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Asset allocation over the life cycle : how much do taxes matter?

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2013

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Fischer, Marcel
Kraft, Holger
Munk, Claus

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https://doi.org/10.1016/j.jedc.2013.05.012
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Journal of Economic Dynamics and Control. 2013, 37(11), pp. 2217-2240. ISSN 0165-1889. eISSN 1879-1743. Available under: doi: 10.1016/j.jedc.2013.05.012

Zusammenfassung

We study the welfare effect of tax-optimizing portfolio decisions in a life cycle model with unspanned labor income and realization-based capital gain taxation. For realistic parameterizations of our model, certainty equivalent welfare gains from fully tax-optimized portfolio decisions are less than 2% of present financial wealth and lifetime income compared to a heuristic portfolio policy ignoring the taxation of profits (capital gains, interest and dividend payments). Compared to a heuristic portfolio policy that only ignores the realization-based feature of capital gain taxation and instead assumes mark-to-market taxation, these gains are less than 0.5%. That is, our work provides a justification for ignoring taxes in life cycle portfolio choice problems – a wide-spread assumption in that literature. However, if capital gains are forgiven at death (as in the U.S.), investors with strong bequest motives face substantial welfare costs when not tax-optimizing their portfolio decisions towards the end of the life cycle.

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ISO 690FISCHER, Marcel, Holger KRAFT, Claus MUNK, 2013. Asset allocation over the life cycle : how much do taxes matter?. In: Journal of Economic Dynamics and Control. 2013, 37(11), pp. 2217-2240. ISSN 0165-1889. eISSN 1879-1743. Available under: doi: 10.1016/j.jedc.2013.05.012
BibTex
@article{Fischer2013Asset-33716,
  year={2013},
  doi={10.1016/j.jedc.2013.05.012},
  title={Asset allocation over the life cycle : how much do taxes matter?},
  number={11},
  volume={37},
  issn={0165-1889},
  journal={Journal of Economic Dynamics and Control},
  pages={2217--2240},
  author={Fischer, Marcel and Kraft, Holger and Munk, Claus}
}
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