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Optimal trading of a security when there are taxes and transaction costs |
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| Authors: | Abel Cadenillas Stanley R. Pliska |
| Affiliation: | (1) Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1 (e-mail: acadenil@newton.math.ualberta.ca) , CA;(2) University of Illinois at Chicago, 601 South Morgan Street, Chicago, IL 60607-7124, USA (e-mail: srpliska@uic.edu) , US |
| Abstract: | |
| Keywords: | :Portfolio management stopping time stochastic control taxes transaction costs JEL classification: G11 H20 C63 Mathematics Subject Classification (1991):90A09 93E20 60H30 60G44 90A16 |
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