Tax-aware dynamic asset allocation
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Recommendations
- Portfolio diversification and taxation
- Tax-aware portfolio construction via convex optimization
- Tax impact on multi-stage mean-variance portfolio allocation
- Optimal investment with deferred capital gains taxes
- Dynamic asset allocation: insights from theory
- scientific article; zbMATH DE number 1836452
- Dynamic asset allocation with predictable asset return
- Strategic asset allocation
- Capital and asset allocation
Cites work
- A polyhedral branch-and-cut approach to global optimization
- Arbitrage and the tax code
- scientific article; zbMATH DE number 1999206 (Why is no real title available?)
- Information relaxations and duality in stochastic dynamic programs
- Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
- Merton Problem with Taxes: Characterization, Computation, and Approximation
- Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions
- Pathwise Stochastic Optimal Control
- Portfolio investment with the exact tax basis via nonlinear programming
- Second-order cone programming
Cited in
(8)- Tax-aware portfolio construction via convex optimization
- On discrete probability approximations for transaction cost problems
- Merchant commodity storage practice revisited
- Dynamic portfolio execution and information relaxations
- Portfolio investment with the exact tax basis via nonlinear programming
- Approximations to stochastic dynamic programs via information relaxation duality
- scientific article; zbMATH DE number 5066254 (Why is no real title available?)
- Job scheduling integrated with material ordering: decision-dependent stochastic programming and information relaxation dual bounds
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