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The Efficient Frontier and International Portfolio Diversification in Taxable and Tax-Privileged Accounts

Author

Listed:
  • J. Davis
  • P. Hagelstein
  • I. Lackner
  • R. Piziak

Abstract

In this paper, we consider efficient frontiers associated to two and three fund portfolios consisting of total domestic bond funds, total domestic equity funds, and total international equity funds. These frontiers are intended to help inform investment decisions regarding international exposure in taxable and tax-privileged accounts.JEL classiï¬ cation numbers: G11, H21, N20 Keywords: efficient frontier, portfolio allocation, taxation

Suggested Citation

  • J. Davis & P. Hagelstein & I. Lackner & R. Piziak, 2020. "The Efficient Frontier and International Portfolio Diversification in Taxable and Tax-Privileged Accounts," Journal of Finance and Investment Analysis, SCIENPRESS Ltd, vol. 9(2), pages 1-3.
    • Handle: RePEc:spt:fininv:v:9:y:2020:i:2:f:9_2_3
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    References listed on IDEAS

    as
    1. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions," Operations Research, INFORMS, vol. 53(4), pages 586-599, August.
    2. Harry Markowitz, 1956. "The optimization of a quadratic function subject to linear constraints," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 3(1‐2), pages 111-133, March.
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    More about this item

    Keywords

    efficient frontier; portfolio allocation; taxation;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • H21 - Public Economics - - Taxation, Subsidies, and Revenue - - - Efficiency; Optimal Taxation

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