Download or read book Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes written by Hayne E. Leland and published by . This book was released on 1999 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management with Transactioins Costs and Capital Gains Taxes written by Hayne E. Leland and published by . This book was released on 1999 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management when There are Taxes and Transaction Costs written by Cristin Buescu and published by . This book was released on 2004 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Optimal Portfolio Management when There are Taxes and Transaction Costs microform written by Cristin Buescu and published by Library and Archives Canada = Bibliothèque et Archives Canada. This book was released on 2004 with total page 310 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming written by Victor DeMiguel and published by . This book was released on 2004 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt: Computing the optimal portfolio policy of an investor facing capital gains tax is a challenging problem: because the tax to be paid depends on the price at which the security was purchased (the tax basis), the optimal policy is path dependent and the size of the problem grows exponentially with the number of time periods. A popular approach to address this problem is to approximate the exact tax basis by the weighted average purchase price. Our contribution is threefold. First, we show that the structure of the problem has several attractive features that can be exploited to determine the optimal portfolio policy using the exact tax basis via nonlinear programming. Second, we characterize the optimal portfolio policy in the presence of capital-gains tax when using the exact tax basis. Third, we show that the certainty equivalent loss from using the average tax basis instead of the exact basis is very small: it is typically less than 1% for problems with up to ten periods, and this result is robust to the choice of parameter values and to the presence of transaction costs, dividends, intermediate consumption, labor income, tax reset provision at death, and wash-sale constraints.
Download or read book Portfolio Optimization with Transaction Costs and Capital Gain Taxes written by and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Across various sets of parameters, duality gaps between lower and upper bounds are smaller than 3% in most examples. We are able to solve the problem up to the size of 20 risky assets and a 30-year-long horizon.
Download or read book Portfolio Selection with Multiple Assets and Capital Gains Taxes written by Lorenzo Garlappi and published by . This book was released on 2001 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the portfolio choice of an investor who can invest in tow risky assets (in addition to a riskless asset) and who is subject to taxes on realized capital gains. These taxes appear in the portfolio choice problem as a form of time-independent, endogenous transaction costs. Similar to the case of portfolio choice with transaction costs, the optimal strategy of the taxable investor contains a quot;no tradequot; region originating from the excercise of the option to defer capital gains taxes. This may lead an investor to hold a markedly undiversified portfolio, for reasonable parameter values. With multiple risky assets the investor is effectively holding a portfolio of tax-deferral options. The value of these options is considerable, in the range of 5-10% of the wealth of an investor with constant relative risk aversion. Such value is decreasing in the volatility and correlation of the assets and in the risk aversion. If the risky assets can be held only through a mutual fund, the investor incurs a cost due to the loss of flexibility whose magnitude is small when assets re positively correlated but can increase considerably as the correlation decreases.
Download or read book Portfolio Selection Under Nonconvex Transaction Costs and Capital Gains Taxes written by Jason Benjamin Schattman and published by . This book was released on 2000 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Managing Investment Portfolios written by John L. Maginn and published by John Wiley & Sons. This book was released on 2007-04-18 with total page 242 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the Third Edition of Managing Investment Portfolios, financial experts John Maginn, Donald Tuttle, Jerald Pinto, and Dennis McLeavey provide complete coverage of the most important issues surrounding modern portfolio management. Now, in Managing Investment Portfolios Workbook, Third Edition, they offer you a wealth of practical information and exercises that will solidify your understanding of the tools and techniques associated with this discipline. This comprehensive study guide--which parallels the main book chapter by chapter--contains challenging problems and a complete set of solutions as well as concise learning outcome statements and summary overviews. Topics reviewed include: The portfolio management process and the investment policy statement Managing individual and institutional investor portfolios Capital market expectations, fixed income, equity, and alternative investment portfolio management Monitoring and rebalancing a portfolio Global investment performance standards
Download or read book Quantitative Equity Portfolio Management Second Edition An Active Approach to Portfolio Construction and Management written by Ludwig B. Chincarini and published by McGraw Hill Professional. This book was released on 2022-09-06 with total page 800 pages. Available in PDF, EPUB and Kindle. Book excerpt: Construct and manage a high-performance equity portfolio using today's most powerful quantitative methods The classic guide that taught a generation of investors how to build high-yield quant portfolios, Quantitative Equity Portfolio Management has been fully updated with new data, research, information, and insights, along with the latest, most powerful quantitative tools and methods. Renowned quant experts Ludwig Chincarini and Daehwan Kim walk you through the foundational principles of quantitative active management and explain how to build an equity portfolio using those powerful concepts. They provide clear explanations of all the topics you need to know—from basic models, factors and factor choice, and stock screening and ranking to fundamental factor models, economic factor models, and forecasting factor premiums and exposures. Inside, you’ll find: Proven methodology for creating an equity portfolio that maximizes returns and minimizes risks Techniques for to create a professionally managed portfolio Practical melding of financial theory with real-world practice Illustrative financial examples and case studies Every chapter has accompanying practical problems with solutions and labs using real data available online. In addition, the book as a whole has online appendices covering a brief history of financial theory, fundamental models of stock returns, a basic review of mathematical and statistical concepts, an entertaining explanation and quantitative approach to the casino game of craps, and other on-target supplemental materials. Quantitative Equity Portfolio Management delivers everything you need to build a solid equity portfolio for your clients.
