This paper analyzes the consumption investment problem over the life cycle for investors with tax-deferred investment opportunities. According to the classical result of Black (1980) and Tepper (1981) with unlimited borrowing and short-selling, bonds should be exclusively held in these accounts....

This article studies the portfolio problem with realization-based capital gain taxation when limited amounts of losses qualify for tax rebate payments as under current U.S.\ tax law. As the tax rate applicable to realized losses exceeds that on realized capital gains, it can be optimal to...

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...

In recent decades U.S. households have experienced residential house prices moving persistently, that is, returns being positively serially correlated. We set up a realistically calibrated life cycle model with slow-moving time variation in expected housing returns, showing that not only age,...