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A general framework for multistage mean-variance post-tax optimization
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Osorio, Maria A., Gulpinar, Nalan and Rustem, Berç (2008) A general framework for multistage mean-variance post-tax optimization. Annals of Operations Research , Vol.157 (No.1). pp. 3-23. doi:10.1007/s10479-007-0255-4 ISSN 0254-5330.
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Official URL: http://dx.doi.org/10.1007/s10479-007-0255-4
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 | ||||
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Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HG Finance Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Warwick Business School > Operational Research & Management Sciences Faculty of Social Sciences > Warwick Business School |
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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 | ||||
Official Date: | January 2008 | ||||
Dates: |
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Volume: | Vol.157 | ||||
Number: | No.1 | ||||
Number of Pages: | 21 | ||||
Page Range: | pp. 3-23 | ||||
DOI: | 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 |
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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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