The dynamic programming equation for the problem of optimal investment under capital gains taxes

Keyphrases

• Capital Gains Tax 100%
• Compact Subset 33%
• Constrained Viscosity Solution 66%
• Continuous-time 33%
• Dynamic Programming Equation 100%
• Financial Markets 33%
• Merton 33%
• Numerical Results 33%
• Optimal Investment 100%
• Preprints 33%
• Risky Assets 33%
• Transaction Costs 33%
• Value Function 33%

Mathematics

• Compact Subset 50%
• Continuous Time 50%
• Function Value 50%
• Risky Asset 50%
• Viscosity Solution 100%

Economics, Econometrics and Finance

• Capital Gains Tax 100%
• Continuous Time 33%
• Dynamic Programming 100%
• Financial Market 33%
• Transaction Costs 33%