Personalized Multiple Account Portfolio Optimization

I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, lots, and opportunity sets while considering taxes trade costs in single optimization. The objective function includes optional term for nonpecuniary preferences, such as various environmental, social, governance (ESG) characteristics. By running the optimizer regularly, it also serves personalized asset location optimizer, tax-loss harvester, portfolio rebalancer, roll-over new client onboarding transition considers numerous interconnected tradeoffs to produce ongoing management.