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                                                     Seminar

             Department of Systems Engineering and Engineering Management
                                  The Chinese University of Hong Kong

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Title

:

Optimal Consumption and Investment with Differential Long-term and Short-term Tax Rates

　

　

　

Speaker

:

Mr. Yifei Zhong

　

　

 
Mathematical Institute

　

　

 
The University of Oxford

　

　

　

Date

:

Feb. 9th, 2011 (Wednesday)

　

　

　

Time

:

1:30 p.m. - 2:30 p.m.

　

　

　

Venue

:

Room 513

　

　

William M.W. Mong Engineering Building

　

　

(Engineering Building Complex Phase 2)

　

　

CUHK

　

　

　

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Abstract:
　

We propose a novel optimal consumption and optimal investment model with differential long-term/short-term tax rates. The optimal trading strategy is characterized by a time-varying no-transaction region outside which it is optimal to sell the stock and repurchase it to achieve a fixed fraction of after-tax wealth invested in stock. In contrast to the standard literature, we show that it can be optimal to defer capital loss even in the absence of transaction costs. In addition, an investor subject to capital gain tax may be better off than a tax-exempt investor and an investor may prefer a taxable security to a tax-exempt security, ceteris paribus. Moreover, raising the short-term tax rate can increase both consumption and stock investment


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Biography:
　

I am a third year DPhil student supervised by Professor Xunyu Zhou in the Mathematical and Computational Finance Group, at Oxford University. I completed my BSc in Applied Mathematics at Peking University and my MSc in Financial Mathematics at National University of Singapore. My research includes mathematical finance, portfolio selection, optimal stopping and applied PDEs. Currently, I am a full member of Oxford-Man Institute of Quantitative Finance.


************************* ALL ARE WELCOME ************************

　

　

　

Host

:

Prof. Nan Chen

Tel

:

(852)2609-8237

Email

:

nchen@se.cuhk.edu.hk

　

　

　

Enquiries

:

Prof. Nan Chen or Prof. Sean X. Zhou

　

:

Department of Systems Engineering and Engineering Management

　

　

CUHK

Website

:

http://www.se.cuhk.edu.hk/~seem5201

Email

:

seem5201@se.cuhk.edu.hk

　

　

　

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