Tax-aware portfolio construction via convex optimization

DOI10.1007/s10957-021-01823-0zbMath1470.91247arXiv2008.04985OpenAlexW3131028617MaRDI QIDQ2031994

Nicholas Moehle, Mykel J. Kochenderfer, Andrew Ang, Stephen P. Boyd

Publication date: 15 June 2021

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2008.04985

zbMATH Keywords

convex optimizationconvex relaxationsportfolio optimizationShapley-Folkman lemmatax-aware portfolio management

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10)

Related Items

Portfolio construction as linearly constrained separable optimization

Uses Software

• CPLEX
• Gurobi
• GLPK
• CVX
• Mosek
• ECOS
• CVXPY
• Julia
• SCS
• CVXR
• GitHub
• NCVX
• OSQP
• CVXPortfolio
• Convex.jl

Cites Work

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• OSQP: An Operator Splitting Solver for Quadratic Programs
• Bounding duality gap for separable problems with linear constraints
• Conic optimization via operator splitting and homogeneous self-dual embedding
• Arbitrage and the tax code
• Portfolio optimization with linear and fixed transaction costs
• CVXPY: A Python-Embedded Modeling Language for Convex Optimization
• Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
• Capital Market Equilibrium with Personal Tax
• A general system for heuristic minimization of convex functions over non-convex sets
• Quasi-Equilibria in Markets with Non-Convex Preferences