Optimal portfolio choice with wash sale constraints
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Publication:658639
DOI10.1016/J.JEDC.2011.06.007zbMATH Open1282.91302OpenAlexW3124205725MaRDI QIDQ658639FDOQ658639
Authors: Bjarne Astrup Jensen, Marcel Marekwica 
Publication date: 13 January 2012
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.007
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- scientific article; zbMATH DE number 2128220
Cites Work
- Stability of utility-maximization in incomplete markets
- The asset location puzzle: Taxes matter
- Optimal consumption and investment under time-varying relative risk aversion
- Portfolio investment with the exact tax basis via nonlinear programming
- Capital Market Equilibrium with Personal Tax
- Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle? *
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Portfolio choice under transitory price impact
- Valuation before and after tax in the discrete time, finite state no arbitrage model
Cited In (5)
- Optimal portfolio liquidation with additional information
- Asset allocation over the life cycle: how much do taxes matter?
- Arbitrage and the tax code
- Tax-aware portfolio construction via convex optimization
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
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