{"id":"https://openalex.org/W2024137600","doi":"https://doi.org/10.1137/080742178","title":"Merton Problem with Taxes: Characterization, Computation, and Approximation","display_name":"Merton Problem with Taxes: Characterization, Computation, and Approximation","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2024137600","doi":"https://doi.org/10.1137/080742178","mag":"2024137600"},"language":"en","primary_location":{"id":"doi:10.1137/080742178","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080742178","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5074862770","display_name":"Imen Ben Tahar","orcid":null},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":true,"raw_author_name":"Imen Ben Tahar","raw_affiliation_strings":["imen@ceremade.dauphine.fr#TAB#"],"affiliations":[{"raw_affiliation_string":"imen@ceremade.dauphine.fr#TAB#","institution_ids":["https://openalex.org/I171048554"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5022412598","display_name":"H. Met\u00e9 Soner","orcid":"https://orcid.org/0000-0002-0824-1808"},"institutions":[{"id":"https://openalex.org/I35440088","display_name":"ETH Zurich","ror":"https://ror.org/05a28rw58","country_code":"CH","type":"education","lineage":["https://openalex.org/I2799323385","https://openalex.org/I35440088"]}],"countries":["CH"],"is_corresponding":false,"raw_author_name":"H. Mete Soner","raw_affiliation_strings":["hmsoner@ethz.ch#TAB#"],"affiliations":[{"raw_affiliation_string":"hmsoner@ethz.ch#TAB#","institution_ids":["https://openalex.org/I35440088"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5105990961","display_name":"Nizar Touzi","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Nizar Touzi","raw_affiliation_strings":["nizar.touzi@polytechnique.edu#TAB#"],"affiliations":[{"raw_affiliation_string":"nizar.touzi@polytechnique.edu#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5074862770"],"corresponding_institution_ids":["https://openalex.org/I171048554"],"apc_list":null,"apc_paid":null,"fwci":1.9234,"has_fulltext":false,"cited_by_count":30,"citation_normalized_percentile":{"value":0.88207308,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":89,"max":99},"biblio":{"volume":"1","issue":"1","first_page":"366","last_page":"395"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9954000115394592,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9818999767303467,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9801999926567078,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.552773118019104},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.5307455062866211},{"id":"https://openalex.org/keywords/context","display_name":"Context (archaeology)","score":0.5250634551048279},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5196489095687866},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.49031713604927063},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.43147891759872437},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.41993993520736694},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3711642622947693},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.3594633936882019},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.3291017413139343},{"id":"https://openalex.org/keywords/finance","display_name":"Finance","score":0.1545202136039734}],"concepts":[{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.552773118019104},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.5307455062866211},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5250634551048279},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5196489095687866},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.49031713604927063},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.43147891759872437},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.41993993520736694},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3711642622947693},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3594633936882019},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.3291017413139343},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.1545202136039734},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/080742178","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080742178","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:HAL:hal-00703102v1","is_oa":false,"landing_page_url":"https://hal.science/hal-00703102","pdf_url":null,"source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SIAM Journal on Financial Mathematics, 2010, 