Optimal Investment with Taxes: An Existence Result
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.
Year of publication: |
1999-07
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Authors: | Jouini, Elyès ; Koehl, Pierre-Francois ; Touzi, Nizar |
Institutions: | Finance Department, Stern School of Business |
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