{"title":"Personalized Multiple Account Portfolio Optimization","authors":"Thomas M. Idzorek","doi":"10.1080/0015198X.2023.2212581","DOIUrl":null,"url":null,"abstract":"Abstract I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, tax lots, and opportunity sets while considering taxes and trade costs in a single optimization. The objective function includes an optional term for an investor’s nonpecuniary preferences, such as various environmental, social, and governance (ESG) characteristics. By running the multi-account optimizer regularly, it also serves as a personalized asset location optimizer, tax-loss harvester, portfolio rebalancer, roll-over optimizer, and new client onboarding transition optimizer that simultaneously considers the numerous interconnected tradeoffs to produce ongoing personalized portfolio management.","PeriodicalId":48062,"journal":{"name":"Financial Analysts Journal","volume":"79 1","pages":"155 - 170"},"PeriodicalIF":3.4000,"publicationDate":"2023-06-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Financial Analysts Journal","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1080/0015198X.2023.2212581","RegionNum":3,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 2
Abstract
Abstract I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, tax lots, and opportunity sets while considering taxes and trade costs in a single optimization. The objective function includes an optional term for an investor’s nonpecuniary preferences, such as various environmental, social, and governance (ESG) characteristics. By running the multi-account optimizer regularly, it also serves as a personalized asset location optimizer, tax-loss harvester, portfolio rebalancer, roll-over optimizer, and new client onboarding transition optimizer that simultaneously considers the numerous interconnected tradeoffs to produce ongoing personalized portfolio management.
期刊介绍：
The Financial Analysts Journal aims to be the leading practitioner journal in the investment management community by advancing the knowledge and understanding of the practice of investment management through the publication of rigorous, peer-reviewed, practitioner-relevant research from leading academics and practitioners.
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