Journal of Computational Finance

Optimal portfolio management in mar taxation

Cristin Buescu, Michael Taksar


We consider a long-run growth rate optimization model in a Black–Scholes setting, where each transaction incurs transaction costs and taxation on the profits (taxation depends on the length of time the assets were held in portfolio). The resulting problem becomes an ergodic impulse control problem. We show existence of a viscosity solution to the corresponding Hamilton–Jacobi–Belmann equation, and use the regenerative process technique to obtain numerical solutions.

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