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    Article

    Portfolio construction as linearly constrained separable optimization

    Mean–variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum nonzero position and trade sizes. We propose ...

    Nicholas Moehle, Jack Gindi, Stephen Boyd… in Optimization and Engineering (2023)

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    Article

    Tax-Aware Portfolio Construction via Convex Optimization

    We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade list that specifies the number ...

    Nicholas Moehle, Mykel J. Kochenderfer… in Journal of Optimization Theory and Applica… (2021)