Optimal investment with taxes: an existence result

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

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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 non-negative. 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.

Keywords: Optimal investment with taxes; Weak compactness; Levy convergence (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (5)

Published in Journal of Mathematical Economics, 2000, 33, pp.373-388

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Journal Article: Optimal investment with taxes: an existence result (2000)
Working Paper: Optimal Investment with Taxes: An Existence Result (1999)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00167145

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