Heuristic Portfolio Trading Rules with Capital Gain Taxes
نویسندگان
چکیده
منابع مشابه
Capital Gains Taxes and Portfolio Rebalancing
The major friction that investors face in rebalancing their portfolios is capital gains taxes, which are triggered by the sale of assets. In this article, we examine the impact of an investor’s capital gains tax liability and existing risk exposure upon the optimal portfolio and rebalancing decisions. We capture the trade-off over the investor’s lifetime between the tax costs and diversificatio...
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While there is an extensive literature, both theoretical and empirical, on determining optimal asset ratios for funds with alternative objectives, little has been written about an equally-important aspect of money management: how to implement these strategies optimally in the presence of transactions costs and capital gains taxes. Yet trading to implement investment objectives is regularly done...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.2021098