Matches in SemOpenAlex for { <https://semopenalex.org/work/W2247209207> ?p ?o ?g. }
Showing items 1 to 63 of
63
with 100 items per page.
- W2247209207 abstract "Here, we study the case where the portfolio rebalancement involves the payment of taxes on benefits. Then, the purchasing time of the asset to be sold has to be recorded in order to compute the amount of tax to be paid. In addition to the no-short-selling constraint, our model assumes that sales are subject to the first-in-first-out priority rule on sales. A precise description of the model is given in Section 2. The agent problem turns out to be a nonclassical optimal control problem with endogeneous delay andwith complex nonnegativity constraint on consumption. Section 3 is devoted to the proof of the following economic appealing result. An optimal strategy can always be chosen such that the agent never sells out of his portfolio and buy new Financial assets simultaneously. Using this property, the nonnegativity constraint on consumption is simplified and reduced to a classical constraint on the controls and the state variables. Namely, the nonnegativity constraint on consumption can be expressed simply in terms of the investment and the disinvestment functions. In Section 4, we assume some additional smoothness conditions on the optimal strategy in order to derive the first-order conditions associated to the control problem of interest. The usual variational methods are adapted to handle the endogeneous delay function." @default.
- W2247209207 created "2016-06-24" @default.
- W2247209207 creator A5022412598 @default.
- W2247209207 creator A5038005282 @default.
- W2247209207 creator A5072983724 @default.
- W2247209207 date "1997-01-01" @default.
- W2247209207 modified "2023-10-09" @default.
- W2247209207 title "Optimal investment with taxes: an optimal control problem with endogeneous delay" @default.
- W2247209207 hasPublicationYear "1997" @default.
- W2247209207 type Work @default.
- W2247209207 sameAs 2247209207 @default.
- W2247209207 citedByCount "1" @default.
- W2247209207 crossrefType "posted-content" @default.
- W2247209207 hasAuthorship W2247209207A5022412598 @default.
- W2247209207 hasAuthorship W2247209207A5038005282 @default.
- W2247209207 hasAuthorship W2247209207A5072983724 @default.
- W2247209207 hasConcept C10138342 @default.
- W2247209207 hasConcept C126255220 @default.
- W2247209207 hasConcept C144237770 @default.
- W2247209207 hasConcept C162324750 @default.
- W2247209207 hasConcept C170131372 @default.
- W2247209207 hasConcept C2524010 @default.
- W2247209207 hasConcept C2776036281 @default.
- W2247209207 hasConcept C2780821815 @default.
- W2247209207 hasConcept C33923547 @default.
- W2247209207 hasConcept C41008148 @default.
- W2247209207 hasConcept C91575142 @default.
- W2247209207 hasConceptScore W2247209207C10138342 @default.
- W2247209207 hasConceptScore W2247209207C126255220 @default.
- W2247209207 hasConceptScore W2247209207C144237770 @default.
- W2247209207 hasConceptScore W2247209207C162324750 @default.
- W2247209207 hasConceptScore W2247209207C170131372 @default.
- W2247209207 hasConceptScore W2247209207C2524010 @default.
- W2247209207 hasConceptScore W2247209207C2776036281 @default.
- W2247209207 hasConceptScore W2247209207C2780821815 @default.
- W2247209207 hasConceptScore W2247209207C33923547 @default.
- W2247209207 hasConceptScore W2247209207C41008148 @default.
- W2247209207 hasConceptScore W2247209207C91575142 @default.
- W2247209207 hasOpenAccess W2247209207 @default.
- W2247209207 hasRelatedWork W1963901383 @default.
- W2247209207 hasRelatedWork W1972303328 @default.
- W2247209207 hasRelatedWork W1973400601 @default.
- W2247209207 hasRelatedWork W2017141753 @default.
- W2247209207 hasRelatedWork W2025865698 @default.
- W2247209207 hasRelatedWork W2086868669 @default.
- W2247209207 hasRelatedWork W2125998430 @default.
- W2247209207 hasRelatedWork W2132264535 @default.
- W2247209207 hasRelatedWork W2153587282 @default.
- W2247209207 hasRelatedWork W2173570290 @default.
- W2247209207 hasRelatedWork W21815218 @default.
- W2247209207 hasRelatedWork W2355337622 @default.
- W2247209207 hasRelatedWork W2977780765 @default.
- W2247209207 hasRelatedWork W3015096560 @default.
- W2247209207 hasRelatedWork W3121413901 @default.
- W2247209207 hasRelatedWork W3122069839 @default.
- W2247209207 hasRelatedWork W3125691853 @default.
- W2247209207 hasRelatedWork W633211010 @default.
- W2247209207 hasRelatedWork W3124194480 @default.
- W2247209207 hasRelatedWork W3125353899 @default.
- W2247209207 isParatext "false" @default.
- W2247209207 isRetracted "false" @default.
- W2247209207 magId "2247209207" @default.
- W2247209207 workType "article" @default.