Post-tax optimization with stochastic programming

Osorio, Maria A.; Gülpınar, Nalân; Rustem, Berç; Settergren, Reuben

doi:10.1016/s0377-2217(03)00240-6

Cited by 8 publications

(10 citation statements)

References 20 publications

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“…At each time period, new scenarios branch from the old, creating a scenario tree. Scenario trees can be generated based on different probabilistic approaches as simulation or optimization as presented in Osorio et al (2004) [10].…”

Section: Uncertainty Representation and Scenario Treesmentioning

confidence: 99%

A DSS for stochastic multistage portfolio optimization in the Mexican market

Osorio

Jiménez

Sanáchez

2010

International Journal of Management Science and Engineering Man

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We present the main elements for a decision support system for portfolio management in the Mexican market, including the financial investments consideration for a database, the uncertainty representation in scenario trees and the requirements for a portfolio optimization model. We used a stochastic programming approach to formulate the multistage optimization model, modified with new constraints and solved it with a Simulated Annealing procedure. The scenario tree was generated by a simulation and clustering process.

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Section: Uncertainty Representation and Scenario Treesmentioning

confidence: 99%

A DSS for stochastic multistage portfolio optimization in the Mexican market

Osorio

Jiménez

Sanáchez

2010

International Journal of Management Science and Engineering Man

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“…In financial portfolio management, multistage stochastic programming is used to find an optimal investment strategy by maximizing expected wealth subject to constraints specified by the investor [10]. The uncertainty on return values of instruments is represented by a discrete approximation.…”

Section: Scenario Treesmentioning

confidence: 99%

A DSS for stochastic multistage portfolio optimization in the Mexican market

Osorio

Jiménez

Sánchez

2008

2008 IEEE International Conference on Industrial Engineering and Engineering Management

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“…We also give a very brief description of the tax rules for the various wrappers analyzed in this paper. For further details, the reader is referred to (Osorio et al 2002(Osorio et al , 2004.…”

Section: Definitions and Notationmentioning

confidence: 99%

“…A stochastic integer (linear) programming model allowing the investor to withdraw at time periods is developed in Osorio et al (2004). In this paper, we extend the mean-variance approach to provide an integrated system for post-tax optimization.…”

Section: Introductionmentioning

confidence: 99%

A general framework for multistage mean-variance post-tax optimization

2007

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An investor's decisions affect the way taxes are paid in a general portfolio investment, modifying the net redemption value and the yearly optimal portfolio distribution. We investigate the role of these decisions on multistage mean-variance portfolio allocation model. A number of risky assets grouped in wrappers with special taxation rules is integrated in a multistage financial portfolio optimization problem. The uncertainty on the returns of assets is specified as a scenario tree generated by simulation/clustering based approach. We show the impact of decisions in the yearly reallocation of the investments for three typical cases with an annual fixed withdrawal in a fixed horizon that utilizes completely the option of taper relief offered by banks in UK. Our computational framework can be used as a tool for testing decisions in this context.

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Post-tax optimization with stochastic programming

Cited by 8 publications

References 20 publications

A DSS for stochastic multistage portfolio optimization in the Mexican market

A DSS for stochastic multistage portfolio optimization in the Mexican market

A DSS for stochastic multistage portfolio optimization in the Mexican market

A general framework for multistage mean-variance post-tax optimization

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