Personalized Multiple Account Portfolio Optimization
提出一个多账户alpha跟踪误差框架，同时优化投资者不同税务处理、现有持仓、税务批次和机会集的多个账户，并考虑税收和交易成本，实现个性化投资组合管理。
I develop a multi-account alpha-tracking error framework that simultaneously optimizes across an investor’s multiple accounts with different tax treatments, existing holdings, tax lots, and opportunity sets while considering taxes and trade costs in a single optimization. The objective function includes an optional term for an investor’s nonpecuniary preferences, such as various environmental, social, and governance (ESG) characteristics. By running the multi-account optimizer regularly, it also serves as a personalized asset location optimizer, tax-loss harvester, portfolio rebalancer, roll-over optimizer, and new client onboarding transition optimizer that simultaneously considers the numerous interconnected tradeoffs to produce ongoing personalized portfolio management.