The dynamic programming equation for the problem of optimal investment under capital gains taxes
BenTahar, Imen and Soner, Halil Mete and Touzi, Nizar (2007) The dynamic programming equation for the problem of optimal investment under capital gains taxes. (Accepted/In Press) AbstractThis paper considers an extension of the Merton optimal investment
problem to the case where the risky asset is subject to
transaction costs and capital gains taxes. We derive the dynamic
programming equation in the sense of constrained viscosity
solutions. We next introduce a family of functions, which converges to our value
function uniformly on compact subsets, and which is characterized
as the unique constrained viscosity solution of an approximation
of our dynamic programming equation. In particular, this result
justifies the numerical results reported in the accompanying paper by the authors. Available Versions of this Item The dynamic programming equation for the problem of optimal investment under capital gains taxes. (deposited 03 Oct 2007 09:18) [Currently Displayed]
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