相关论文: Taxation and Valuation

Tax evasion is the illegal evasion of taxes by individuals, corporations, and trusts. The revenue loss from tax avoidance can undermine the effectiveness and equity of the government policies. A standard measure of tax evasion is the tax…

Under Solvency II the computation of capital requirements is based on value at risk (V@R). V@R is a quantile-based risk measure and neglects extreme risks in the tail. V@R belongs to the family of distortion risk measures. A serious…

We analyse the effect of a proportional wealth tax on asset returns, portfolio choice, and asset pricing. The tax is levied annually on the market value of all holdings at a uniform rate. We show that such a tax is economically equivalent…

In this paper, we propose stock trading based on the average tax basis. Recall that when selling stocks, capital gain should be taxed while capital loss can earn certain tax rebate. We learn the optimal trading strategies with and without…

Under conditions of market equilibrium, the distribution of capital income follows a Pareto power law, with an exponent that characterizes the given equilibrium. Here, a simple taxation scheme is proposed such that the post-tax capital…

We introduce a highly stylized, yet non trivial model of the economy, with a public and private sector coupled through a wealth tax and a redistribution policy. The model can be fully solved analytically, and allows one to address the…

We introduce two models of taxation, the latent and natural tax processes, which have both been used to represent loss-carry-forward taxation on the capital of an insurance company. In the natural tax process, the tax rate is a function of…

This article describes and explores taxes and debt in finance. Here a situation is thought about, where tax payments would qualify to be considered as debt. Using this principle we can infer that it is possible to create and price a type of…

Through a short sale, a person borrows a share of stock from a lender, sells the borrowed share to a third person at the current price, and purchases an identical share in the market at a future date and at a future price to replace the…

We study optimal taxation when citizens are not fully confident that the government will transform tax revenue into useful public goods. In an otherwise standard Ramsey framework, a representative agent values a public good financed by…

A negative basis trade enters a long bond position and buys protection on the issuer of the bond through credit default swap (CDS), aiming at arbitrage profit due to the bond-CDS basis. To classic reduced form model theorists, the existence…

This paper develops a spatial-dynamic framework to analyze the theoretical and quantitative effects of a Land Value Tax (LVT) on urban land markets, capital accumulation, and spatial redistribution. Building upon the Georgist distinction…

Cost-of-capital valuation is a well-established approach to the valuation of liabilities and is one of the cornerstones of current regulatory frameworks for the insurance industry. Standard cost-of-capital considerations typically rely on…

A proportional wealth tax - a levy on the stock of wealth - preserves portfolio neutrality by acting as a uniform drift shift in the Fokker-Planck equation for wealth dynamics. We extend this result to the full system of ownership taxes…

In a dynamic economy, we characterize the fiscal policy of the government when it levies distortionary taxes and issues defaultable bonds to finance its stochastic expenditure. Default may occur in equilibrium as it prevents the government…

In contemporary society, the effective utilization of public resources remains a subject of significant concern. A common issue arises from defectors seeking to obtain an excessive share of these resources for personal gain, potentially…

Pricing formulae for defaultable corporate bonds with discrete coupons under consideration of the government taxes in the united model of structural and reduced form models are provided. The aim of this paper is to generalize the…

How should taxes on externality-generating activities be adjusted if they are regressive? In our model, the government raises revenue using distortionary income and commodity taxes. If more or less productive people have identical tastes…

We delve into the intricate world of share buy-backs, a strategic corporate capital allocation tool that has gained significant prominence over the past few decades. Despite being the subject of extensive research and debate, the execution…

While research of reinforcement learning applied to financial markets predominantly concentrates on finding optimal behaviours, it is worth to realize that the reinforcement learning returns $G_t$ and state value functions themselves are of…