Heuristic portfolio trading rules with capital gain taxes

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FISCHER, Marcel, Michael F. GALLMEYER, 2016. Heuristic portfolio trading rules with capital gain taxes. In: Journal of Financial Economics. 119(3), pp. 611-625. ISSN 0304-405X. eISSN 1879-2774

@article{Fischer2016Heuri-32424, title={Heuristic portfolio trading rules with capital gain taxes}, year={2016}, doi={10.1016/j.jfineco.2016.01.024}, number={3}, volume={119}, issn={0304-405X}, journal={Journal of Financial Economics}, pages={611--625}, author={Fischer, Marcel and Gallmeyer, Michael F.} }

<rdf:RDF xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:dcterms="http://purl.org/dc/terms/" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/32424"> <dcterms:abstract xml:lang="eng">We study the out-of-sample performance of portfolio trading strategies used when an investor faces capital gain taxation and proportional transaction costs. Overlaying simple tax trading heuristics on trading strategies improves out-of-sample performance. For medium to large transaction costs, no trading strategy can outperform a 1/N trading strategy augmented with a tax heuristic, not even the most tax and transaction cost-efficient buy-and-hold strategy. Overall, the best strategy is 1/N augmented with a heuristic that allows for a fixed deviation in absolute portfolio weights. Our results thus show that the best trading strategies balance diversification considerations and tax considerations.</dcterms:abstract> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-04-28T15:20:31Z</dcterms:available> <dc:contributor>Fischer, Marcel</dc:contributor> <dc:creator>Gallmeyer, Michael F.</dc:creator> <dcterms:issued>2016</dcterms:issued> <dc:creator>Fischer, Marcel</dc:creator> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2016-04-28T15:20:31Z</dc:date> <dcterms:title>Heuristic portfolio trading rules with capital gain taxes</dcterms:title> <dc:contributor>Gallmeyer, Michael F.</dc:contributor> <dc:language>eng</dc:language> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/32424"/> </rdf:Description> </rdf:RDF>

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