Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching
研究了资本利得税如何影响投资者的投资组合选择，发现税率、风险厌恶、利率、股票收益和波动率共同影响最优配置，而跨期替代没有影响；在体制转换市场中，投资者可能因体制变化而交易或停止交易。
Capital gains taxation has important implications for investors’ portfolio choice decisions. To explore these implications, we develop a continuous time investment and consumption model with capital gains tax, Epstein–Zin recursive utility, and regime switching. We find that various factors, such as tax rate, risk aversion, interest rate, stock return, and volatility, jointly affect optimal portfolio allocation, whereas intertemporal substitution does not. In a regime switching market, investors may trade or stop trading purely because of a change in regime, and there is a distinct cross-regime effect on optimal portfolio allocation. In particular, investors tend to raise stock investment in a bear regime so as to reduce potential tax payments upon regime switching. Given reasonable parameter values, regime switching has a greater impact on optimal portfolio allocation in a bear regime than in a bull regime. This paper was accepted by Neng Wang, finance.