Optimal asset location and allocation with taxable and tax-deferred investing

• 成果类型: Article
• 署名作者: Dammon, RM; Spatt, CS; Zhang, HH
• 署名单位: Carnegie Mellon University; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2004.00655.x
• 发表日期: 2004
• 页码: 999-1037
• 关键词: taxation

摘要

We investigate optimal intertemporal asset allocation and location decisions for investors making taxable and tax-deferred investments. We show a strong preference for holding taxable bonds in the tax-deferred account and equity in the taxable account, reflecting the higher tax burden on taxable bonds relative to equity. For most investors, the optimal asset location policy is robust to the introduction of tax-exempt bonds and liquidity shocks. Numerical results illustrate optimal portfolio decisions as a function of age and tax-deferred wealth. Interestingly, the proportion of total wealth allocated to equity is inversely related to the fraction of total wealth in tax-deferred accounts.