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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27363
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| Title: | Optimal Investment with Taxes: An Existence Result |
| Authors: | Jouini, Elyès
Koehl, Pierre-Francois
Touzi, Nizar |
| Keywords: | optimal investment with taxes
weak compactness
Levy convergence |
| Issue Date: | 6-Jul-1999 |
| Series/Report no.: | S-MF-99-05 |
| 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 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. |
| URI: | http://hdl.handle.net/2451/27363 |
| Appears in Collections: | Macro Finance
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