create a website

Asset allocation over the life cycle: How much do taxes matter?. (2013). Munk, Claus ; Fischer, Marcel ; Kraft, Holger.
In: Journal of Economic Dynamics and Control.
RePEc:eee:dyncon:v:37:y:2013:i:11:p:2217-2240.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 55

References cited by this document

Cocites: 25

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. On the Asset Allocation of a Default Pension Fund. (2017). Vestman, Roine ; Setty, Ofer ; Dahlquist, Magnus.
    In: 2017 Meeting Papers.
    RePEc:red:sed017:255.

    Full description at Econpapers || Download paper

  2. On the Asset Allocation of a Default Pension Fund. (2016). Vestman, Roine ; Setty, Ofer ; Dahlquist, Magnus.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:11052.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Amromin, G. Household portfolio choices in taxable and tax-deferred accounts. 2003 European Finance Review. 7 547-582

  2. Bansal, R. ; Yaron, A. Risks for the long run. 2004 Journal of Finance. 59 1481-1509
    Paper not yet in RePEc: Add citation now
  3. Barberis, N. Investing for the long run when returns are predictable. 2000 Journal of Finance. 55 225-264

  4. Bodie, Z. ; Merton, R.C. ; Samuelson, W.F. Labor supply flexibility and portfolio choice in a life cycle model. 1992 Journal of Economic Dynamics and Control. 16 427-449

  5. Brandt, M.W. ; Goyal, A. ; Santa-Clara, P. ; Stroud, J.R. A simulation approach to dynamic portfolio choice with an application to learning about return predictability. 2005 Review of Financial Studies. 18 831-873

  6. Brandt, M.W. ; Santa-Clara, P. ; Valkanov, R. Parametric portfolio policies. 2009 Review of Financial Studies. 22 3411-3447
    Paper not yet in RePEc: Add citation now
  7. Brennan, M.J. ; Torous, W.N. Individual decision making and investor welfare. 1999 Economic Notes by Banca Monte dei Paschi di Siena SpA. 28 119-143

  8. Campbell, J.Y. ; Thompson, S.B. Predicting excess stock returns out of sample. 2008 Review of Financial Studies. 21 1509-1531

  9. Campbell, J.Y. ; Viceira, L.M. Consumption and portfolio decisions when expected returns are time varying. 1999 Quarterly Journal of Economics. 114 433-495

  10. Campbell, J.Y. ; Viceira, L.M. Strategic Asset Allocation. 2002 Oxford University Press: New York
    Paper not yet in RePEc: Add citation now
  11. Carroll, C.D. ; Samwick, A.A. The nature of precautionary wealth. 1997 Journal of Monetary Economics. 40 41-71

  12. Cocco, J.F. Portfolio choice in the presence of housing. 2005 Review of Financial Studies. 18 535-567

  13. Cocco, J.F. ; Gomes, F.J. ; Maenhout, P.J. Consumption and portfolio choice over the life cycle. 2005 Review of Financial Studies. 18 491-533

  14. Constantinides, G.M. Capital market equilibrium with personal taxes. 1983 Econometrica. 51 611-636

  15. Dammon, R.M. ; Dunn, K.B. ; Spatt, C.S. A reexamination of the value of tax options. 1989 Review of Financial Studies. 2 341-372
    Paper not yet in RePEc: Add citation now
  16. Dammon, R.M. ; Spatt, C.S. ; Zhang, H.H. Optimal asset location and allocation with taxable and tax-deferred investing. 2004 Journal of Finance. 59 999-1037

  17. Dammon, R.M. ; Spatt, C.S. ; Zhang, H.H. Optimal consumption and investment with capital gains taxes. 2001 Review of Financial Studies. 14 583-616

  18. Dammon, R.M., Spatt, C.S., Zhang, H.H., 2001a. Diversification and Capital Gains Taxes with Multiple Risky Assets. Available at SSRN. 〈http://ssrn.com/abstract=281663〉.
    Paper not yet in RePEc: Add citation now
  19. Davis, S.J. ; Kubler, F. ; Willen, P. Borrowing costs and the demand for equity over the life cycle. 2006 Review of Economics and Statistics. 88 348-362

