Diversification in the presence of taxes: There are substantial risks incurred with concentrated holdings

Journal of Portfolio Management

Volumn 27, Issue 1, 2000, Pages 61-71

  Stein, David M ^a   Siegel, Andrew F ^b   Narasimhan, Premkumar ^a   Appeadu, Charles E ^c  

^a Parametric Portfolio Associates   (United States)

^b UNIVERSITY OF WASHINGTON   (United States)

^c GEORGIA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0035238787     PISSN: 00954918     EISSN: None     Source Type: Journal    
DOI: 10.3905/jpm.2000.319784     Document Type: Article

References (10)

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2. Dickson, J.M., and J.B. Shoven. "Ranking Mutual Funds on An After-Tax Basis." Center for Economic Policy Research, Publication No. 344, Stanford University, 1993.
3. Fernholz, R., and B. Shay. "Stochastic Portfolio Theory and Stock Market Equilibrium." The Journal of Finance, May 1982, pp. 615-624.
4. Grinold, R.C., and R.N. Kahn. Active Portfolio Management -Quantitative Theory and Applications. Homewood, IL: Irwin, 1995.
5. Jacob, N.L. "Taxes, Investment Strategy, and Diversifying Low Basis Stock." Trusts and Estates, May 1995.
6. Jeffrey, R.H., and R. Arnott. "Is Your Alpha Big Enough to Cover its Taxes?" The Journal of Portfolio Management, Spring 1993.
7. Markowitz, H.M. Mean Variance Analysis in Portfolio Choice and Capital Markets. Oxford: Basil Blackwell, 1987.
8. Sharpe, W.F. "Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk." The Journal of Finance, September 1964, pp. 425-442.
9. Stein, D.M. "Measuring and Evaluating Portfolio Performance After Taxes." The Journal of Portfolio Management, Winter 1998.
10. Stein, D.M., and P. Narasimhan. "Of Passive and Active Equity Portfolios in the Presence of Taxes." The Journal of Private Portfolio Management, Fall 1999, pp. 55-63.