CIRJE-J-50. Shimokawa, Tetsuya, "Risk and optimal Capital Income Taxation in a Continuous---Time, Multi-capital Economy", March 2001.

This article investigates the Ramsey capital income taxation in a stochastic multi-asset economy, consisting of forward-looking representative agents. To address this issue, we adopt a continuous-time framework, in which uncertain asset returns are modeled as some Ito processes. This specification of the uncertainty allows us to deal with the higher moments explicitly and show how the risks on asset returns affect the optimal tax rate.