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

相关论文

共 50 条

[21] On the non-linear scale of cosmological perturbation theory [J].

Blas, Diego ;

Garny, Mathias ;

Konstandin, Thomas .

JOURNAL OF COSMOLOGY AND ASTROPARTICLE PHYSICS, 2013, (09)

[22] CONTINUOUS SOLUTION FOR A NON-LINEAR EIKONAL SYSTEM [J].

El Hajj, Ahmad ;

Oussaily, Aya .

COMMUNICATIONS ON PURE AND APPLIED ANALYSIS, 2021, 20 (11) :3779-3807

[23] The generation of mass in a non-linear field theory [J].

Warmann, Thomas .

ZEITSCHRIFT FUR NATURFORSCHUNG SECTION A-A JOURNAL OF PHYSICAL SCIENCES, 2022, 77 (08) :723-798

[24] Non-linear Flocking Networks with Collision Avoidance [J].

Somarakis, Christoforos ;

Baras, John .

2015 34TH CHINESE CONTROL CONFERENCE (CCC), 2015, :7633-7638

[25] On the Connectivity Assumption of Non-Linear Flocking Models [J].

Somarakis, Christoforos ;

Baras, John S. .

2013 18TH INTERNATIONAL CONFERENCE ON METHODS AND MODELS IN AUTOMATION AND ROBOTICS (MMAR), 2013, :800-805

[26] Editorial: Advances in non-linear systems and networks [J].

Yu, Fei ;

Lin, Hairong ;

Pham, Viet-Thanh .

FRONTIERS IN PHYSICS, 2023, 11

[27] THE EFFECT OF HYDROGEN ON NON-LINEAR FLAME SATURATION [J].

Aesoy, Eirik ;

Indlekofer, Thomas ;

Bothien, Mirko R. ;

Dawson, James R. .

PROCEEDINGS OF ASME TURBO EXPO 2023: TURBOMACHINERY TECHNICAL CONFERENCE AND EXPOSITION, GT2023, VOL 3B, 2023,

[28] Linear and non-linear eccentric mode evolution in unstratified MHD discs [J].

Lynch, Elliot M. ;

Dewberry, Janosz W. .

MONTHLY NOTICES OF THE ROYAL ASTRONOMICAL SOCIETY, 2023, 526 (02) :2673-2687

[29] Reduced-order modelling for solving linear and non-linear equations [J].

Verdon, N. ;

Allery, C. ;

Beghein, C. ;

Hamdouni, A. ;

Ryckelynck, D. .

INTERNATIONAL JOURNAL FOR NUMERICAL METHODS IN BIOMEDICAL ENGINEERING, 2011, 27 (01) :43-58

[30] A note on arbitrage-free asset prices with and without personal income taxes [J].

Jochen Wilhelm ;

Josef Schosser .

Review of Managerial Science, 2007, 1 (2) :133-149

← 1 2 3 4 5 →