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.
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Osorio, M.A., Gülpınar, N. & Rustem, B. A general framework for multistage mean-variance post-tax optimization. Ann Oper Res 157, 3–23 (2008). https://doi.org/10.1007/s10479-007-0255-4
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DOI: https://doi.org/10.1007/s10479-007-0255-4