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 |
Files in This Item:
File | Description | Size | Format | |
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S-MF-99-05.pdf | 259.62 kB | Adobe PDF | View/Open |
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