英文标题：
《Modeling capital gains taxes for trading strategies of infinite
  variation》
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作者：
Christoph K\\\"uhn, Bj\\\"orn Ulbricht
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最新提交年份：
2015
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英文摘要：
  In this article we show that the payment flow of a linear tax on trading gains from a security with a semimartingale price process can be constructed for all c\\`agl\\`ad and adapted trading strategies. It is characterized as the unique continuous extension of the tax payments for elementary strategies w.r.t. the convergence \"uniformly in probability\". In this framework we prove that under quite mild assumptions dividend payoffs have almost surely a negative effect on investor\'s after-tax wealth if the riskless interest rate is always positive.
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中文摘要：
在本文中，我们证明了对于所有c\\`agl\\`ad和适应的交易策略，可以构造具有半鞅价格过程的证券交易收益的线性税的支付流。它的特点是基本策略的纳税额的唯一连续扩展w.r.t.“一致概率”收敛。在此框架下，我们证明了在相当温和的假设下，如果无风险利率始终为正，股息支付几乎肯定会对投资者的税后财富产生负面影响。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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