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Hereditary Portfolio Optimization with Taxes and Fixed Plus Proportional Transaction Costs—Part II
2007
Journal of Applied Mathematics and Stochastic Analysis
This paper is the continuation of the paper entitled "Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I" that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can make transactions between the two assets subject to paying capital-gain taxes as well as a fixed plus
doi:10.1155/2007/40149
fatcat:7x6jffll3rguxcmqs6bejssaci