Modeling Capital Gains Taxes for Trading Strategies of Infinite Variation

DOI10.1080/07362994.2015.1038570zbMath1338.91129arXiv1309.7368OpenAlexW2123653401MaRDI QIDQ3194567

Christoph Kühn, Björn Ulbricht

Publication date: 20 October 2015

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

Full work available at URL: https://arxiv.org/abs/1309.7368

zbMATH Keywords

semimartingaleslocal timedividend policycapital gains taxes

Mathematics Subject Classification ID

Trade models (91B60) Generalizations of martingales (60G48) Local time and additive functionals (60J55) Portfolio theory (91G10)

Related Items (2)

For what trading strategies is the tax payment stream of infinite variation? ⋮ How local in time is the no-arbitrage property under capital gains taxes?

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