We use the federal tax codes from 1926 through 2009 to construct the after-tax returns that
individual investors, corporations, and broker–dealers would have generated on a set of …

Capital gains taxation has important implications for investors' portfolio choice decisions. To
explore these implications, we develop a continuous time investment and consumption …

We study the out-of-sample performance of portfolio trading strategies used when an
investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax …

We develop an optimal tax-timing model that takes into account asymmetric long-term and
short-term tax rates for positive capital gains and limited tax deductibility of capital losses. In …

This article studies the portfolio problem with realization-based capital gain taxation when
limited amounts of losses qualify for tax rebate payments, as is the case under current US …

We study the impact of the different tax treatment of capital gains and losses on the optimal
location of assets in taxable and tax-deferred accounts. The classical result of Black (1980) …

We consider dynamic asset allocation problems where the agent is required to pay capital
gains taxes on her investment gains. These are very challenging problems because the tax …

Many finance problems can be formulated as a singular stochastic control problem, where
the associated Hamilton‐Jacobi‐Bellman (HJB) equation takes the form of variational …

We study the welfare effect of tax-optimizing portfolio decisions in a life cycle model with
unspanned labor income and realization-based capital gain taxation. For realistic …

Long-only active investment strategies have an inherent flaw: Investors pay capital gains
taxes on market-related gains as well as on the alpha created. By separating alpha and …