For what trading strategies is the tax payment stream of infinite variation?

DOI10.1080/07362994.2016.1256218zbMath1411.91516OpenAlexW2561470180MaRDI QIDQ2974046

Christoph Kühn

Publication date: 6 April 2017

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07362994.2016.1256218

zbMATH Keywords

total variationwash salescapital gains taxesCPPI with taxespathwise suprema of killed Brownian motions

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• The fundamental theorem of asset pricing under transaction costs
• Theory of constant proportion portfolio insurance
• A note on the inhomogeneous linear stochastic differential equation.
• Optimal investment with taxes: An existence result
• On the asymptotic normality of sequences of weak dependent random variables
• Model-free CPPI
• Effectiveness of CPPI strategies under discrete-time trading
• Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation
• Capital Market Equilibrium with Personal Tax
• Optimal investment with taxes: an optimal control problem with endogeneous delay
• Probability theory. A comprehensive course

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