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Optimal investment with taxes: an existence result

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.
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https://halshs.archives-ouvertes.fr/halshs-00167145
Contributor : Elyès Jouini Connect in order to contact the contributor
Submitted on : Thursday, August 16, 2007 - 1:32:09 AM
Last modification on : Wednesday, November 17, 2021 - 12:26:51 PM

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  • HAL Id : halshs-00167145, version 1

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Elyès Jouini, Pierre-François Koehl, Nizar Touzi. Optimal investment with taxes: an existence result. Journal of Mathematical Economics, Elsevier, 2000, 33, pp.373-388. ⟨halshs-00167145⟩

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