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Moehle et al., 2021 - Google Patents

Tax-aware portfolio construction via convex optimization

Moehle et al., 2021

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Document ID
3251550089652180574
Author
Moehle N
Kochenderfer M
Boyd S
Ang A
Publication year
Publication venue
Journal of Optimization Theory and Applications

External Links

Snippet

We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade list that specifies the number of shares to buy of each asset and the number of shares to sell …
Continue reading at arxiv.org (PDF) (other versions)

Classifications

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