Optimal investment with taxes: an existence result |
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Authors: | Elys Jouini Pierre-F Koehl Nizar Touzi |
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Institution: | Elyès Jouini, Pierre-F. Koehl,Nizar Touzi, |
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Abstract: | 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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Keywords: | Optimal investment with taxes Weak compactness Levy convergence |
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