Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23551
Authors: 
Schindler, Dirk
Hilgers, Bodo
Year of Publication: 
2002
Series/Report no.: 
Discussion paper series / Universität Konstanz, Center of Finance and Econometrics (CoFE) 02/17
Abstract: 
Should the realized risk premium be taxed – or not? In a simple two asset portfolio model we analyze the optimal taxation rule when the economy faces aggregate risk. We show in an appropriate designed tax system, that the risk premium of the risky asset should be fully taxed if the households are risk neutral in public consumption. If they are risk averse in public consumption, too, a positive tax rate below 100 % is optimal. We show further, that an efficient risk allocation between public and private consumption can be achieved without any distortion costs.
Subjects: 
Risk-Taking
Risk Premium
Optimal Taxation
Aggregate Risk
JEL: 
D10
H21
G11
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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