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

DOI10.1007/S10436-007-0091-1zbMATH Open1233.91193OpenAlexW2057088194MaRDI QIDQ666290FDOQ666290

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

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?

zbMATH Keywords

generalized linear taxation schemesmark-to-market valuationtax neutralitywash sales

Mathematics Subject Classification ID

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

Cites Work

• Capital Market Equilibrium with Personal Tax
• Capital Market Equilibrium with Differential Taxation *
• TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Optimal trading of a security when there are taxes and transaction costs
• Title not available (Why is that?)
• Nonlinear taxation, tax-arbitrage and equilibrium asset prices

Cited In (4)

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

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