Osorio, Maria A., Gulpinar, Nalan and Rustem, Berc. (2008) A general framework for multistage mean-variance post-tax optimization. Annals of Operations Research , Vol.157 (No.1). pp. 3-23. ISSN 0254-5330

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Abstract

An investor's decisions affect the way taxes are paid in a general portfolio investment, modifying the net redemption value and the yearly optimal portfolio distribution. We investigate the role of these decisions on multistage mean-variance portfolio allocation model. A number of risky assets grouped in wrappers with special taxation rules is integrated in a multistage financial portfolio optimization problem. The uncertainty on the returns of assets is specified as a scenario tree generated by simulation/clustering based approach. We show the impact of decisions in the yearly reallocation of the investments for three typical cases with an annual fixed withdrawal in a fixed horizon that utilizes completely the option of taper relief offered by banks in UK. Our computational framework can be used as a tool for testing decisions in this context.

Item Type:	Journal Article
Subjects:	H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HG Finance Q Science > QA Mathematics
Divisions:	Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School
Library of Congress Subject Headings (LCSH):	Analysis of variance, Portfolio management, Quadratic programming, Stochastic programming
Journal or Publication Title:	Annals of Operations Research
Publisher:	Springer New York LLC
ISSN:	0254-5330
Date:	January 2008
Volume:	Vol.157
Number:	No.1
Number of Pages:	21
Page Range:	pp. 3-23
Identification Number:	10.1007/s10479-007-0255-4
Status:	Peer Reviewed
Publication Status:	Published
Description:	Paper presented at: 12th Latin-Ibero-American Conference on Operations Research, Havana, Cuba, Oct 04-08, 2004
Funder:	Engineering and Physical Sciences Research Council (EPSRC)
Grant number:	GR/M41124 (EPSRC)
Conference Paper Type:	Other
Type of Event:	Conference
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URI:	http://wrap.warwick.ac.uk/id/eprint/31335

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