Arbitrage and non-linear taxes

被引：0
|
作者：
Becker, Marcus [1 ]
Loeffler, Andreas [2 ]
机构：
[1] ISM Int Sch Management, Econ & Quant Methods Dept, Otto Hahn Str 19, D-44227 Dortmund, Germany
[2] Free Univ Berlin, Fachbereich Wirtschaftswissensch, Dept FACTS, Thielallee 73, D-14195 Berlin, Germany
来源：
REVIEW OF MANAGERIAL SCIENCE | 2024年 / 18卷 / 12期
关键词：
No-arbitrage with taxation; Fundamental theorem of asset pricing; Non-constant tax rates; Application of convex optimization problems; C61; E62; G12; H24; VALUATION; DYNAMICS; DEBT;
D O I：
10.1007/s11846-023-00721-1
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
Incorporating a progressive income tax into an economic decision problem raises the question whether this tax does not create arbitrage opportunities. We investigate this problem in a riskless (multi-period) economy. With a convex tax function we identify a particular kind of arbitrage (called bounded arbitrage): In this case the gain achievable through arbitrage trade is limited and cannot reach infinity.We are able to give a complete characterisation based on prizes of the traded assets as to whether bounded as well as unbounded arbitrage opportunities will exist.
引用
收藏
页码：3487 / 3514
页数：28
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