Tax-Aware Portfolio Construction via Convex Optimization

Author:

Moehle Nicholas,Kochenderfer Mykel J.,Boyd Stephen,Ang Andrew

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,Management Science and Operations Research,Control and Optimization

Reference40 articles.

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2. Berkin, A., Ye, J.: Tax management, loss harvesting, and HIFO accounting. Financ. Anal. J. 59(4), 91–102 (2003)

3. Bertsekas, D.P.: Constrained optimization and Lagrange multiplier methods. Academic Press (1982)

4. Bertsekas, D.P.: Nonlinear programming, 3rd edn. Athena Scientific (1999)

5. Bertsimas, D., Darnell, C., Soucy, R.: Portfolio construction through mixed-integer programming at Grantham, Mayo Van Otterloo and Company. Interfaces 29(1), 49–66 (1999)

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