Valuation before and after tax in the discrete time, finite state no arbitrage model

DOI10.1007/S10436-007-0091-1MaRDI QIDQ666290zbMATHOpenAlexFDO

Authors Bjarne Astrup Jensen

Publication date 8 March 2012

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-007-0091-1

zbMATH Keywords

generalized linear taxation schemesmark-to-market valuationtax neutralitywash sales

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Recommendations

• TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Arbitrage and the tax code
• Arbitrage in a discrete time model of a financial market with a taxation proportional to the portfolio size
• How local in time is the no-arbitrage property under capital gains taxes?

Cites work

• scientific article; zbMATH DE number 796435 (Why is no real title available?)
• Capital Market Equilibrium with Differential Taxation *
• Capital Market Equilibrium with Personal Tax
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Nonlinear taxation, tax-arbitrage and equilibrium asset prices
• Optimal trading of a security when there are taxes and transaction costs
• TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

Cited in

(4)

• Optimal portfolio choice with wash sale constraints
• How local in time is the no-arbitrage property under capital gains taxes?
• Arbitrage and the tax code
• Discrete-time market models from the small investor point of view and the first fundamental-type theorem

This page was built for publication: Valuation before and after tax in the discrete time, finite state no arbitrage model

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q666290)