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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.
Appears in Collections:Macro Finance

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