Optimal portfolio choice with wash sale constraints
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Publication:658639
DOI10.1016/j.jedc.2011.06.007zbMath1282.91302OpenAlexW3124205725MaRDI QIDQ658639
Bjarne Astrup Jensen, Marcel Marekwica
Publication date: 13 January 2012
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2011.06.007
Related Items (3)
Arbitrage and the tax code ⋮ The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts ⋮ Asset allocation over the life cycle: how much do taxes matter?
Cites Work
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- The asset location puzzle: Taxes matter
- Stability of utility-maximization in incomplete markets
- Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
- CONTINUITY OF UTILITY-MAXIMIZATION WITH RESPECT TO PREFERENCES
- Capital Market Equilibrium with Personal Tax
- Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle? *
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