英文标题：
《Optimal Selling Time of a Stock under Capital Gains Taxes》
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作者：
Christoph K\\\"uhn and Budhi Arta Surya and Bj\\\"orn Ulbricht
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最新提交年份：
2014
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英文摘要：
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 which she assumes that it has a lower expected return than the riskless bank account and determine the optimal stopping time at which she sells the stock to invest the proceeds in the bank account up to the maturity date. In the case of linear taxes and a positive riskless interest rate, the problem is nontrivial because at the selling time the investor has to realize book profits which triggers tax payments. We derive a boundary that is continuous and increasing in time and decreasing in the volatility of the stock such that the investor sells the stock at the first time its price is smaller or equal to this boundary.
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中文摘要：
我们在一个非常简单的模型中研究了资本利得税对最优投资决策的影响。也就是说，我们考虑一个风险中性的投资者，她持有一只风险股票，从中她假设其预期回报低于无风险银行账户，并确定她出售股票以将收益投资于银行账户直至到期日的最佳停止时间。在线性税收和正无风险利率的情况下，问题并不重要，因为在出售时，投资者必须实现账面利润，从而触发纳税。我们推导出一个边界，该边界是连续的，时间上是增加的，股票的波动性是减少的，这样投资者在第一次出售股票时，其价格就小于或等于该边界。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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