Gavin, William T. (contributor); … - 2004 - [Elektronische Ressource]
capital gains, U
t
, subject to an adjustment-cost function that
represents portfolio management costs:
3
(4b)
t
t
t
ttttt … portfolio management costs or other frictions, the problem is
indeterminate. Given a constant capital gains tax rate over time … portfolio
management cost provides convexity to the problem, thus allowing for non-corner solutions.
5
max
0
0
(,)
t
tt
t …