Two Stock Portfolio Choice with Capital Gain Taxes and Short Sales

2001 ◽  
Author(s):  
Michael F. Gallmeyer ◽  
Ron Kaniel ◽  
Stathis Tompaidis
Keyword(s):  
Portfolio Choice ◽  
Capital Gain ◽  
Short Sales ◽  
Stock Portfolio

scholarly journals Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

2010 ◽  
Author(s):  
Paul Ehling ◽  
Michael F. Gallmeyer ◽  
Sanjay Srivastava ◽  
Stathis Tompaidis ◽  
Chunyu Yang
Keyword(s):  
Portfolio Choice ◽  
Capital Gain

scholarly journals Stock Market Mean Reversion and Portfolio Choice over the Life Cycle

2017 ◽  
Vol 52 (3) ◽  
pp. 1183-1209 ◽  
Author(s):  
Alexander Michaelides ◽  
Yuxin Zhang
Keyword(s):  
Life Cycle ◽  
Stock Market ◽  
Portfolio Choice ◽  
Short Sales ◽  
Income Risk ◽  
Welfare Losses ◽  
Out Of Sample ◽  
Target Date ◽  
Target Date Funds ◽  
Timing Strategies

We solve for optimal consumption and portfolio choice in a life-cycle model with short-sales and borrowing constraints; undiversifiable labor income risk; and a predictable, time-varying, equity premium and show that the investor pursues aggressive market timing strategies. Importantly, in the presence of stock market predictability, the model suggests that the conventional financial advice of reducing stock market exposure as retirement approaches is correct on average, but ignoring changing market information can lead to substantial welfare losses. Therefore, enhanced target-date funds (ETDFs) that condition on expected equity premia increase welfare relative to target-date funds (TDFs). Out-of-sample analysis supports these conclusions.

Liquidity and Portfolio Choice: A Unified Approach

CFA Digest ◽  
2013 ◽  
Vol 43 (3) ◽  
Author(s):  
Jennie I. Sanders
Keyword(s):  
Portfolio Choice ◽  
Unified Approach
Sign in / Sign up

Export Citation Format

Share Document