Portfolio investment with the exact tax basis via nonlinear programming

DOI10.1287/MNSC.1040.0315MaRDI QIDQ3115449zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimizationnonlinear programmingportfolio choice

Mathematics Subject Classification ID

Nonlinear programming (90C30) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cited in

(17)

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• Modeling capital gains taxes for trading strategies of infinite variation
• A NOTE ON THE EFFECTS OF TAXES ON OPTIMAL INVESTMENT
• Tax-aware portfolio construction via convex optimization
• Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
• Optimal portfolio choice with wash sale constraints
• A general framework for multistage mean-variance post-tax optimization
• Optimal investment with deferred capital gains taxes
• Tax-aware dynamic asset allocation
• OPTIMAL INVESTMENT STRATEGY VIA INTERVAL ARITHMETIC
• Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I.
• Arbitrage and the tax code
• Penalty method for portfolio selection with capital gains tax
• Investors' preference for a positive tax rate depends on the level of the interest rate

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