I extend and generalize the work of Kruschwitz and Löffler (BuR—Business Research 2(2):171–178, 2009). I find that, with a zero risk-free rate, the implicit price of capital gains tax payments is zero. I provide conditions in stochastic discount factor language when a capital gains tax has...

This thesis deals with 3 important aspects of optimal investment in real-world financial markets: taxes, crashes, and illiquidity. An introductory chapter reviews the portfolio problem in its historical context and motivates the theme of this work: We extend the standard modelling framework to...

This paper summarizes the current state of research on how taxation affects household decisions with respect to portfolio structure and asset trading. It discusses long-standing issues, such as the impact of differential taxation of income flows from stocks and bonds on the incentives for...

The taxation of realized capital gains creates a lock-in effect, increasing an investor's expected holding period. We show that the unrealized capital gains of mutual funds are positively associated with the earnings quality of their portfolio firms. Consistent with tax-induced lock-in, the...

Many finance problems can be formulated as a singular stochastic control problem, where the associated Hamilton-Jacobi-Bellman (HJB) equation takes the form of variational inequality and its penalty approximation equation is linked to a regular control problem. The penalty method, as a finite...

We study the out-of-sample performance of portfolio trading strategies when an investor faces capital gain taxation and proportional transaction costs. Under no capital gain taxation and no transaction costs, we show that, consistent with DeMiguel, Garlappi, and Uppal (2009), a simple 1/N...

Using panel data from 23 developed countries over the 2001-2011 period and employing the Arellano-Bover/Blundell-Bond dynamic panel estimation technique, we show that the source country capital gains tax has a negative and statistically significant impact on foreign portfolio equity holdings. On...