Download or read book Quantitative Equity Portfolio Management written by Ludwig B. Chincarini and published by McGraw Hill Professional. This book was released on 2010-08-18 with total page 691 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.
Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Download or read book Portfolio Theory and Management written by H. Kent Baker and published by Oxford University Press. This book was released on 2013-01-07 with total page 802 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio management is an ongoing process of constructing portfolios that balances an investor's objectives with the portfolio manager's expectations about the future. This dynamic process provides the payoff for investors. Portfolio management evaluates individual assets or investments by their contribution to the risk and return of an investor's portfolio rather than in isolation. This is called the portfolio perspective. Thus, by constructing a diversified portfolio, a portfolio manager can reduce risk for a given level of expected return, compared to investing in an individual asset or security. According to modern portfolio theory (MPT), investors who do not follow a portfolio perspective bear risk that is not rewarded with greater expected return. Portfolio diversification works best when financial markets are operating normally compared to periods of market turmoil such as the 2007-2008 financial crisis. During periods of turmoil, correlations tend to increase thus reducing the benefits of diversification. Portfolio management today emerges as a dynamic process, which continues to evolve at a rapid pace. The purpose of Portfolio Theory and Management is to take readers from the foundations of portfolio management with the contributions of financial pioneers up to the latest trends emerging within the context of special topics. The book includes discussions of portfolio theory and management both before and after the 2007-2008 financial crisis. This volume provides a critical reflection of what worked and what did not work viewed from the perspective of the recent financial crisis. Further, the book is not restricted to the U.S. market but takes a more global focus by highlighting cross-country differences and practices. This 30-chapter book consists of seven sections. These chapters are: (1) portfolio theory and asset pricing, (2) the investment policy statement and fiduciary duties, (3) asset allocation and portfolio construction, (4) risk management, (V) portfolio execution, monitoring, and rebalancing, (6) evaluating and reporting portfolio performance, and (7) special topics.
Download or read book The Science of Algorithmic Trading and Portfolio Management written by Robert Kissell and published by Academic Press. This book was released on 2013-10-01 with total page 492 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. - Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. - Helps readers design systems to manage algorithmic risk and dark pool uncertainty. - Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.
Download or read book Tax efficient Asset Management Via Loss Harvesting written by Anton G. Anastasov and published by . This book was released on 2017 with total page 63 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we study loss-harvesting—an investment strategy that realizes capital losses immediately but defers realizing capital gains as long as possible. We begin by describing a computational framework for studying the properties of loss-harvesting empirically. The main advantage of our framework is flexibility. In particular, our framework is independent of any particular choice of a source for stock return time series. After combining the framework with the Capital Asset Pricing Model as a source for simulated stock returns data, we perform a thorough sensitivity analysis and study the performance of loss-harvesting under various conditions of the financial market. By combining the framework with historical stock return time series from the S&P 500 Index, we study the performance of loss-harvesting from a different and more practical, point of view. Through this empirical exploration, we identify three new findings about loss-harvesting: (1) introducing a transaction cost rate of 1% reduces alpha by about 50% after taxes; (2) introducing regular cash contributions reduces alpha after taxes; and (3) under specific market conditions, a simple passive buy-and-hold investment strategy outperforms loss-harvesting.
Download or read book Research Program in Finance Working Paper Series written by and published by . This book was released on 1971 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Public Economics written by Martin Feldstein and published by Elsevier. This book was released on 2002-01-25 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Field of Public Economics has been changing rapidly in recent years, and the sixteen chapters contained in this Handbook survey many of the new developments. As a field, Public Economics is defined by its objectives rather than its techniques and much of what is new is the application of modern methods of economic theory and econometrics to problems that have been addressed by economists for over two hundred years. More generally, the discussion of public finance issues also involves elements of political science, finance and philosophy. These connections are evidence in several of the chapters that follow. Public Economics is the positive and normative study of government's effect on the economy. We attempt to explain why government behaves as it does, how its behavior influences the behavior of private firms and households, and what the welfare effects of such changes in behavior are. Following Musgrave (1959) one may imagine three purposes for government intervention in the economy: allocation, when market failure causes the private outcome to be Pareto inefficient, distribution, when the private market outcome leaves some individuals with unacceptably low shares in the fruits of the economy, and stabilization, when the private market outcome leaves some of the economy's resources underutilized. The recent trend in economic research has tended to emphasize the character of stabilization problems as problems of allocation in the labor market. The effects that government intervention can have on the allocation and distribution of an economy's resources are described in terms of efficiency and incidence effects. These are the primary measures used to evaluate the welfare effects of government policy.