  20. DeMiguel, V. ; Uppal, R. Portfolio investment with the exact tax basis via nonlinear programming. 2005 Management Science. 51 277-290

  21. Dimson, E. ; Marsh, P. ; Staunton, M. Triumph of the Optimists. 2002 Princeton University Press:
    Paper not yet in RePEc: Add citation now
  22. Dybvig, P.H. ; Koo, H.K. Investment with Taxes. 1996 Washington University:
    Paper not yet in RePEc: Add citation now
  23. Ehling, P., Gallmeyer, M., Srivastava, S., Tompaidis, S., Yang, C., 2010. Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses. Available at SSRN. 〈http://ssrn.com/abstract=1003034〉.
    Paper not yet in RePEc: Add citation now
  24. Epstein, L.G. ; Zin, S.E. Substitution, risk aversion and temporal behavior of consumption and asset returns. 1989 Econometrica. 57 937-969

  25. Fama, E.F. ; French, K.R. The equity premium. 2002 Journal of Finance. 57 637-659

  26. Fischer, M., Stamos, M., 2013. Optimal life cycle portfolio choice with housing market cycles. Review of Financial Studies, forthcoming.

  27. Gallmeyer, M.F. ; Kaniel, R. ; Tompaidis, S. Tax management strategies with multiple risky assets. 2006 Journal of Financial Economics. 80 243-291

  28. Garlappi, L. ; Huang, J. Are stocks desirable in tax-deferred accounts?. 2006 Journal of Public Economics. 90 2257-2283

  29. Garlappi, L., Naik, V., Slive, J., 2001. Portfolio Selection with Multiple Assets and Capital Gains Taxes. Available at SSRN. 〈http://ssrn.com/abstract=274939〉.
    Paper not yet in RePEc: Add citation now
  30. Gomes, F. ; Michaelides, A. Optimal life-cycle asset allocation. 2005 Journal of Finance. 60 869-904

  31. Gomes, F. ; Michaelides, A. ; Polkovnichenko, V. Optimal savings with taxable and tax-deferred accounts. 2009 Review of Economic Dynamics. 12 718-735

  32. Gomes, F.J. ; Kotlikoff, L.J. ; Viceira, L.M. Optimal life-cycle investing with flexible labor supply. 2008 American Economic Review. 98 297-303

  33. Gourinchas, P.-O. ; Parker, J.A. Consumption over the life cycle. 2002 Econometrica. 70 47-89

  34. Goyal, A. ; Welch, I. A comprehensive look at the empirical performance of equity premium predictions. 2008 Review of Financial Studies. 21 1455-1508

  35. Huang, J. Taxable and tax-deferred investing. 2008 Review of Financial Studies. 21 2173-2207
    Paper not yet in RePEc: Add citation now
  36. Hurd, M.D. Mortality risk and bequest. 1989 Econometrica. 57 779-813

  37. Jensen, B.A. ; Marekwica, M. Optimal portfolio choice with wash sale constraints. 2011 Journal of Economic Dynamics and Control. 35 1916-1937

  38. Kraft, H. ; Munk, C. Optimal housing, consumption, and investment decisions over the life-cycle. 2011 Management Science. 57 1025-1041

  39. Lanne, M. Testing the predictability of stock returns. 2002 Review of Economics and Statistics. 84 407-415

  40. Li, J., Smetters, K., 2011. Optimal Portfolio Choice with Wage-Indexed Social Security. NBER Working Paper No. 17025.

