The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes

DOI10.1137/050646044MaRDI QIDQ3525937zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Imen Bentahar, Nizar Touzi, H. Mete Soner

Publication date 23 September 2008

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/050646044

zbMATH Keywords

transaction costsvalue functionviscosity solutionscapital gains taxesoptimal consumption and investment in continuous time

Mathematics Subject Classification ID

Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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(6)

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• Optimal investment strategies with a reallocation constraint
• Penalty method for portfolio selection with capital gains tax
• Maximum principle for stochastic control of SDEs with measurable drifts
• How local in time is the no-arbitrage property under capital gains taxes?
• Investors' preference for a positive tax rate depends on the level of the interest rate

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