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) ch...

We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shortfall probabilities are efficiently handled by convex optimization methods. For such problems, the globally optimal portfolio can be computed very rapidly. Portfolio optimization problems with tran...