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Optimal trading of a security when there are taxes and transaction costs · Study

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ArticleOptimal trading of a security when there are taxes and transaction costs

Abel Cadenillas1999

OA

Articlegreen1999

Optimal trading of a security when there are taxes and transaction costs

Abel Cadenillas · Stanley R. Pliska

57 citations·0/0 files stored·Finance and Stochastics

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk and Portfolio Optimization

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References

1977DEBT AND TAXES*1990Portfolio Selection with Transaction Costs 1978Dividends and taxes 1994Optimal Investment and Consumption with Transaction Costs 1983Capital Market Equilibrium with Personal Tax 1983Optimal Stock Trading with Personal Taxes: Implications for Prices and the Abnormal January Returns 1991An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs 1984Optimal bond trading with personal taxes

Cited by

2000Consumption-investment problems with transaction costs: Survey and open problems 2014Mean-reversion and optimization 2005A Near-Optimal Selling Rule for a Two-Time-Scale Market Model 2009Stochastic Optimization Methods for Buying-Low-and-Selling-High Strategies 2010Merton Problem with Taxes: Characterization, Computation, and Approximation

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2000Consumption-investment problems with transaction costs: Survey and open problemsarticle · 8 shared references 2014Direct evidence of dividend tax clientelesarticle · 6 shared references 1999The capital gain lock-in effect and equilibrium returnsarticle · 5 shared references 2005Tax management strategies with multiple risky assetsarticle · 5 shared references 2003Capital Market Equilibrium with Differential Taxationarticle · 5 shared references 1984Optimal bond trading with personal taxesarticle · 4 shared references

Details

Year1999

Typearticle

Published1999-02-01

VenueFinance and Stochastics

ISSN-L0949-2984

Languageen

Citations57

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s007800050055

openalex_workW2006925522

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