Tax-Efficient Trading of Municipal Bonds
提出一种动态策略来优化市政债券组合的税后表现，将税收驱动的交易机会视为有价期权，并发现考虑再投资税收期权后，最优执行时间大幅缩短。
The author proposes a dynamic strategy to optimize the after-tax performance of a municipal bond portfolio. This study extends previous work on one-time tax-loss selling. He considers a potential tax-driven trading opportunity as an option with quantifiable value, acquired automatically and without cost in a taxable account. Within this formulation, selling a bond and reinvesting in another also entails the swap of the associated tax options. When considering the value of the tax option acquired upon reinvestment, the time to optimum execution is drastically reduced in comparison to one-time selling. The author assumes that the choice of reinvestment bonds maintains the same interest rate exposure as that from before the sale.