Optimal Asset Location and Allocation with Taxable and Tax‐Deferred Investing
研究投资者在应税和递延税收账户间如何最优分配资产，发现应税债券应放在递延账户、股票放在应税账户，且该策略对免税债券和流动性冲击稳健。
ABSTRACT 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.