Merton Problem with Taxes: Characterization, Computation, and Approximation

DOI10.1137/080742178MaRDI QIDQ3563697zbMATH OpenOpenAlexWikidataFDO

Authors Imen Bentahar, Nizar Touzi, H. Mete Soner

Publication date 1 June 2010

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080742178

zbMATH Keywords

transaction costsfinite differencescapital gains taxesoptimal consumption and investment in continuous time

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06)

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Cited in

(10)

• Optimal investment with deferred capital gains taxes
• Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
• Tax-aware dynamic asset allocation
• Optimal investment strategies with a reallocation constraint
• The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes
• Modeling capital gains taxes for trading strategies of infinite variation
• Singular stochastic control model for algae growth management in dam downstream
• Penalty method for portfolio selection with capital gains tax
• Maximum principle for stochastic control of SDEs with measurable drifts
• Portfolio investment with the exact tax basis via nonlinear programming

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