A dynamic portfolio choice model of tax evasion: Comparative statics of tax rates and its implication for economic growth

2001 ◽  
Vol 25 (11) ◽  
pp. 1827-1840 ◽  
Author(s):  
Wen-Zhung Lin ◽  
C.C. Yang
Keyword(s):  
Economic Growth ◽  
Portfolio Choice ◽  
Tax Evasion ◽  
Choice Model ◽  
Comparative Statics ◽  
Tax Rates ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Choice

scholarly journals A Dynamic Mean-Variance Analysis for Log Returns

2020 ◽  
Author(s):  
Min Dai ◽  
Hanqing Jin ◽  
Steven Kou ◽  
Yuhong Xu
Keyword(s):  
Portfolio Choice ◽  
Choice Model ◽  
Risky Assets ◽  
Complete Market ◽  
Dynamic Portfolio ◽  
Short Sell ◽  
Dynamic Portfolio Choice ◽  
Risk Free Rate ◽  
Mean Variance

We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The model yields time-consistent portfolio policies and is analytically tractable even under some incomplete market settings. The portfolio policies conform with conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; the longer the investment time horizon, the more proportional amount of money should be invested in risky assets; and for long-term investment, people should not short-sell major stock indices whose returns are higher than the risk-free rate), and the model provides a direct link with the constant relative risk aversion utility maximization in a complete market. This paper was accepted by Kay Giesecke, finance.

Dynamic Portfolio Choice with Stochastic Wage and Life Insurance

2015 ◽  
Vol 19 (4) ◽  
pp. 256-272 ◽  
Author(s):  
Xudong Zeng ◽  
Yuling Wang ◽  
James M. Carson
Keyword(s):  
Portfolio Choice ◽  
Life Insurance ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Choice
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