TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

DOI10.1111/J.1467-9965.1995.TB00104.XMaRDI QIDQ3126226zbMATH OpenOpenAlexFDO

Authors James Cuevas Dermody, R. T. Rockafellar

Publication date 20 May 1997

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.1995.tb00104.x

zbMATH Keywords

no-arbitrage equilibriumportfolio adjustmenttax effectsvalue of a future cash stream

Mathematics Subject Classification ID

Recommendations

• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Valuation before and after tax in the discrete time, finite state no arbitrage model
• An axiomatic approach to the valuation of cash flows
• scientific article; zbMATH DE number 952997

Cites work

• Convex Analysis

Cited in

(10)

• Optimal investment with taxes: An existence result
• Dual representation of superhedging costs in illiquid markets
• Optimal investment and contingent claim valuation in illiquid markets
• Hedging, arbitrage and optimality with superlinear frictions
• Superhedging in illiquid markets
• Cash Stream Valuation In the Face of Transaction Costs and Taxes
• Arbitrage and deflators in illiquid markets
• Pricing issues with investment flows. Applications to market models with frictions
• Valuation before and after tax in the discrete time, finite state no arbitrage model
• Introduction to convex optimization in financial markets

This page was built for publication: TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3126226)