Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting

DOI10.1080/1350486X.2010.513499MaRDI QIDQ2889588zbMATH OpenFDO

Authors Daniel N. Ostrov, Thomas G. Wong

Publication date 8 June 2012

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

zbMATH Keywords

expected utilityportfolio optimizationtaxescapital lossespassive investing

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 1869269 (Why is no real title available?)
• Capital Market Equilibrium with Personal Tax
• Conformal mapping solution of Laplace's equation on a polygon with oblique derivative boundary conditions
• Merton Problem with Taxes: Characterization, Computation, and Approximation
• Portfolio investment with the exact tax basis via nonlinear programming
• SNOPT: An SQP Algorithm for Large-Scale Constrained Optimization
• Super contact and related optimality conditions

Cited in

(1)

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

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