Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting

DOI10.1080/1350486X.2010.513499zbMATH Open1239.91154MaRDI QIDQ2889588FDOQ2889588

Authors: Daniel N. Ostrov, Thomas G. Wong 

Publication date: 8 June 2012

Published in: Applied Mathematical Finance (Search for Journal in Brave)

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zbMATH Keywords

expected utilityportfolio optimizationtaxescapital lossespassive investing

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• Title not available (Why is that?)
• Conformal mapping solution of Laplace's equation on a polygon with oblique derivative boundary conditions
• Super contact and related optimality conditions
• Portfolio investment with the exact tax basis via nonlinear programming
• Capital Market Equilibrium with Personal Tax
• Merton Problem with Taxes: Characterization, Computation, and Approximation

Cited In (1)

• Taxable and tax-deferred investing with the limited use of losses

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