Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Jouini, Elyès | - |
dc.contributor.author | Koehl, Pierre-Francois | - |
dc.contributor.author | Touzi, Nizar | - |
dc.date.accessioned | 2008-05-31T07:11:42Z | - |
dc.date.available | 2008-05-31T07:11:42Z | - |
dc.date.issued | 1999-07-06 | - |
dc.identifier.uri | http://hdl.handle.net/2451/27363 | - |
dc.description.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. | en |
dc.language.iso | en_US | en |
dc.relation.ispartofseries | S-MF-99-05 | en |
dc.subject | optimal investment with taxes | en |
dc.subject | weak compactness | en |
dc.subject | Levy convergence | en |
dc.title | Optimal Investment with Taxes: An Existence Result | en |
dc.type | Working Paper | en |
Appears in Collections: | Macro Finance |
Files in This Item:
File | Description | Size | Format | |
---|---|---|---|---|
S-MF-99-05.pdf | 259.62 kB | Adobe PDF | View/Open |
Items in FDA are protected by copyright, with all rights reserved, unless otherwise indicated.