0866.90013OpenAlexW2004810857MaRDI QIDQ3126226

James Cuevas Dermody, R. Tyrrell Rockafellar

Publication date: 20 May 1997

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1995.tb00104.x

zbMATH Keywords

tax effectsportfolio adjustmentno-arbitrage equilibriumvalue of a future cash stream

Mathematics Subject Classification ID

Related Items (9)

Dual representation of superhedging costs in illiquid markets ⋮ Arbitrage and deflators in illiquid markets ⋮ Valuation before and after tax in the discrete time, finite state no arbitrage model ⋮ SUPERHEDGING IN ILLIQUID MARKETS ⋮ Optimal investment and contingent claim valuation in illiquid markets ⋮ Pricing issues with investment flows. Applications to market models with frictions ⋮ Introduction to convex optimization in financial markets ⋮ Optimal investment with taxes: An existence result ⋮ Hedging, arbitrage and optimality with superlinear frictions

Cites Work

• Convex Analysis

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