Title :
Optimal stopping theory for an investment problem with taxes and transaction costs
Author :
Cadenillas, Abel ; Pliska, Stanley R.
Author_Institution :
Dept. of Math. Sci., Alberta Univ., Edmonton, Alta., Canada
Abstract :
We consider a financial market in which there is a single stock. An investor is free to buy and sell this stock at any time, but when he does so he pays a transaction cost and he either pays a tax in the event of a gain or receives a tax credit in the event of a loss. The investor´s objective is to choose a trading strategy that maximizes the long-run growth rate of this single security portfolio. We apply optimal stopping theory to solve this problem
Keywords :
investment; operations research; optimisation; stock markets; financial market; growth rate; investment; optimal stopping theory; optimisation; portfolio; stock market; tax; transaction cost; Cost function; Finance; Investments; Marketing and sales; Portfolios; Random variables; Solid modeling; Stochastic processes; USA Councils;
Conference_Titel :
Decision and Control, 1998. Proceedings of the 37th IEEE Conference on
Conference_Location :
Tampa, FL
Print_ISBN :
0-7803-4394-8
DOI :
10.1109/CDC.1998.757858
