Portfolio investment with the exact tax basis via nonlinear programming
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Publication:3115449
DOI10.1287/MNSC.1040.0315zbMATH Open1232.90333OpenAlexW2116201434MaRDI QIDQ3115449FDOQ3115449
Authors: Victor DeMiguel, Raman Uppal 
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/35dda1caccd47e33a0db1074643b23ab9b92a8a9
Recommendations
Nonlinear programming (90C30) Portfolio theory (91G10) Financial applications of other theories (91G80)
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- OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
- On discrete probability approximations for transaction cost problems
- Asset allocation over the life cycle: how much do taxes matter?
- Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
- Optimal portfolio choice with wash sale constraints
- Tax-aware dynamic asset allocation
- Arbitrage and the tax code
- A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
- Modeling capital gains taxes for trading strategies of infinite variation
- Tax-aware portfolio construction via convex optimization
- Penalty method for portfolio selection with capital gains tax
- Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
- Longevity risk and retirement income tax efficiency: a location spending rate puzzle
- A general framework for multistage mean-variance post-tax optimization
- Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?
- Investors' preference for a positive tax rate depends on the level of the interest rate
- Optimal investment with deferred capital gains taxes
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