Optimal Investment with Taxes: An Existence Result

Elyès Jouini (), Pierre-Francois Koehl and Nizar Touzi

New York University, Leonard N. Stern School Finance Department Working Paper Seires from New York University, Leonard N. Stern School of Business-

Abstract: We study the deterministic control problem of maximizing utility from consumption of an agent who seeks to optimally allocate his wealth between consumption and investment in a financial asset subject to taxes on benefits with first-in-first-out priority rule on sales. Short-sales are prohibited and consumption is restricted to be nonnegative. Such a problem has been introduced in a previous paper by the same authors where the first order conditions have been derived. In this paper, we establish an existence result for this non-classical optimal control problem.

Date: 1999-07
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Related works:
Journal Article: Optimal investment with taxes: an existence result (2000)
Working Paper: Optimal investment with taxes: an existence result (2000)
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