Optimal Investment with Taxes :An Existence Result
July 1999
Elyès Jouini, Pierre-Francois Koehl, and Nizar Touzi
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.
Subject: Investments
Classification: Theoretical
Jouini : (212) 998-0279 ejouini@stern.nyu.edu
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