Tax-Aware Dynamic Asset Allocation

DOI10.1287/opre.2016.1517zbMath1348.91255OpenAlexW3125033228MaRDI QIDQ2830762

Chun Wang, Garud Iyengar, Martin B. Haugh

Publication date: 31 October 2016

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c08e41a38d95c241cb7c8a74ab2e70bb6716e4b2

zbMATH Keywords

dualitydynamic asset allocationsuboptimal controltaxesinformation relaxations

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (3)

Approximations to Stochastic Dynamic Programs via Information Relaxation Duality ⋮ Merchant Commodity Storage Practice Revisited ⋮ On discrete probability approximations for transaction cost problems

Uses Software

• BARON

Cites Work

• Unnamed Item
• Second-order cone programming
• A polyhedral branch-and-cut approach to global optimization
• Arbitrage and the tax code
• Information Relaxations, Duality, and Convex Stochastic Dynamic Programs
• Information Relaxations and Duality in Stochastic Dynamic Programs
• Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
• Pathwise Stochastic Optimal Control
• Merton Problem with Taxes: Characterization, Computation, and Approximation
• Optimal Investment and Consumption Strategies Under Risk for a Class of Utility Functions

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