Optimal investment with taxes : an existence result

Touzi, Nizar; Jouini, Elyès; Koehl, Pierre-François

Touzi, Nizar; Jouini, Elyès; Koehl, Pierre-François (2000), Optimal investment with taxes : an existence result, Journal of Mathematical Economics, 33, 4, p. 373-388. http://dx.doi.org/10.1016/S0304-4068(99)00034-8

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Type

Article accepté pour publication ou publié

Date

2000-05

Journal name

Journal of Mathematical Economics

Volume

Number

Publisher

Elsevier

Pages

373-388

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.

Subjects / Keywords

Levy convergence; Weak compactness; Optimal investment with taxes

JEL

D91 - Intertemporal Household Choice; Life Cycle Models and Saving
D11 - Consumer Economics: Theory
C69 - Other