1, pp.366-395. ⟨10.1137/080742178⟩","raw_type":"Journal articles"}],"best_oa_location":null,"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":30,"referenced_works":["https://openalex.org/W1503621424","https://openalex.org/W1963901383","https://openalex.org/W1976352744","https://openalex.org/W1980822517","https://openalex.org/W1984697146","https://openalex.org/W1991510170","https://openalex.org/W1992466143","https://openalex.org/W1998562371","https://openalex.org/W2005158847","https://openalex.org/W2006925522","https://openalex.org/W2014680735","https://openalex.org/W2016930922","https://openalex.org/W2040394324","https://openalex.org/W2041823389","https://openalex.org/W2043267451","https://openalex.org/W2048549856","https://openalex.org/W2090220594","https://openalex.org/W2098745223","https://openalex.org/W2099438388","https://openalex.org/W2115580984","https://openalex.org/W2116201434","https://openalex.org/W2137824888","https://openalex.org/W2141616022","https://openalex.org/W2177195156","https://openalex.org/W2570834760","https://openalex.org/W3122188500","https://openalex.org/W3123752480","https://openalex.org/W3124653204","https://openalex.org/W3125530588","https://openalex.org/W4251849361"],"related_works":["https://openalex.org/W4255265352","https://openalex.org/W4239477580","https://openalex.org/W2952594763","https://openalex.org/W4285537323","https://openalex.org/W1932159282","https://openalex.org/W2090698372","https://openalex.org/W4383890581","https://openalex.org/W2921905705","https://openalex.org/W4233178034","https://openalex.org/W2003293420"],"abstract_inverted_index":{"We":[0,99,185],"formulate":[1],"a":[2,132,145,188,194],"computationally":[3,96],"tractable":[4],"extension":[5],"of":[6,24,52,88,137,141,150,196,214,219],"the":[7,15,21,25,43,49,53,56,69,73,79,86,92,101,138,142,151,165,200,211,217,220],"classical":[8],"Merton":[9],"optimal":[10],"consumption-investment":[11],"problem":[12,143],"to":[13],"include":[14],"capital":[16,111],"gains":[17,112],"taxes.":[18],"This":[19,59],"is":[20,46,95],"continuous-time":[22],"version":[23],"model":[26,42,94],"introduced":[27],"by":[28,148],"Dammon,":[29],"Spatt,":[30],"and":[31,123,144,174,199,216],"Zhang":[32],"[Rev.":[33],"Financ.":[34],"Stud.,":[35],"14":[36],"(2001),":[37],"pp.":[38,183],"583\u2013616].":[39],"In":[40,116],"this":[41,117],"tax":[44,70,75,108],"basis":[45],"computed":[47],"as":[48,78],"average":[50,60,93],"cost":[51],"stocks":[54],"in":[55,81,164],"investor's":[57],"portfolio.":[58],"rule":[61,84],"introduces":[62],"only":[63],"one":[64],"additional":[65],"state":[66],"variable,":[67],"namely":[68],"basis.":[71],"Since":[72],"other":[74],"rules":[76],"such":[77],"first":[80,82,133,221],"out":[83],"require":[85],"knowledge":[87],"all":[89],"past":[90],"transactions,":[91],"much":[97],"easier.":[98],"emphasize":[100],"linear":[102],"taxation":[103],"rule,":[104],"which":[105],"allows":[106],"for":[107],"credits":[109],"when":[110],"losses":[113],"are":[114,121,131],"experienced.":[115],"context":[118],"wash":[119],"sales":[120],"optimal,":[122],"we":[124,205],"prove":[125],"it":[126],"rigorously.":[127],"Our":[128],"main":[129],"contributions":[130],"order":[134,222],"explicit":[135],"approximation":[136],"value":[139],"function":[140],"unique":[146],"characterization":[147,158],"means":[149],"corresponding":[152],"dynamic":[153],"programming":[154],"equation.":[155],"The":[156],"latter":[157],"builds":[159],"on":[160,193,210],"technical":[161],"results":[162,209],"isolated":[163],"accompanying":[166],"paper":[167],"[I.":[168],"Ben":[169],"Tahar,":[170],"H.":[171],"M.":[172],"Soner,":[173],"N.":[175],"Touzi,":[176],"SIAM":[177],"J.":[178],"Control":[179],"Optim.,":[180],"46":[181],"(2007),":[182],"1779\u20131801].":[184],"also":[186],"suggest":[187],"numerical":[189,208],"computation":[190],"technique":[191],"based":[192],"combination":[195],"finite":[197],"differences":[198],"Howard":[201],"iteration":[202],"algorithm.":[203],"Finally,":[204],"provide":[206],"some":[207],"welfare":[212],"consequences":[213],"taxes":[215],"quality":[218],"approximation.":[223]},"counts_by_year":[{"year":2026,"cited_by_count":3},{"year":2025,"cited_by_count":2},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":1},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":3},{"year":2017,"cited_by_count":2},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":2},{"year":2013,"cited_by_count":1}],"updated_date":"2026-04-11T08:14:18.477133","created_date":"2016-06-24T00:00:00"}