Optimal trading of a security when there are taxes and transaction costs

DOI10.1007/s007800050055zbMath0924.90008OpenAlexW2006925522MaRDI QIDQ1297916

Abel Cadenillas, Stanley R. Pliska

Publication date: 14 September 1999

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050055

zbMATH Keywords

stochastic controlstopping timetransaction costsportfolio managementtaxes

Mathematics Subject Classification ID

Related Items (11)

Optimal investment with deferred capital gains taxes ⋮ Rebalancing an investment portfolio in the presence of convex transaction costs, including market impact costs ⋮ Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation ⋮ Von Neumann–Gale model, market frictions and capital growth ⋮ MARKET EQUILIBRIUM WITH CAPITAL LOSS DEDUCTION OPTIONS ⋮ Trading a mean-reverting asset: buy low and sell high ⋮ Investors' preference for a positive tax rate depends on the level of the interest rate ⋮ Valuation before and after tax in the discrete time, finite state no arbitrage model ⋮ Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. ⋮ A trend-following strategy: conditions for optimality ⋮ Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies

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