RT Journal Article
SR Electronic
T1 Optimal Rebalancing for Taxable Portfolios
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 42
OP 49
DO 10.3905/jwm.2002.320454
VO 5
IS 3
A1 S.P. Abeysekera
A1 E. S. Rosenbloom
YR 2002
UL https://pm-research.com/content/5/3/42.abstract
AB The authors focus on the issue of rebalancing taxable portfolios and overcoming the capital gains lock-in effect. They propose an integer linear program, developed to maximize the expected after-tax return over a desired planning horizon, given an initial portfolio with unrealized gains and losses. They then offer an integer quadratic program, developed for minimizing the variance of the return given an initial portfolio with unrealized gains and losses. They conclude by suggesting that these models allow investors to explicitly take into consideration their personal tax situation when rebalancing their portfolios.