transition from an appreciated portfolio to a traditional long-only tax-agnostic equity strategy with transition to equity … construction. We find that transition to a tax-aware relaxed-constraint strategy results in both high implementation efficiency and … tax efficiency both during and after the transition. As a result, a tax-aware relaxed-constraint post-transition strategy …

protection option, and apply this new metric to portfolio transition strategies, where the objective is to increase (or decrease …) risky exposures over a specified period of time. Regret-averse investors should design their portfolio transition with low …