A Case Study on Modelling Taxation on Investment Returns and methods of Performance Assessment

Specialeforsvar ved Morten Berg Jacobsen

Titel: A Case Study on Modelling Taxation on Investment Returns and Methods of Performance Assessment

 

Abstract: Under certain tax regimes there is a taxation of the underlying investment linked to some liability. Such a taxation needs to be accounted for and it is therefore a necessary task to develop a model setup. Throughout this thesis we will deal with the concept of modelling a taxation in a complete and arbitrage-free market. We will present existing results on the matter of hedging liabilities with payments that are dependent on the choice of investment strategy in an idealised tax setup. Then we continue by proposing a more realistic tax model for which a hedge proves a difficult task to derive. As an alternative we develop methods for assessing the performance of an idealised investment strategy for the realistic tax modelling using Monte Carlo techniques. We find that there are some notable risks following such a strategy that cannot be ignored

 

Vejledere: Jesper Lund Pedersen, Christian Furrer
Censor:     Jeppe Woetmann Nielsen, Edlund