TY - JOUR
T1 - Optimal investment with taxes
T2 - An optimal control problem with endogeneous delay
AU - Jouini, Elyès
AU - Koehl, Pierre F.
AU - Touzi, Nizar
PY - 1999/7
Y1 - 1999/7
N2 - The case where portfolio rebalancement involves the payment of taxes on benefits is analyzed. Purchasing time of the asset to be sold is recorded to compute the amount of tax to be paid. The model assumes a no-short-selling constraint and the first-in-first-out priority rule on sales. The agent problem is a nonclassical optimal control problem with endogeneous delay and with complex nonnegativity constraint on consumption. Some additional smoothness conditions on the optimal strategy are assumed to derive the first-order conditions associated with the control problem of interest. The usual variational methods are adapted to handle the endogeneous delay function.
AB - The case where portfolio rebalancement involves the payment of taxes on benefits is analyzed. Purchasing time of the asset to be sold is recorded to compute the amount of tax to be paid. The model assumes a no-short-selling constraint and the first-in-first-out priority rule on sales. The agent problem is a nonclassical optimal control problem with endogeneous delay and with complex nonnegativity constraint on consumption. Some additional smoothness conditions on the optimal strategy are assumed to derive the first-order conditions associated with the control problem of interest. The usual variational methods are adapted to handle the endogeneous delay function.
UR - http://www.scopus.com/inward/record.url?scp=0033164521&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=0033164521&partnerID=8YFLogxK
U2 - 10.1016/S0362-546X(98)00139-4
DO - 10.1016/S0362-546X(98)00139-4
M3 - Article
AN - SCOPUS:0033164521
SN - 0362-546X
VL - 37
SP - 31
EP - 56
JO - Nonlinear Analysis, Theory, Methods and Applications
JF - Nonlinear Analysis, Theory, Methods and Applications
IS - 1
ER -