Optimal Tax Timing with Transaction Costs

Published Online:https://doi.org/10.1287/mnsc.2023.03118

References

  • Ben Tahar I, Soner HM, Touzi N (2007) The dynamic programming equation for the problem of optimal investment under capital gains taxes. SIAM J. Control Optim. 46(5):1779–1801.CrossrefGoogle Scholar
  • Ben Tahar I, Soner HM, Touzi N (2010) Merton problem with taxes: Characterization, computation, and approximation. SIAM J. Financial Math. 1(1):366–395.CrossrefGoogle Scholar
  • Cai J, Chen X, Dai M (2018) Portfolio selection with capital gains tax, recursive utility, and regime switching. Management Sci. 64(5):2308–2324.LinkGoogle Scholar
  • Constantinides GM (1983) Capital market equilibrium with personal tax. Econometrica 51(3):611–636.CrossrefGoogle Scholar
  • Constantinides GM (1984) Optimal stock trading with personal taxes: Implications for prices and the abnormal January returns. J. Financial Econom. 13(1):65–89.CrossrefGoogle Scholar
  • Constantinides GM (1986) Capital market equilibrium with transaction costs. J. Political Econom. 94(4):842–862.CrossrefGoogle Scholar
  • Dai M, Yi F (2009) Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem. J. Differential Equations 246(4):1445–1469.CrossrefGoogle Scholar
  • Dai M, Jin H, Liu H (2011) Illiquidity, position limits, and optimal investment for mutual funds. J. Econom. Theory 146(4):1598–1630.CrossrefGoogle Scholar
  • Dai M, Liu H, Yang C, Zhong Y (2015) Optimal tax-timing with asymmetric long-term/short-term capital gains tax. Rev. Financial Stud. 28(9):2687–2721.CrossrefGoogle Scholar
  • Dammon RM, Spatt CS (1996) The optimal trading and pricing of securities with asymmetric capital gains taxes and transaction costs. Rev. Financial Stud. 9(3):921–952.CrossrefGoogle Scholar
  • Dammon RM, Spatt CS, Zhang HH (2001) Optimal consumption and investment with capital gains taxes. Rev. Financial Stud. 14(3):583–616.CrossrefGoogle Scholar
  • Davis MH, Norman AR (1990) Portfolio selection with transaction costs. Math. Oper. Res. 15(4):676–713.LinkGoogle Scholar
  • DeMiguel V, Uppal R (2005) Portfolio investment with the exact tax basis via nonlinear programming. Management Sci. 51(2):277–290.LinkGoogle Scholar
  • Duarte V, Duarte D, Silva DH (2024) Machine learning for continuous-time finance. Rev. Financial Stud. 37(11):3217–3271.CrossrefGoogle Scholar
  • Dybvig P, Koo HK (1996) Investment with taxes. Working paper, Washington University in St. Louis, St. Louis, MO.Google Scholar
  • Ehling P, Gallmeyer MF, Srivastava S, Tompaidis S, Yang C (2018) Portfolio tax trading with carryover losses. Management Sci. 64(9):4156–4176.LinkGoogle Scholar
  • Fischer M, Gallmeyer M (2016) Heuristic portfolio trading rules with capital gain taxes. J. Financial Econom. 119(3):611–625.CrossrefGoogle Scholar
  • Han J, Weinan E (2016) Deep learning approximation for stochastic control problems. Preprint, submitted November 2, https://arxiv.org/abs/1611.07422.Google Scholar
  • Haugh M, Iyengar G, Wang C (2016) Tax-aware dynamic asset allocation. Oper. Res. 64(4):849–866.LinkGoogle Scholar
  • Jensen BA, Marekwica M (2011) Optimal portfolio choice with wash sale constraints. J. Econom. Dynam. Control 35(11):1916–1937.CrossrefGoogle Scholar
  • Lei Y, Li Y, Xu J (2020) Two birds, one stone: Joint timing of returns and capital gains taxes. Management Sci. 66(2):823–843.LinkGoogle Scholar
  • Liu H (2004) Optimal consumption and investment with transaction costs and multiple risky assets. J. Finance 59(1):289–338.CrossrefGoogle Scholar
  • Liu H, Loewenstein M (2002) Optimal portfolio selection with transaction costs and finite horizons. Rev. Financial Stud. 15(3):805–835.CrossrefGoogle Scholar
  • Magill MJ, Constantinides GM (1976) Portfolio selection with transactions costs. J. Econom. Theory 13(2):245–263.CrossrefGoogle Scholar
  • Marekwica M (2012) Optimal tax-timing and asset allocation when tax rebates on capital losses are limited. J. Banking Finance 36(7):2048–2063.CrossrefGoogle Scholar
  • Merton RC (1969) Lifetime portfolio selection under uncertainty: The continuous-time case. Rev. Econom. Statist. 51(3):247–257.CrossrefGoogle Scholar
  • Merton RC (1971) Optimum consumption and portfolio rules in a continuous-time model. J. Econom. Theory 3(4):373–413.CrossrefGoogle Scholar
  • Murphy SL, Kochanek KD, Xu J, Arias E (2021) Mortality in the United States, 2020. NCHS Data Brief 427:1–8.Google Scholar
  • Shen W (2014) Portfolio optimization with transaction costs and capital gain taxes. PhD thesis, Columbia University, New York.Google Scholar
  • Shreve SE, Soner HM (1994) Optimal investment and consumption with transaction costs. Ann. Appl. Probab. 4(3):609–692.CrossrefGoogle Scholar
  • Slemrod J (1982) The effect of capital gains taxation on year-end stock market behavior. Natl. Tax J. 35(1):69–77.CrossrefGoogle Scholar
  • Wilson J, Liddell P (2010) Sales of capital assets reported on individual tax returns, 2007. Statist. Income Bull. 23(1):75–104.Google Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.