Taxation, Savings, and Portfolio Choice in a Continuous Time Model

Jonathan Hamilton

Public Finance = Finances publiques, 1987, vol. 42, issue 2, 264-82

Abstract: The continuous time model of consumption and portfolio choice is used to examine the effects of taxation of capital income. Several types of taxes on asset returns are analyzed. For utility functions with constant relative risk aversion, the welfare losses under uncertainty equal those in a certainty environment for general capital taxes. Differential tax rates on returns to capital produce larger welfare losses than equal rates on all asset returns. In contrast to other studies, simulated values of the welfare loss from the equal rate tax on returns to capital are smaller. Simulations for differential capital taxes show much greater welfare losses.

Date: 1987
References: Add references at CitEc
Citations: View citations in EconPapers (12)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pfi:pubfin:v:42:y:1987:i:2:p:264-82

Access Statistics for this article

More articles in Public Finance = Finances publiques
Bibliographic data for series maintained by Christopher F. Baum ().