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Chen Yang
2025-08-01 09:57:41 +08:00
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</li><br>
<li>Portfolio Selection with Time-Varying Taxation (with Xianhao Zhu).<br>
Working Paper. <span class="links">[<a class="paperlink" href="" onclick="toggleAbstract('abs_TaxTimeVarying');return false">Abstract</a>]</span><br>
<div class="fade-in" style="display:none" id="abs_TaxTimeVarying">
<hr>
The capital gains tax rate has fluctuated significantly over time, leading to substantial changes in
investors' optimal strategies, as documented by the empirical studies. This paper proposes a novel
continuous-time portfolio selection framework with a time-varying capital gains tax rate. Featuring
differential tax rate announcement time and implementation time, our framework is able to capture
the investors' anticipation over a potential future tax rate change before its announcement, as well
as their reaction to an announced tax change yet to be implemented. The optimal investment strategy
embodies the interaction between the time-varying tax rate and the lock-in and diversification
effects proposed in the existing literature. Furthermore, our findings provide theoretical support
for the permanent and transitory effects of tax rate changes documented in the empirical studies.
The strength of the transitory effect depends on the size of the tax rate change, and the tax rate
uncertainty mostly affects the transitory effect and has a negligible impact on the permanent
effect. Moreover, the permanent effect vanishes under a zero interest rate while the transitory
effect persists.
</div>
</li><br>
<li>Periodic Evaluation with Non-Concave Utility (with <a class="authorlink"
href="https://scholar.google.com/citations?user=OzeF8T0AAAAJ&hl" target="_blank">Cong Qin</a> and <a class="authorlink"
href="https://www.ma.ic.ac.uk/~hz/"> Harry Zheng</a>).<br>