****************************** WHEN? Thursday 2 March 2023 at 4:30pm WHERE? Room: 2BC60 - TORRE ARCHIMEDE, via Trieste 63, 35121 Padova (only in presence) WHO? Prof. Kostas Kardaras (LSE London) WHAT? Seminar on "Portfolio choice under taxation and time constraints"

Abstract: We consider the problem of choosing an investment strategy that will maximise utility over distributions, under capital gains tax and constraints on the expected liquidation date. We show that the problem can be decomposed in two separate ones. The first involves choosing an optimal target distribution, while the second involves optimally realising this distribution via an investment strategy and stopping time. For the latter step, a variant of the Azema-Yor solution to the Skorokhod embedding problem is utilised, and its description is given very precisely in terms of solutions to algebraic equations.