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Article dans une revue Journal of Mathematical Economics Année : 2000

Optimal investment with taxes: an existence result

Résumé

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.
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Dates et versions

halshs-00167145, version 1 (16-08-2007)

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  • HAL Id : halshs-00167145 , version 1

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Elyès Jouini, Pierre-François Koehl, Nizar Touzi. Optimal investment with taxes: an existence result. Journal of Mathematical Economics, 2000, 33, pp.373-388. ⟨halshs-00167145⟩
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