  41. Li, W. ; Yao, R. The life-cycle effects of house price changes. 2007 Journal of Money, Credit and Banking. 39 1375-1409

  42. Lynch, A.W. ; Tan, S. Labor income dynamics at business-cycle frequencies. 2011 Journal of Financial Economics. 101 333-359

  43. Marekwica, M. Optimal tax-timing and asset allocation when tax rebates on capital losses are limited. 2012 Journal of Banking and Finance. 36 2048-2063

  44. Marekwica, M. ; Schaefer, A. ; Sebastian, S. Life cycle asset allocation in the presence of housing and tax-deferred investing. 2013 Journal of Economic Dynamics and Control. 37 1110-1125

  45. Mehra, R. ; Prescott, E.C. The equity premium. 1985 Journal of Monetary Economics. 15 145-162

  46. Munk, C. ; Sørensen, C. Dynamic asset allocation with stochastic income and interest rates. 2010 Journal of Financial Economics. 96 433-462

  47. Polkovnichenko, V. Life-cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk. 2007 Review of Financial Studies. 20 83-124

  48. Rogers, L. The relaxed investor and parameter uncertainty. 2001 Finance and Stochastics. 5 131-154

  49. Siegel, J.J. Perspectives on the equity risk premium. 2005 Financial Analysts Journal. 61 61-73
    Paper not yet in RePEc: Add citation now
  50. Van Hemert, O. Household interest rate risk management. 2010 Real Estate Economics. 38 467-505

  51. Viceira, L.M. Optimal portfolio choice for long-horizon investors with nontradable labor income. 2001 Journal of Finance. 56 433-470

  52. Yao, R. ; Zhang, H.H. Optimal consumption and portfolio choices with risky housing and borrowing constraints. 2005 Review of Financial Studies. 18 197-239

  53. Yao, R. ; Zhang, H.H. Optimal Life-Cycle Asset Allocation with Housing as Collateral. 2005 Baruch College and University of Texas:
    Paper not yet in RePEc: Add citation now
  54. Zhou, J. Life-cycle stock market participation in taxable and tax-deferred accounts. 2012 Journal of Economic Dynamics and Control. 36 1814-1829

  55. Zhou, J. The asset location puzzle. 2009 Journal of Economic Dynamics and Control. 33 955-969

Cocites

Documents in RePEc which have cited the same bibliography

  1. Optimal retirement savings over the life cycle: A deterministic analysis in closed form. (2023). Koch, Marlene ; Fischer, Marcel ; Jensen, Bjarne Astrup.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:112:y:2023:i:c:p:48-58.

    Full description at Econpapers || Download paper

  2. Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes. (2020). Xu, Jing ; Lei, Yaoting ; Li, YA.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:2:p:823-843.

    Full description at Econpapers || Download paper

  3. Back-Loaded Tax Subsidies for Saving, Asset Location and Crowd-Out: Evidence from Tax-Free Savings Accounts. (2019). Lavecchia, Adam.
    In: Department of Economics Working Papers.
    RePEc:mcm:deptwp:2019-04.

    Full description at Econpapers || Download paper

  4. Tax-deferred saving accounts: Heterogeneity and policy reforms. (2017). Ho, Anson.
    In: European Economic Review.
    RePEc:eee:eecrev:v:97:y:2017:i:c:p:26-41.

    Full description at Econpapers || Download paper

  5. Housing and Tax-Deferred Retirement Accounts. (2016). Zhou, Jie.
    In: Staff Working Papers.
    RePEc:bca:bocawp:16-24.

    Full description at Econpapers || Download paper

  6. Optimal Savings for Retirement: The Role of Individual Accounts. (2015). Scholl, Almuth ; Le Blanc, Julia.
    In: Working Paper Series of the Department of Economics, University of Konstanz.
    RePEc:knz:dpteco:1510.

    Full description at Econpapers || Download paper

  7. Integrating corporate ownership and pension fund structures: A general equilibrium approach. (2014). Ebrahim, M. Shahid ; ap Gwilym, Rhys ; Mathur, Ike.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:553-569.

    Full description at Econpapers || Download paper

  8. Pension fund taxation and risk-taking: should we switch from the EET to the TEE regime?. (2013). Romaniuk, Katarzyna.
    In: Annals of Finance.
    RePEc:kap:annfin:v:9:y:2013:i:4:p:573-588.

    Full description at Econpapers || Download paper

  9. Life cycle asset allocation in the presence of housing and tax-deferred investing. (2013). Sebastian, Steffen ; Marekwica, Marcel ; Schaefer, Alexander.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:6:p:1110-1125.

