Optimal portfolio choice with wash sale constraints

DOI10.1016/J.JEDC.2011.06.007zbMath1282.91302OpenAlexW3124205725MaRDI QIDQ658639

Bjarne Astrup Jensen, Marcel Marekwica

Publication date: 13 January 2012

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.007

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Arbitrage and the tax code ⋮ The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts ⋮ Asset allocation over the life cycle: how much do taxes matter?

Cites Work

• Portfolio choice under transitory price impact
• Optimal consumption and investment under time-varying relative risk aversion
• Valuation before and after tax in the discrete time, finite state no arbitrage model
• The asset location puzzle: Taxes matter
• Stability of utility-maximization in incomplete markets
• Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
• CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
• Capital Market Equilibrium with Personal Tax
• Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle? *

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