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| Author: | Gallmeyer, M.F. Kaniel, R. Tompaidis, S. |
| Title: | Tax management strategies with multiple risky assets |
| Journal: | Journal of Financial Economics
2006 : MAY, VOL. 80:2, p. 243-291 |
| Index terms: | portfolio selection capital taxation strategy |
| Language: | eng |
| Abstract: | To understand how short selling (here as: sh-selling) influences portfolio choice, this paper studies the consumption-portfolio problem in a setting with capital gain taxes and multiple risky stocks. The analysis uncovers a novel trading flexibility strategy. Given two sh-selling strategies, it is common for an unconstrained investor to short some equity while a constrained investor holds a positive investment in all stocks. |
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