    Full description at Econpapers || Download paper

  10. Asset allocation over the life cycle: How much do taxes matter?. (2013). Munk, Claus ; Fischer, Marcel ; Kraft, Holger.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:11:p:2217-2240.

    Full description at Econpapers || Download paper

  11. Optimal tax-timing and asset allocation when tax rebates on capital losses are limited. (2012). Marekwica, Marcel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:2048-2063.

    Full description at Econpapers || Download paper

  12. Optimal savings for retirement: The role of individual accounts and disaster expectations. (2011). Scholl, Almuth ; Le Blanc, Julia.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:201133.

    Full description at Econpapers || Download paper

  13. New Evidence on Asset Location from the Survey of Consumer Finances. (2011). Zhou, Jie ; Jinjarak, Yothin.
    In: Public Finance Review.
    RePEc:sae:pubfin:v:39:y:2011:i:4:p:594-615.

    Full description at Econpapers || Download paper

  14. Optimal portfolio choice with wash sale constraints. (2011). Marekwica, Marcel ; Jensen, Bjarne Astrup.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:11:p:1916-1937.

    Full description at Econpapers || Download paper

  15. Optimal Portfolio Choice over the Life-Cycle with Flexible Work, Endogenous Retirement, and Lifetime Payouts. (2011). Mitchell, Olivia ; Horneff, Wolfram ; Maurer, Raimond ; Chai, Jingjing.
    In: Working Papers.
    RePEc:ecl:upafin:11-43.

    Full description at Econpapers || Download paper

  16. Can Tax Rebates Stimulate Consumption Spending in a Life-Cycle Model? (Working Paper 2011-02). (2011). Michelangeli, Valentina ; Huntley, Jonathan.
    In: Working Papers.
    RePEc:cbo:wpaper:41581.

    Full description at Econpapers || Download paper

  17. Borrowing from Yourself: The Determinants of 401(k) Loan Patterns. (2010). Mitchell, Olivia ; Lu, Timothy Jun.
    In: Working Papers.
    RePEc:mrr:papers:wp221.

    Full description at Econpapers || Download paper

  18. $100 Bills on the Sidewalk: Suboptimal Investment in 401(K) Plans. (2009). Madrian, Brigitte ; Laibson, David ; Choi, James.
    In: Yale School of Management Working Papers.
    RePEc:ysm:wpaper:amz2519.

    Full description at Econpapers || Download paper

  19. $100 Bills on the Sidewalk: Suboptimal Investment in 401(K) Plans. (2009). Choi, James.
    In: Yale School of Management Working Papers.
    RePEc:ysm:somwrk:amz2519.

    Full description at Econpapers || Download paper

  20. New evidence on 401(k) borrowing and household balance sheets. (2009). Li, Geng ; Smith, Paul A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2009-19.

    Full description at Econpapers || Download paper

  21. The asset location puzzle: Taxes matter. (2009). Zhou, Jie.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:4:p:955-969.

    Full description at Econpapers || Download paper

  22. Precautionary Savings Motives and Tax Efficiency of Household Portfolios: An Empirical Analysis. (2008). Amromin, Gene.
    In: NBER Chapters.
    RePEc:nbr:nberch:2360.

    Full description at Econpapers || Download paper

  23. Borrowing from yourself: 401(k) loans and household balance sheets. (2008). Li, Geng ; Smith, Paul A..
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-42.

    Full description at Econpapers || Download paper

  24. Are stocks desirable in tax-deferred accounts?. (2006). Huang, Jennifer ; Garlappi, Lorenzo.
    In: Journal of Public Economics.
    RePEc:eee:pubeco:v:90:y:2006:i:12:p:2257-2283.

    Full description at Econpapers || Download paper

  25. Precautionary savings motives and tax efficiency of household portfolios: an empirical analysis. (2005). Amromin, Gene.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-01.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-09-21 02:32:26 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated August, 3 2024. Contact: Jose Manuel Barrueco.