A mixed integer programming model for multistage mean–variance post-tax optimization

A Dynamic Programming Approach to Constrained Portfolios

“…Osorio et al (2008) show that a different type of constraints is relevant if mean-variance optimization of post-tax wealth in non-linear tax regimes is analyzed. We distinguish ourselves by working with convex constraints on wealth and consumption rather than portfolio strategies, by working with utility optimization rather than mean-variance optimization, and by working with dynamic programming.…”