Optimal Investment with Taxes : an Existence Result
نویسنده
چکیده
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 nancial asset subject to taxes on bene ts with rst-inrst-out priority rule on sales. Short sales are prohibitted and consumption is restricted to be nonnegative. Such a problem has been introduced in a previous paper by the same authors where the rst order conditions have been derived. In this paper, we establish an existence result for this non-classical optimal control problem.
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تاریخ انتشار 1999