Merton Problem with Taxes: Characterization, Computation, and Approximation
نویسندگان
چکیده
منابع مشابه
Merton Problem with Taxes: Characterization, Computation, and Approximation
We formulate a computationally tractable extension of the classical Merton optimal consumptioninvestment problem to include the capital gains taxes. This is the continuous-time version of the model introduced by Dammon, Spatt, and Zhang [Rev. Financ. Stud., 14 (2001), pp. 583–616]. In this model the tax basis is computed as the average cost of the stocks in the investor’s portfolio. This averag...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2010
ISSN: 1945-497X
DOI: 10.1137/080742178