Portfolio tax trading with carryover losses

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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Bibliographic Details
Main Authors: Ehling, P. (Author), Gallmeyer, M. (Author), Srivastava, S. (Author), Tompaidis, S. (Author), Yang, C. (Author)
Format: Article
Language:English
Published: INFORMS Inst.for Operations Res.and the Management Sciences 2018
Subjects:
Capital gains
Capital gains taxation
Capital loss
Carryover losses
Commerce
Depreciation
Economic costs
Empirical distributions
Financial markets
Limited use of capital losses
Offset currents
Portfolio choice
Taxation
Value and growths
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