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dc.contributor.authorTouzi, Nizar
dc.contributor.authorJouini, Elyès
dc.contributor.authorKoehl, Pierre-François
dc.date.accessioned2011-01-31T13:40:31Z
dc.date.available2011-01-31T13:40:31Z
dc.date.issued2000-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/5600
dc.language.isoenen
dc.subjectLevy convergenceen
dc.subjectWeak compactnessen
dc.subjectOptimal investment with taxesen
dc.subject.ddc338.5en
dc.subject.classificationjelD91en
dc.subject.classificationjelD11en
dc.subject.classificationjelC69en
dc.titleOptimal investment with taxes : an existence resulten
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherCERMSEM, Université Paris I;France
dc.description.abstractenWe 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.en
dc.relation.isversionofjnlnameJournal of Mathematical Economics
dc.relation.isversionofjnlvol33en
dc.relation.isversionofjnlissue4en
dc.relation.isversionofjnldate2000-05
dc.relation.isversionofjnlpages373-388en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0304-4068(99)00034-8en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelMicroéconomieen


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