Arbitrage and the tax code

DOI10.1007/S11579-011-0040-7zbMath1255.91280OpenAlexW3124907515MaRDI QIDQ1932547

Sanjay Srivastava, Michael Gallmeyer

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-011-0040-7

zbMATH Keywords

no arbitragetax arbitragecapital gain taxationlimited use of losses

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial applications of other theories (91G80)

Related Items (3)

Tax-aware portfolio construction via convex optimization ⋮ How local in time is the no-arbitrage property under capital gains taxes? ⋮ Tax-Aware Dynamic Asset Allocation

Cites Work

• Optimal portfolio choice with wash sale constraints
• Valuation before and after tax in the discrete time, finite state no arbitrage model
• Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
• Capital Market Equilibrium with Personal Tax

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