Touzi, Nizar; Jouini, Elyès; Koehl, Pierre-François - Université Paris-Dauphine (Paris IX) - 1999
Here, we study the case where the portfolio rebalancement involves the payment of taxes on benefits. Then, the purchasing time of the asset to be sold has to be recorded in order to compute the amount of tax to be paid. In addition to the no-short-selling constraint, our model assumes that sales...
