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...

Michael Stimmelmayr undertakes the intricate task of analyzing the outcome and especially the efficiency gains of capital income tax reforms. The simultaneous alteration of several tax rates will induce multiple economy wide repercussions, as firms and households change their optimal behaviour...