学术报告

报告人：Prof. Min Dai (新加坡国立大学)

题目： Portfolio selection with capital gains tax

时间：2015年6月10日(星期三)

下午3：00—4：00

地点：数学系致远楼102

欢迎各位参加！

Title: Portfolio selection with capital gains tax

Speakers: Min Dai

Abstract: This talk consists of three parts. First, we develop an optimal tax-timing model that takes into account asymmetric long-term and short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In contrast to the existing literature, this model can help explain why many investors not only defer short-term capital losses to long term but also defer large long-term capital gains and losses. Because the benefit of tax deductibility of capital losses increases with the short-term tax rates, effective tax rates can decrease as short-term capital gains tax rates increase. Second, we show that the value function corresponds to the minimum viscosity solution to the associated HJB equation. Third, we provide some insights on optimal strategy using asymptotic analysis. This work is based on my recent works with Baojun Bian, Jiatu Cai, Xinfu Chen, Hong Liu, Chen Yang, and Yifei Zhong.