Optimal Dynamic Asset Allocation with Capital Gains Taxes and Stochastic Volatility

Korean Journal of Financial Studies 2008;37(1):77-99.
Published online February 28, 2008.

Optimal Dynamic Asset Allocation with Capital Gains Taxes and Stochastic Volatility

Yuan Hung Hsuku

Key Words: Capital Gains Tax,Intertemporal Hedging Demand,Intertemporal Model,Portfolio Choice,Stochastic Volatility

TOOLS

METRICS

Related articles in Korean J Financ Stud

Editorial Office: 6F, Korea Financial Investment Association Building
143, Uisadangdaero, Yeongdeungpo-gu, Seoul 07332, Korea
Tel: +82-2-783-2615 Fax: +82-2-783-6539 E-mail: office@e-kjfs.org