Portfolio Tax Trading with Carryover Losses

We study portfolio choice with multiple stocks and capital gains taxation, assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower o...

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Bibliographische Detailangaben

Veröffentlicht in:	Management science 2018-09, Vol.64 (9), p.4156-4176
Hauptverfasser:	Ehling, Paul, Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis, Yang, Chunyu
Format:	Artikel
Sprache:	eng
Schlagworte:	Capital gains capital gains taxation Capital losses Carryover carryover losses Equity limited use of capital losses Methods portfolio choice Portfolio management Tax planning Taxation
Online-Zugang:	Volltext
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