Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation
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Publication:3194567
DOI10.1080/07362994.2015.1038570zbMath1338.91129arXiv1309.7368OpenAlexW2123653401MaRDI QIDQ3194567
Christoph Kühn, Björn Ulbricht
Publication date: 20 October 2015
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.7368
Trade models (91B60) Generalizations of martingales (60G48) Local time and additive functionals (60J55) Portfolio theory (91G10)
Related Items (2)
For what trading strategies is the tax payment stream of infinite variation? ⋮ How local in time is the no-arbitrage property under capital gains taxes?
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