Optimal trading of a security when there are taxes and transaction costs

被引：3
|
作者：
Abel Cadenillas
Stanley R. Pliska
机构：
[1] Department of Mathematical Sciences,
[2] University of Alberta,undefined
[3] Edmonton,undefined
[4] Alberta,undefined
[5] Canada T6G 2G1 (e-mail: acadenil@newton.math.ualberta.ca) ,undefined
[6] University of Illinois at Chicago,undefined
[7] 601 South Morgan Street,undefined
[8] Chicago,undefined
[9] IL 60607-7124,undefined
[10] USA (e-mail: srpliska@uic.edu) ,undefined
来源：
Finance and Stochastics | 1999年 / 3卷 / 2期
关键词：
Key words:Portfolio management, stopping time, stochastic control, taxes, transaction costs JEL classification: G11, H20, C63 Mathematics Subject Classification (1991):90A09, 93E20, 60H30, 60G44, 90A16;
D O I：
10.1007/s007800050055
中图分类号：
学科分类号：
摘要：
We study the problem of investing in securities in order to maximize the after-tax rate of return. We consider a single stock modeled as geometric Brownian motion along with the objective of maximizing the long-run growth rate of after-tax wealth. We show that it is optimal not only to cut short the losses, but also the profits, even though there is no distinction between short and long term tax rates. This surprising result may be due to the possibility of using the tax system to reduce after-tax volatility.
引用
收藏
页码：137 / 165
页数：28
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