Optimal Investment with Taxes: An Existence Result
Universite de Paris 9 Dauphine - CEREMADE
National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
Ecole Polytechnique, Paris
Journal of Mathematical Economics, Vol. 33, pp. 373-388, 2000
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.
Keywords: Optimal investment with taxes, Weak compactness, Levy convergence
JEL Classification: C69, D11, D91Accepted Paper Series
Date posted: August 15, 2007
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