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Investing for retirement : terminal wealth constraints or a desired wealth target?
Donnelly, Catherine; Khemka, Gaurav; Lim, William - In: European financial management : the journal of the … 28 (2022) 5, pp. 1283-1307
Persistent link: https://www.econbiz.de/10013415831
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Portfolio optimization with a prescribed terminal wealth distribution
Guo, Ivan; Langrené, Nicolas; Loeper, Grégoire; Ning, Wei - In: Quantitative finance 22 (2022) 2, pp. 333-347
Persistent link: https://www.econbiz.de/10013167753
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On the estimation of distributional household wealth : addressing under-reporting via optimization problems with invariant Gini coefficient
Engel, Janina; Ohlwerter, Dennis; Scherer, Matthias - 2023
optimization problem that aims at preserving for each wealth instrument the level of inequality measured by the Gini coefficient … wealth discrepancies across the households. Finally, based on the German HFCS, we compare the findings with another approach … may reallocate households' wealth beyond the observed discrepancies, thereby leading to Gini coefficients that exceed the …
Persistent link: https://www.econbiz.de/10014482886
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Optimized Tax Loss Harvesting : A Simple Algorithm and Framework
Israelov, Roni; Lu, Jason - 2022
When should you harvest a tax loss? Tax-loss harvesting is a strategy used to improve the net of tax returns of a portfolio, where an investor deliberately sells assets that have incurred a loss in order to use these losses to offset current or future capital gains. However, an important...
Persistent link: https://www.econbiz.de/10013404561
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Income, Wealth, and the Maximum Principle
Weitzman, Martin L - 2003
Competitive Equilibrium 6. The Pure Theory of Perfectly Complete National Income Accounting 7. The Stochastic Wealth and Income … the Maximum Principle -- 5. Optimal Multisector Growth and Dynamic Competitive Equilibrium -- 6. The Pure Theory of … Perfectly Complete National Income Accounting -- 7. The Stochastic Wealth and Income Version of the Maximum Principle …
Persistent link: https://www.econbiz.de/10014479368
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An EOQ model for multiple products with varying degrees of substitutability
Eksler, Leonid; Aviram, Roei; Elalouf, Amir; Kamble, Aakash - 2019
In this paper, the authors present an EOQ model with substitutions between products and a dynamic inventory replenishment policy. Their key assumption is that many products in the market are substitutable at different levels, and that, in most cases, a customer who discovers that a desired...
Persistent link: https://www.econbiz.de/10012007407
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Combining Microsimulation and Optimization To Identify Optimal Universalistic Tax-Transfer Rule
Colombino, Ugo; Islam, Nizamul - 2022
As a response to a changing labour market scenario and to the concerns for increasing costs and bad incentives of traditional income support policies, the last decades have witnessed, in many countries, reforms introducing more sophisticated designs of means-testing, eligibility and tagging. In...
Persistent link: https://www.econbiz.de/10013307242
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Arbitrage and nonlinear tax scales
Becker, Marcus; Löffler, Andreas - 2016 - 12. April 2016 (first draft)
We look at the theory of arbitrage with taxation under certainty. The tax scale in our model is not linear. Under the …
Persistent link: https://www.econbiz.de/10011450302
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Combining Microsimulation and Optimization to Identify Optimal Flexible Tax-Transfer Rules
Colombino, Ugo - 2020
We use a behavioural microsimulation model embedded in a numerical optimization procedure in order to identify optimal (social welfare maximizing) tax-transfer rules. We consider the class of tax-transfer rules consisting of a universal basic income and a tax defined by a 4th degree polynomial....
Persistent link: https://www.econbiz.de/10012832584
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Application of genetic algorithm to optimal income taxation
Małecka-Ziembińska, Edyta; Ziembiński, Radosław - In: Journal of risk and financial management : JRFM 13 (2020) 11/251, pp. 1-24
This paper, intended for researchers, introduces a stochastic method for calculating the optimal tax schedule based on taxpayer utility, population skill distribution, and wages. It implements and extends the classic approach to optimal income tax calculation introduced by J.A. Mirrlees. A...
Persistent link: https://www.econbiz.de/10012389887