Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching

2018 ◽  
Vol 64 (5) ◽  
pp. 2308-2324 ◽  
Author(s):  
Jiatu Cai ◽  
Xinfu Chen ◽  
Min Dai
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Capital Gains ◽  
Recursive Utility ◽  
Capital Gains Tax

Penalty method for portfolio selection with capital gains tax

2021 ◽  
Author(s):  
Baojun Bian ◽  
Xinfu Chen ◽  
Min Dai ◽  
Shuaijie Qian
Keyword(s):  
Portfolio Selection ◽  
Penalty Method ◽  
Capital Gains ◽  
Capital Gains Tax

Continuous-time mean-variance portfolio selection with regime-switching financial market: Time-consistent solution

2021 ◽  
Vol 0 (0) ◽  
Author(s):  
Ishak Alia ◽  
Farid Chighoub
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Optimal Time ◽  
Uniqueness Results ◽  
State Dependent ◽  
Consistent Solution ◽  
Game Theoretic ◽  
Markov Modulated ◽  
Mean Variance Portfolio ◽  
Mean Variance

Abstract This paper studies optimal time-consistent strategies for the mean-variance portfolio selection problem. Especially, we assume that the price processes of risky stocks are described by regime-switching SDEs. We consider a Markov-modulated state-dependent risk aversion and we formulate the problem in the game theoretic framework. Then, by solving a flow of forward-backward stochastic differential equations, an explicit representation as well as uniqueness results of an equilibrium solution are obtained.

scholarly journals Finance Act 1965: The Capital Gains Tax

1966 ◽  
Vol 29 (2) ◽  
pp. 181-184
Author(s):  
Leonard Lazar
Keyword(s):  
Capital Gains ◽  
Capital Gains Tax
Sign in / Sign up

Export Citation Format

Share Document