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Portfolio Investment with the Exact Tax Basis via Nonlinear Programming

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References

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2016Multiperiod portfolio optimization with multiple risky assets and general transaction costs55 cited
2017Portfolio Selection with Capital Gains Tax, Recursive Utility, and Regime Switching48 cited
2007The Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxes36 cited
2012Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?31 cited
2010

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Merton Problem with Taxes: Characterization, Computation, and Approximation

31 cited