Optimal investment with taxes: An existence result
type: Item
instance of: scholarly article
title: Optimal investment with taxes: An existence result
zbMATH Open document ID: 0978.91043
DOI: 10.1016/S0304-4068(99)00034-8
author: Elyès Jouini
author: Nizar Touzi
author: Pierre-François Koehl
published in: Journal of Mathematical Economics
publication date: 2000-11-20T00:00:00Z
review text: A consumption-investment problem of the following form is considered in the continuous time framework. The agent receives an income, rebalances her portfolio, and consumes the rest (non-negative consumption is assumed). Tax has to be paid on benefits and the sales may be submitted to a FIFO priority rule imposed by the tax administration. Short selling is not allowed. Agent's utility function is given and it should be maximized over all admissible strategies. This problem turns out to be a non-classical optimal control problem with endogeneous delay with a complex non-negativity constraint on consumption. The paper contains existence results.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B42
Mathematics Subject Classification ID: 49J15
zbMATH DE Number: 1455518
zbMATH Keywords: optimal investment
zbMATH Keywords: weak compactness
zbMATH Keywords: Levy convergence
reviewed by: Marek Capiński
MaRDI profile type: Publication
cites work: Q5515914
cites work: Q4086511
cites work: TAX BASIS AND NONLINEARITY IN CASH STREAM VALUATION
cites work: Q3911791
cites work: Optimal investment with taxes: an optimal control problem with endogeneous delay
full work available at URL: s0304-4068(99)00034-8
OpenAlex ID: W3123752480
description: scientific article; zbMATH DE number 1455518