2 papers
q-fin.PM2014
Optimal Selling Time of a Stock under Capital Gains Taxes
Christoph Kühn, Budhi Arta Surya, Björn Ulbricht
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from…
q-fin.PM2013
Modeling capital gains taxes for trading strategies of infinite variation
Christoph Kühn, Björn Ulbricht
In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all càglàd and adapted tra…