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Optimal investment with taxes : an existence result

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Date
2000-05
Dewey
Microéconomie
Sujet
Levy convergence; Weak compactness; Optimal investment with taxes
JEL code
D91; D11; C69
Journal issue
Journal of Mathematical Economics
Volume
33
Number
4
Publication date
05-2000
Article pages
373-388
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/S0304-4068(99)00034-8
URI
https://basepub.dauphine.fr/handle/123456789/5600
Collections
  • CEREMADE : Publications
Metadata
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Author
Touzi, Nizar
Jouini, Elyès
Koehl, Pierre-François
Type
Article accepté pour publication ou publié
Abstract (EN)
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.

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