The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs
研究在不对称资本利得税和交易成本下，应税证券的最优交易策略和定价，发现长期投资者会在某个临界点以下实现所有收益，而短期投资者可能推迟小额亏损，且即使无交易成本，推迟短期亏损也可能最优。
This article explores the optimal trading and pricing of taxable securities with asymmetric capital gains taxes and transaction costs. In the long-term region, investors realize all gains below some critical cutoff level, which we derive analytically. In the short-term region, investors defer all gains and, depending upon the time remaining in the short-term region, may also defer small losses. Contrary to common intuition, deferral of short-term losses can be optimal even without transaction costs. The value of tax timing is considerably higher under the optimal trading strategy than under alternative strategies previously analyzed. The impact of offset rules is also explored.