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Of Passive and Active Equity Portfolios in the Presence of Taxes
4 references·8 citing·31 second hop
Of Passive and Active Equity Portfolios in the Presence of Taxes (1999)Of Passive and Active Equity Portfolios i…Active Portfolio Management (2017)Active Portfolio ManagementIs Your Alpha Big Enough To Cover Its Taxes? (1993)Is Your Alpha Big Enough To C…Optimal stock trading with personal taxes (1984)Optimal stock trading with pe…Optimal bond trading with personal taxes (1984)Optimal bond trading with per…The Evolution of Reinforcement Learning in Quantitative Finance: A Survey (2025)The Evolution of Reinforcemen…Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away (2021)Robo-Advisors Today and Tomor…An Empirical Evaluation of Tax-Loss Harvesting Alpha (2019)An Empirical Evaluation of Ta…Taxes, Shorting, and Active Management (2017)Taxes, Shorting, and Active M…Perspectives from the Literature of Private Wealth Management (2011)Perspectives from the Literat…Tax Management, Loss Harvesting, and HIFO Accounting (2003)Tax Management, Loss Harvesti…Equity Portfolio Structure and Design in the Presence of Taxes (2001)Equity Portfolio Structure an…Diversification in the Presence of Taxes (2000)Diversification in the Presen…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)What Risk Premium Is “Normal”? (2002)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)A Theory of the Term Structure of Interest Rates (1985)A nonlinear general equilibrium model of the term structure of interest rates (1989)Turn-of-Month Evaluations of Liquid Profits and Stock Returns: A Common Explanation for the Monthly and January Effects (1990)Tax-Motivated Trading by Individual Investors (2005)Stochastic Portfolio Theory and Stock Market Equilibrium (1982)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Investment Management for Taxable Private Investors (2008)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Are Investors Reluctant to Realize Their Losses? (1998)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)An Intertemporal Capital Asset Pricing Model (1973)Volume for Winners and Losers: Taxation and Other Motives for Stock Trading (1986)Do after-tax returns affect mutual fund inflows? (2002)The Information Content of Idiosyncratic Volatility (2009)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Common risk factors in the returns on stocks and bonds (1993)Do After-Tax Returns Affect Mutual Fund Inflows? (2000)How Well Have Taxable Investors Been Served in the 1980s and 1990s? (2000)Crossborder dividend taxation and the preferences of taxable and nontaxable investors: Evidence from Canada (2005)The Information Ratio (1998)DRAWDOWN MEASURE IN PORTFOLIO OPTIMIZATION (2005)No-dynamic-arbitrage and market impact (2010)
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References

  • 2017Active Portfolio Management463 cited
  • 1984Optimal stock trading with personal taxes308 cited
  • 1984Optimal bond trading with personal taxes265 cited
  • 1993Is Your Alpha Big Enough To Cover Its Taxes?99 cited

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  • 2003Tax Management, Loss Harvesting, and HIFO Accounting40 cited
  • 2025The Evolution of Reinforcement Learning in Quantitative Finance: A Survey35 cited
  • 2000Diversification in the Presence of Taxes30 cited
  • 2017Taxes, Shorting, and Active Management26 cited
  • 2011Perspectives from the Literature of Private Wealth Management24 cited
  • 2019An Empirical Evaluation of Tax-Loss Harvesting Alpha22 cited
  • 2001Equity Portfolio Structure and Design in the Presence of Taxes22 cited
  • 2021Robo-Advisors Today and Tomorrow: Investment Advice Is Just an App Away14 cited

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